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系統識別號 U0002-1806201122291400
中文論文名稱 銀行財富管理績效在分行存款業務量差異下之非線性影響探討-T銀行為例
英文論文名稱 Nonlinear Study on the Performance of Bank Wealth Management under Differences of Branch’s Deposit – An Example of T Bank
校院名稱 淡江大學
系所名稱(中) 全球華商經營管理數位學習碩士在職專班
系所名稱(英) E-Learning Executive Master's Program of Business Administration (EMBA) in Global Chinese Management
學年度 99
學期 2
出版年 100
研究生中文姓名 郭錦繡
研究生英文姓名 Chin-Hsiu Kuo
學號 798670542
學位類別 碩士
語文別 中文
口試日期 2011-05-23
論文頁數 35頁
口試委員 指導教授-聶建中
指導教授-謝劍平
委員-姚蕙芸
委員-謝劍平
委員-盧信昌
中文關鍵字 財富管理  手續費收入  存款業務  縱橫平滑移轉迴歸模型 
英文關鍵字 Wealth Management  Fee Income  Deposit  Panel Smooth Transition Model 
學科別分類
中文摘要 本研究選以台灣某大T銀行為例,以該銀行之各分行資料為主,並選取以金融海嘯之後的數個月份月資料進行時間變化下之縱橫資料分析。運用Gonza′lez, Teräsvirta and van Dijk(2004, 2005)之縱橫平滑移轉迴歸模型,自非線性角度出發,深入進行銀行財富管理績效在分行存款業務量差異下之非線性影響探討
研究估計結果,手續費、存款量、員工數、來客數及股價指數資料均為I(0)變數資料。線性關係檢定則發現模型設定的非線性檢定結果顯著性不高,但仍可視存款量對手續費收入存在縱橫平滑移轉效果,而區間個數檢定得知,存款對手續費影響的模型設定為m=1且r=1之縱橫平滑移轉模型。
最後,於縱橫平滑移轉模型之參數估計與檢定中發現,當存款小於門檻值的下區間時,若要提高銀行財富管理的手續費收入,應增加存款額度與來客數,並於股票走勢「熊市」下跌時為之;然而,相反的,在存款量大於門檻值的上區間時,若想要提高銀行財富管理的手續費收入,則應降低員工數,增加來客數,並於股市「牛市」走勢為之。
本研究所得結果,應可作為日後銀行經營財富管理業務之參考依據。
英文摘要 Selecting one of the Taiwan large banks (T-Bank) as an example and utilizing the data from each of its branches, this study analyzes the nonlinear effect of the variation of the branch’s deposit on the performance of bank wealth management for the post-subprime crisis period. The methodology employed is the panel smooth transition regression (PSTR) model by Gonza′lez, Teräsvirta and van Dijk (2004, 2005).
The empirical results first find that all the variables considered are shown to be I(0) stationary series from the panel unit root test. Even though the test of linearity in this study can not be significantly rejected, we keep doing our further estimation of the PST effect since there exist a threshold value of the deposit and the model specification is showed having one threshold value with two regimes as m=1 and r=1.
Finally, the estimation and testing of our PSTR model shows that each branch of the T-bank should increase the amount of deposit and the number of customer and better to do so during the bearish market in order to increase the fee of the wealth management when the amount of deposit is in the lower regime. On the contrary, each of the branch should decrease the number of employee, increase the number of customer and better to do so during the bullish market in order to increase the fee of the wealth management when the amount of deposit is in the upper regime.
The finding of this study can be utilized as a bench mark for the future operations of bank’s wealth management.
論文目次 目錄
謝 辭 I
中文摘要 II
英文摘要 III
目錄 IV
表目錄 V
圖目錄 VI
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 研究架構與流程 5
第二章 文獻探討 7
第一節 有關銀行財富管理之研究 7
第二節 銀行財富管理與來客數之關係 8
第三節 銀行財富管理與員工流動之關係 9
第四節 銀行財富管理績效與存款業務量之關係 9
第三章 研究方法 11
第一節 縱橫單根檢定 11
第二節 縱橫平滑移轉迴歸模型 13
第三節 縱橫平滑移轉迴歸模型之設定 17
第四章 實證結果與分析 23
第一節 模型設定與資料分析 23
第二節 單根檢定結果 25
第三節 線性檢定 26
第四節 縱橫平滑移轉模型之參數估計與檢定 28
第五章 結論與建議 31
第一節 結論 31
第二節 建議 32
參考文獻 33

表目錄

表4-1 各變數基本敘述統計表 24
表4-2 各變數原始序列之單根檢定 25
表4-3a 存款對手續費之轉換區間同質性檢定 26
表4-3b 轉換區間個數檢定 27
表4-4a 模型估計結果 29
表4-4b 解釋變數之影響 29



圖目錄

圖1-1 研究流程圖 6
圖3-1 m = 1之轉換模型圖 15
圖3-2 m = 2之轉換模型圖 16
圖4-1 存款對手續費之轉換函數 30

參考文獻 參考文獻
ㄧ 中文文獻
劉永欽 (2009),銀行財富管理業務之作業風險-從連動債券信用危機觀察,Academia Economic Papers,第37期,頁137-171

二.英文文獻
Amenc, N., F. Goltz and D. Schröder, (2009), "Private Bankers on Private Banking: Financial Risks and Asset/Liability Management," The Journal of Wealth Management, 12(3), 39-50.
Amenc, N., L. Martellini, V. Milhau and V. Ziemann, (2009), "Asset-Liability Management in Private Wealth Management, "Journal of Portfolio Management, 36(1), 100-120.
Andrews, D. W. K. and W. Ploberger, 1994, “Optimal Tests when S Nuisance Parameter is Present Only under the Alternative,” Econometrica, 62, 1383–1414.
Ang, S., (2010), "A Qualitative Study on the Challenges of Private Banking in Asia," The Journal of Wealth Management, 12(4), 68-77.
Asher, J., (2001), "Wealth management" moves center stage," American Bankers Association.ABA Banking Journal, 93(4), 41-46.
Barrett, W.B., C. Moreno and T. B. Sanders, (2008), "The Movement of Wealth," The Journal of Wealth Management, 10(4), 30-41.
Davies, R. B., (1977), “Hypothesis Testing When a Nuisance Parameter is Present Only under the Alternative,” Biometrika, 64,247-254.
Davies, R. B., (1987), “Hypothesis Testing When a Nuisance Parameter is Present Only under the Alternative,” Biometrika, 74, 33-43.
Gonza'les, A., T. Teräsvirta and D. van Dijk, (2004), “Panel Smooth Transition Regression Model and an Application to Investment under Credit Constraints,” Working papers.
Gonza'les, A., T. Teräsvirta and D. van Dijk, (2005), “Panel Smooth Transition Regression Models,” Working papers
Granger, C. W. J., and T. Teräsvirta, (1993), Modelling Nonlinear Economic Relationships, Oxford: Oxford University Press.
Graber, R., (2004), "Management Turnover and Myopic Decision-Making," Allied Academies International Conference.Academy of Accounting and Financial Studies.Proceedings, 9(1), 39-39.
Hansen, B. E., (1996), “Inference when A Nuisance Parameter is not Identified Under the Null Hypothesis,” Econometrica, 64, 413–430.
Hansen, B. E., (1999), “Threshold Effects in Non-dynamic Panels: Estimation, Testing, and Inference,” Journal of Econometrics, 93, 345–368.
Im, K. S., M. H. Pesaran, and Y. Shin, (2003), “Testing for Unit Roots in Heterogeneous Panels,” Journal of Econometrics, 115, 53–74.
Jansen, E. S. and T. Teräsvirt, (1996), “Testing Parameter Constancy and Super Exogeneity in Econometric Equations,” Oxford Bulletin of Economics and Statistics, 58, 735-763.
Jennings, W.W., S. M. Horan, W. Reichenstein and J. L. Brunel, (2011), "Perspectives from the Literature of Private Wealth Management," The Journal of Wealth Management, 14(1), 8-40.
Levin, A., C. F. Lin, and C. Chu, (2002), “Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties,” Journal of Econometrics, 108, 1–24.
Lundbergh, S., T. Teräsvirta, and D. van Dijk, (2003), “Time-varying Smooth Transition Autoregressive Model,” Journal of Business and Economic Statistics, 21, 104–121.
Luukkonen, R., P. Saikkonen, and T. Teräsvirt, (1988), “Testing Linearity Against Smooth Transition Autoregressive Models,” Biometrika, 75, 491–499.
Maddala, G. S. and S. Wu, (1999), “A Comparative Study of Unit Root Tests with Panel Data and A New Simple Test,” Oxford Bulletin of Economics and Statistics, 61, 631–652.
Miranda, R. and J. Klement, (2009), "Authentic Trust in Modern Business," The Journal of Wealth Management, 11(4), 29-47.
Scarborough, M., (2011), "Don't pass up this revenue raiser," American Bankers Association.ABA Banking Journal, 103(2), 16-22.
Stone, M., (2001), "Managing wealth: A new approach," Journal of Financial Services Marketing, 6(1), 84-97.
Sunikka, A., L. Peura-Kapanen and A. Raijas, (2010), "Empirical investigation into the multi-faceted trust in the wealth management context," The International Journal of Bank Marketing, 28(1), 65-81.
Tannous, G.F. and B. Cheng, (2007), "Canadian Takeover Announcements and the Job Security of Top Managers: Revue Canadienne des Sciences de l'Administration," Canadian Journal of Administrative Sciences, 24(4), 250-267.
Teräsvirt, T., (1994), “Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models,” Journal of the American Statistical Association, 89, 208–218.
Teräsvirt, T., (1998),” Modelling Economic Relationships with Smooth Transition Regressions,” in Handbook of applied economic statistics, ed. by A. Ullah, and D. E. A. Giles, 507–552. New York: Marcel Dekker.
White, H., (1980), “Nonlinear Regression on Cross-section Data,” Econometrica, 48, 721–746.
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