論 文 摘 要

學年度：93 學期：2
學校：國立中山大學 系所：財務管理研究所
論文名稱：資本適足規範對銀行逾放比率及營運績效之影響
學位類別：碩士 語別：英文
研究生：劉群偉
指導教授：郭照榮
關鍵字：資本適足率、逾放比率、權益報酬率
論文提要：
隨著自由化與國際化的到來，近十年來銀行所經營的業務已愈趨複雜。本國金融機構逾期放款比率也伴隨著亞洲金融風暴而隨之顯著增加。因此，本研究採用二階段最小平方法來來估計聯立方程式，並檢驗風險基礎資本規範對銀行逾期放款比率和營運績效的影響。實證結果摘要如下：

1. 資本適足率與逾期放款比率呈現負向關係；此意味著資本適足率愈高，逾期放款比率將愈低。因此，採用資本規範將有助於改善資本負債結構。
2. 隨著資本適足率的變動，權益報酬率存在相同的變動方向；也就是說兩者呈現正向變動的關係。一般來說，高獲利的公司有較多的現金流量來滿足此一資本需求。
3. 藉著檢驗第一階段金融改革政策，我們發現只有分別12%與26%的銀行不符合資 本適足率與逾期放款比率的要求。因此，第一階段金融改革已經達到初步的目標。
4. 對不符合標準的銀行，採用t統計量來檢驗實際與標準比率間是否存在顯著差異。根據資料顯示，差異存在的原因主要在於資本負債結構的基本問題，而非缺乏時間去適應新的規範。

Abstract

With the liberalization and globalization, the scope for banks is much more sophisticated in decade. Accompanied with Asian Financial Crisis, the Non-Performing Loan (NPL) ratio of domestic financial institutions has increased significantly. Consequently, this research adopts 2SLS to estimate simultaneous equations and examines the impact of risk-based capital regulation on NPL ratio and operating performance. The empirical results are summarily as following:

1. There exists a negative relationship between capital adequacy ratio and NPL ratio, which means that the higher the capital adequacy ratio is, the lower the NPL loan will be. Therefore, adopting the capital regulation will be helpful to improve the balance-sheet structure.

2. With the change of capital adequacy ratio, ROE moves in the same direction; that is, there is a positive relationship between capital adequacy ratio and ROE. Usually, the high-profit companies have more cash flow to support the capital requirement.

3. Examining the effectiveness of “First-Stage Financial Reform Policy”, we find that only 12% and 26% of the banks are not qualified for capital adequacy ratio and NPL ratio, respectively.. Thus, the “First-Stage Financial Reform Policy” has achieved the preliminary goal.

4. We adopt t-test to distinguish whether the difference between actual and standard figures is significantly large for those disqualified banks. It shows that the main factor might be because of the essential problem of bad asset-debt structure, and not the lack of time to adapt themselves to the new regulation.

Content

Chapter 1 Introduction 1
1.1 Research Background 1
1.2 Research Objectives 3
1.3 Research Framework 4

Chapter 2 The Course of Change and Development in BIS 7
2.1 The Basel Committee on Banking Supervision 7
2.2 The Development of Basel Accord 8
2.3 The Comparison Between 1988 and 2004 Basel Accord 12

Chapter 3 Literature Review 19
3.1 Risk and Capital Requirement 19
3.2 Operating Performance and Capital Requirement 23
3.3 Conclusion of the Literature Review 25

Chapter 4 Model Design and Statistical Hypothesis 27
4.1 Hypothesis Setting 27
4.2 Model Construction and Variables Explanation 28
4.3 Econometrical Method and Identification Problems 32
4.4 Data Source, Term, and Sample Selection 36

Chapter 5 Empirical Result Analysis and Discussion 38
5.1 The Relationship Between CA and NPL Ratio 38
5.2 The Relationship Between CA and Operating Performance 44
5.3 Test the Effectiveness of “First-Stage Financial Reform Policy” 50

Chapter 6 Conclusion and Recommendation 54

Reference 57

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