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中文論文名稱 我國銀行業提列呆帳損失相關因素影響之探討 -縱橫平滑移轉迴歸模型之應用
英文論文名稱 A Study of the Taiwanese Banks’ Loan Loss Reserve -Approach of Panel Smooth Transition Regression Model
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 100
學期 2
出版年 101
研究生中文姓名 陳彥騰
研究生英文姓名 Yan-Tang Chen
學號 699530878
學位類別 碩士
語文別 中文
口試日期 2012-05-07
論文頁數 55頁
口試委員 指導教授-聶建中
共同指導教授-林建甫
委員-聶建中
委員-林建甫
委員-陳達新
委員-姚蕙芸
委員-韋伯韜
中文關鍵字 銀行呆帳損失  銀行盈餘比率  平滑移轉模型  逆景氣循環假說 
英文關鍵字 Banks' Loan-Loss-Reserve  Banks' Earnings Before Provision and Tax  Panel Smooth Transition Regression Model  Anti-cyclical hypothesis 
學科別分類 學科別社會科學商學
中文摘要 本研究主要探討的目標為我國銀行業盈餘比率對銀行呆帳損失提列之關聯性,以2008年至2011的月資料為研究期間及本國25家銀行為研究對象進行實證觀察,進一步運用González, Teräsvirta and van Dijk (2004, 2005)所發展之縱橫平滑移轉迴歸模型(Panel smooth transition regression models, PSTR),以盈餘比率做為模型中的轉換變數,並加入控制變數包括工業生產值、銀行逾放比、銀行月平均放款成長率、銀行放款總額,以瞭解銀行業呆帳損失之提列決策是否會受到盈餘比率的影響。

研究結果發現,銀行盈餘比率與呆帳損失提列兩者存在非線性關係,在銀行盈餘比率取自然對數小於8.1765前,銀行呆帳損失的提列會隨著逾放比的上升而增加提列;而在銀行盈餘比率取自然對數高於8.1765後,縱使逾放比、月平均放款成長率、總放款額度持續增加,由於盈餘比率已上升至一定水準,銀行承受損失及提列的能力已大幅上升,因此呆帳損失提列的額度反而會隨著盈餘比率的逐漸上升而減提。而實證結果支持銀行提列呆帳損失的行為符合「逆景氣循環假說」。
英文摘要 This study is to explore the non-linear relationship between banks' earning before provision and banks' loan loss reserve. This study adopts the empirical model of González, Teräsvirta and van Dijk (2004, 2005) to verify whether the panel smooth transition effect exists in the above-mentioned variables by using a full monthly data set from 25 banks in Taiwan, through 2008 Jan to 2011 Dec. Moreover, we introduce other control variables into the model, considering the impact of banks' loan loss reserve.

The results show that the panel smooth transition effect indeed exists between the banks' earning before provision and banks' loan loss reserve. And there is a significant positive effect of banks' NPL ratio on loan-loss reserve when the natural logarithm of the banks' earning before provision and tax is smaller than 8.1765. And there are significant negative effects of NPL ratio and banks' growth of loan monthly, significant positive effect of banks' total loan when the natural logarithm of the banks' earning before provision and tax is larger than 8.1765. Moreover, the results show that banks' loan loss reserve with GDP growth rate is associated with the「Anti-cyclical hypothesis」.
論文目次 目錄
中文摘要 III
英文摘要 IV
目錄 V
表目錄 VI
圖目錄 VII
第一章 緒論 1
第一節 研究背景動機 1
第二節 研究目的 5
第三節 研究流程及架構 6
第二章 文獻回顧 8
第一節 探討呆帳損失與「總體經濟」的相關研究 9
第二節 探討呆帳損失與「個體銀行」的相關研究 12
第三章 研究方法 18
第一節 變數選取與資料來源 18
第二節 研究方法與模型介紹 22
第三節 縱橫平滑移轉迴歸模型 25
第四節 縱橫平滑移轉迴歸模型之設定 30
第四章 實證結果與分析 37
第一節 敘述統計分析 37
第二節 縱橫單根檢定之實證結果 38
第三節 銀行盈餘比率對銀行呆帳損失之平滑移轉效果 40
第五章 結論與建議 47
第一節 研究結論 47
第二節 研究建議 48
參考文獻 51

表目錄
表3-1- 1研究樣本銀行名稱 19
表4-1- 1各變數之敘述統計分析 38
表4-2- 1各變數原始序列之單根檢定 39
表4-3- 1銀行盈餘比率對銀行呆帳損失之同質性檢定 40
表4-3- 2銀行盈餘比率對銀行呆帳損失之轉換區間個數檢定 41
表4-3- 3銀行盈餘比率對呆帳損失計提之模型估計結果 45
表4-3- 4銀行盈餘比率對呆帳損失模型中解釋變數之影響 45

圖目錄
圖1- 3-1研究流程圖 7
圖3-3- 1 m=1之轉換模型 29
圖3-3- 2 m=2之轉換模型 30
圖4-3- 1銀行盈餘比率對銀行呆帳損失之轉換函數(門檻值為8.1765) 46
圖4-3- 2銀行盈餘比率對銀行呆帳損失之轉換函數(門檻值為8.4024) 46



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