System No. U0002-1706201223435900 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 A Study of the Taiwanese Banks’ Loan Loss Reserve -Approach of Panel Smooth Transition Regression Model 淡江大學 財務金融學系碩士班 Department of Banking and Finance 100 2 101 陳彥騰 Yan-Tang Chen 699530878 碩士 Traditional Chinese 2012-05-07 55page advisor - Chien-Chung Nieh co-advisor - Chien-Fu Lin co-chair - 聶建中 co-chair - 林建甫 co-chair - 陳達新 co-chair - 姚蕙芸 co-chair - 韋伯韜 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 Banks' Loan-Loss-Reserve Banks' Earnings Before Provision and Tax Panel Smooth Transition Regression Model Anti-cyclical hypothesis ```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」。``` ```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」.``` ```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``` ```參考文獻 ㄧ.中文文獻 王富源 (2010)，我國銀行業盈餘管理動機、內部關聯性與監督機制對盈餘管理影響之研究，淡江大學會計學系碩士論文 李同龢、顧裔芳、王姿斐、陳海敏 (2005)，經理人藉盈餘管理影響信用評等之探討，會計與公司治理，卷2，頁1-24 李佩玲 (2008)，瞻前或顧後？來自銀行提列備抵呆帳的證據，第十二屆科技整合管理研討會期刊，頁558-590 李昆鴻 (2011)，銀行盈餘管理的行為：來自提列呆帳準備費用之觀察，國立暨南大學財務金融學系碩士論文 李怡采 (2011)，董事會結構與台灣商業銀行盈餘管理之研究，朝陽科技大學會計研究所碩士論文 余紀純 (2010)，實施Basel II後銀行緩衝資本與景氣循環關係之實證研究，國立交通大學財務金融研究所碩士論文 吳佩玲 (2011)，台灣銀行業使用動態提列放款損失方法效率之研究，國立中正大學財務金融研究所碩士論文 沈中華 (1995)，銀行評比：推估品質一致的盈餘，金融風險管理季刊，卷1，3期，頁89-105 沈中華與謝孟芬 (2006)，金融業提列備抵呆帳與景氣循環、法規之關聯性分析-以49個國家為例，財金論文叢刊，4期，頁1-23 沈中華、陳庭萱 (2008)，臺灣商業銀行修正呆帳提列後的成本效率實證研究，經濟論文，卷36，頁221-247 金保宏 (2011)，銀行業壞帳提列與盈餘管理關聯性之研究，東吳大學會計學系研究所碩士論文 柯朝欽 (2010)，盈餘管理？台灣銀行產業之第四季差異分析，國立高雄第一科技大學風險管理保險所碩士論文 張正杰 (2005)，商業銀行提列可裁決性呆帳以平穩盈餘之實證研究，朝陽科技大學企業管理系碩士班論文 陳育成 (2002)，台灣金融業的壞帳管理及相關研究，管理評論，卷21，41期，頁1-17 陳健渝 (2007)，我國銀行業盈餘管理現象之探索與研究，淡江大學會計學系碩士在職專班碩士論文 陳亞雯 (2009)，台灣銀行業資訊透明度與盈餘管理行為之探討，靜宜大學財務金融研究所碩士論文 陳皇丞 (2011)，金融控股公司旗下銀行子公司盈餘管理與裁量性壞帳費用關係之研究，國立臺灣大學會計學研究所碩士論文 許治文 (2011)，我國銀行業順景氣循環現象之研究，雲林科技大學管理研究所博士論文 羅靖霖、鄭惠如、鍾俊文 (2007)，銀行業應提列備抵呆帳及真實淨值估計，貨幣觀測與信用評等，卷63，頁40-48 羅靖霖、鄭惠如 (2011)，銀行企金業務應提備抵呆帳是否足夠？--依TCRI等級違約率試算，貨幣觀測與信用評等，卷92，頁22-31 二.英文文獻 Andrews, D. 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