本研究以2007年1月至2013年12月之資料探討我國21家銀行，取其月資料，並以縱橫資料(Panel Data)的形式，用Gonzalez, Terasvirta and van Dijk（2004, 2005）所發展的縱橫平滑移轉門檻模型來進行論文研究，探討逾期放款率與銀行財務績效之的關聯性，其是否對銀行績效，產生縱橫平滑移轉效果，並針對影響銀行績效的可能控制變數，分別為備抵呆帳覆蓋率、存放比率、放款成長率作為解釋變數，進一步對銀行財務績效受解釋變數的影響做評估和衡量。
實證結果顯示:逾期放款率對銀行財務績效都存在顯著的平滑移轉效果，備抵呆帳覆蓋率、存放比率、放款成長率在各門檻間都能對銀行財務績效顯著產生不同的影響。在逾期放款率位於低檔時，適當提高備抵呆帳覆蓋率、存放比率、放款成長率對銀行財務績效是有正向效果的，然而當逾期放款率位於中高檔時，此時銀行放款品質處於惡化的狀況，這時反而對銀行財務績效產生更大的負向衝擊。

The purpose of this study is to investigate the effect of non-performing loans ratio on the performance of banks by using panel smooth transition regression model which introduced by Gonzalez, Terasvirta and van Dijk (2004, 2005). Our samples consist of 21 Banks during the period of 2007 to 2013.Indicators like return on assets and return on equity are used to measure the financial performance. This empirical study will apply non-performing loans ratio as transfer variables. Furthermore, it uses loan loss coverage ratio, loan to deposit ratio and loan growth rate to estimate how these variables influence the performance of banks. 
The empirical result proves that there exists a nonlinear relationship on non-performing loans ratio 
as transfer variables. When non-performing loans ratio under the threshold, loan loss coverage ratio, loan to deposit ratio and loan growth rate have positive correlation with the performance of banks. However, when non-performing loans ratio over the threshold, loan loss coverage ratio, loan to deposit ratio and loan growth rate have negative influence to banks performance.

致謝詞 Ⅰ
中文提要 Ⅱ
英文摘要 Ⅲ
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  研究架構流程 6
第二章 文獻探討 8
第一節  不良債權之介紹 8
第二節  不良債權之相關文獻 10
第三節  控制變數之相關文獻 13
第三章 研究方法 15
第一節  縱橫單根檢定 15
第二節  縱橫平滑移轉迴歸模型 19
第三節  縱橫平滑移轉迴歸模型之設定 24
第四章  實證結果分析 29	                                         
第一節 研究資料與來源 29 
第三節 縱橫單根檢定之實證結果 33
第四節  縱橫平滑移轉迴歸模型之實證結果 34
第五章  結論與建議 42
第一節  研究結論 42                  
第二節  研究建議 43
參考文獻 45 
國內文獻 45
國外文獻 46

表4-1-1 研究樣本銀行名稱 29	                     
表4-2-1 各變數之敘述統計 32	                     
表4-3-1 縱橫單根檢定結果 33	                     
表4-4-1 逾期放款率對淨值報酬率之同質性檢定 35          
表4-4-2 空間向量的位置參數之檢測 35	
表4-4-3 逾期放款率對淨值報酬率之轉換區間個數檢定 35	
表4-4-4 逾期放款率對淨值報酬率之模型估計結果 36
表4-4-5逾期放款率對淨值報酬率模型中解釋變數的影響 36
表4-4-6 逾期放款率對資產報酬率之同質性檢定 38
表4-4-7 空間向量的位置參數之檢測 38
表4-4-8 逾期放款率對資產報酬率之轉換區間個數檢定 38
表4-4-9 逾期放款率對資產報酬率之模型估計結果 39
表4-4-10逾期放款率對資產報酬率模型中解釋變數的影響 40

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