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中文論文名稱 國內銀行財務特徵對使用衍生性金融商品之影響-縱橫平滑移轉迴歸模型之運用
英文論文名稱 Effect of Domestic Financial Characteristics on Derivatives - An Application of Panel Smooth Transition Regression Model
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士在職專班
系所名稱(英) Department of Banking and Finance
學年度 99
學期 2
出版年 100
研究生中文姓名 余思隆
研究生英文姓名 Szu-Lung Yue
學號 798530399
學位類別 碩士
語文別 中文
口試日期 2011-05-22
論文頁數 63頁
口試委員 指導教授-邱建良
共同指導教授-吳佩珊
委員-李命志
委員-黃博怡
委員-郭宗賢
中文關鍵字 財務特徵  衍生性商品  PSTR模型 
英文關鍵字 Financial Characteristics  Derivatives  PSTR Model 
學科別分類
中文摘要 近年來本國銀行對衍生性金融商品的使用量越來越高,除原先避險的的原因以外,銀行為增加手續費用收入而增加衍生性商品的使用。我國從1991年7月起逐漸開放銀行辦理衍生性商品業務,截至2010年11月底為止,我國衍生性商品有20餘種且逐漸增加,我國的衍生性金融商品已更多樣化。
本研究之目的在探討台灣地區本國銀行使用衍生性金融商品與財務特徵間的關係,另針對金融監理機關監控的財務構面挑選出資本額、負債資產比、淨值比、放款比、流動比、流動資產比、淨利息邊際、資產報酬率、董監事持股比等。根據Gonza’lez, Terasvirta and Dijk(2004,2005) 修正後的縱橫門檻迴歸模型,稱為縱橫平滑移轉迴歸模型(Panel Smooth Transition Regression Model)來檢定衍生性金融商品使用與銀行財務特徵的關係。縱橫平滑移轉迴歸模型(Panel Smooth Transition Regression Model)是修正縱橫門檻迴歸模型中觀察值靠近門檻值時會產生不合理的跳躍過程,在模型修正上增加一個移轉速度將跳躍過程修正為平滑移轉,使模型解釋更加合理。過程中採用Terasvirta (1988)提出之方法,在虛無假設 下對選取資料進行同質性檢定,再進行門檻變數設定,檢定衍生性金融商品使用與銀行財務特徵的關係。
因縱橫平滑移轉迴歸模型(Panel Smooth Transition Regression Model)可設定門檻變數將樣本資料分組(本文設定資本額為門檻變數),於研究過程中可了解分組銀行間的衍生性商品使用的差異。本研究結果顯示:在淨放款比、公司規模、負債資產比、淨值比越高、流動比、流動性資產比、董監事持股比的情況下會增加衍生性金融商品操作。淨利息邊際愈高則衍生性金融商品操作可能性愈低。結果與國外文獻大致符合,顯示本國銀行的衍生性金融商品使用尚在合理的範圍當中,國內主管機關在衍生性金融商品市場發展的管理與政策的擬定要多加考量以免銀行過度投機操作衍生性金融商品造成金融市場的不良影響。
英文摘要 In recent years, domestic bank was getting higher and higher to the derivatives’ amount of use, besides took refuge from danger, the bank increase the derivatives the use for raising the service charge income. In Taiwan, we opens the bank to handle the derivatives from July, 1991.
By the end of November, 2010 , Taiwan has 20 kinds of derivatives, and increases gradually. Derivatives are diversification in Taiwan .

This research will study the relation between domestic bank in Taiwan use derivatives and the financial characteristic. We choice several items from the financial overseeing institution monitors financial construction surface, that is capital, debt ratio, net worth ratio, loan ratio, liquidity ratio, liquid assets ratio, net interest margin, return on assets, board ownership ratio. According Gonza'lez, Terasvirta and Dijk (2004,2005) modified panel threshold regression model, called the Panel Smooth Transition Regression model aspect to test use of financial
derivatives between banks and financial characteristics. Panel Smooth Transition Regression Model modified observations in panel threshold regression model, which close to the threshold value will have unreasonable jump process. In this model , it add a transfer rate to revise jump process for smooth transition, and make the model more reasonable explanation. In the process, used Terasvirta (1988) proposed method, when the null hypothesisγ = 0, we carries on the homogeneous examination of the selected test data. Then we set the threshold variable and test
use of financial derivatives between banks and financial characteristics. Smooth Transition Regression Model can set the threshold variable and group the sample data (we set the threshold variable for amount of capital variable), in the research process it will help us to know the
difference of using derivatives between grouping bank. The results indicated that: when capital, loan ratio, net worth ratio, liquidity ratio, liquid assets ratio, debt ratio, board ownership ratio, are higher, the bank will use more derivatives. When net interest margin is higher, the bank will use less derivatives. The result conforms to the overseas literature, it shows domestic bank use financial derivatives at reasonable scope. The domestic Controlling organization must draw up the policy carefully to manage derivative finance commodity market. To Avoid the bank uses the derivatives excessively to cause the financial market the adverse effect.
論文目次 目 錄
第一章 緒論……………………………………………………………1
第一節 研究動機與目的……………………………………………1
第二節 研究流程與研究架構………………………………………4
第三節 衍生性金融商品的介紹……………………………………6
第二章 文獻探討………………………………………………………11
第一節 銀行操作衍生性金融商品的動機…………………………11
第二節 相關實證文獻探討…………………………………………19
第三章 研究方法………………………………………………………29
第一節 縱橫平滑移轉迴歸模型……………………………………29
第二節 縱橫平滑移轉迴歸模型之設定……………………………33
第四章 實證結果分析…………………………………………………39
第一節 基本資料分析………………………………………………39
第二節 變數說明及預期關係………………………………………43
第三節 實證結果分析………………………………………………47
第五章 結論與建議……………………………………………………57
第一節 結 論……………………………………………………… 57
第二節 建 議……………………………………………………… 59
參考文獻……………………………………………………………… 61
表目錄
表1-1 我國銀行店頭衍生性商品交易量………………………………1
表1-2 常見的利率契約規格……………………………………………6
表1-3 常見的匯率契約規格……………………………………………7
表1-4 常見的權益契約規格……………………………………………7
表1-5 常見的商品契約規格……………………………………………8
表1-6 常見的信用契約規格……………………………………………8
表2-1 Whidbee and Wohar,1999研究結果………………………… 22
表2-2 國外文獻彙總表…………………………………………………26
表2-3 國內文獻彙總表…………………………………………………28
表4-1 衍生性金融商品分類風險別……………………………………41
表4-2 衍生性金融商品分類商品別……………………………………41
表4-3 樣本銀行之基本統計資料………………………………………43
表4-4 衍生性金融商品風險別餘額實證結果…………………………48
表4-5 衍生性金融商品別餘額實證結果………………………………50
表4-6 資本額分類實證結果……………………………………………52
表4-7 預期變數與國內外文獻比較……………………………………56
圖目錄
圖1-1 研究架構…………………………………………………………5
圖3-1 指數型模型之m=2轉換模型……………………………………33
圖4-1 衍生性商品總餘額變化……………………………………… 40
參考文獻 英文文獻
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中文文獻
1.陳靜修,「我國上市公司衍生性金融商使用及財務報導之實證研究」,成功大學會計學研究所碩士論文,民國87年6月。
2.盧素珍,「國內銀行操作衍生性金融商品財務報導之實證研究」,成功大學會計學研究所碩士班論文,民國88年6月。
3.王芳萍,「投資不足問題與衍生性資產使用關係之實證研究」,高雄第一科技大學金融營運系碩士班論文,民國89年6月。
4.張簡廷仲,「銀行業避險策略決定因素之實證研究」,淡江大學管理科學學系研究所碩士論文,民國90年6月。
5.邱正仁,高蘭芬,盧素珍,「從財務報表揭露探討我國金融機構衍生性金融商品操作」,中華管理評論國際學報,Vol.6 ,NO.2, 民國92年4月。
6.莫鳳圓,「臺灣地區本國銀行使用衍生性金融商品與財務特徵之實證研究」,台灣科技大學財務金融研究所碩士論文,民國95年5月。
7.金耀宙,「衍生性金融商品交易,銀行營運績效與經濟波動」,中正大學財務金融研究所碩士論文,民國96年11月。
8.中央銀行金融業務檢查處,「銀行衍生性商品交易量統計」,金融統計資料,民國99年11月。
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