本研究主要目的在找出影響金融機構槓桿決策的決定性因素，並發展出結合同業效果、公司特性及經濟不確定性的實證模型，以分析三種管道對金融機構槓桿決策的影響性。本文最主要的兩大貢獻，其一為豐富傳統銀行理論及同業效果文獻的範疇；其二則是將Manski（1993）的同業效果模型延伸應用至財務金融領域。實證結果發現金融機構的槓桿決策會同時受到同業效果、公司特性以及經濟不確定性的影響，而且公司特性是三者當中最具影響力的管道。另外，實證結果亦指出，金融機構之同業效果同時來自金融機構同業特性的改變以及金融機構同業槓桿決策的改變。本文歸納是因為金融機構需要專注於風險管理的行業特性，使得金融機構除了關注同業槓桿決策的改變，亦須注重同業公司特性的改變帶來金融機構相對風險性的改變。此外，本文認為經濟不確定性可能透過改變金融機構的放款行為以及風險承擔能力，間接影響金融機構之槓桿決策。

This paper tries to figure out the determinants for leverage decision of a financial institution and develop an empirical model to combine peer effect, firm-specific characteristics and economic uncertainties together in analysis. Two important contributions of this paper is to building a bridge for traditional banking and peer influence literatures and extend the use of peer effect model of Manski (1993) in financial field. The results present that the leverage decision of a financial institution is affected by firm-specific characteristics channel, peer effects channel and economic uncertainty channel. And among all channels, the firm-specific characteristics channel is most influential one. The results also show that peer influence on leverage is from both peer firm characteristics and peer firm action. This paper concludes essence of financial institutions to focus on risk management let them consider on both the changes in peer firm’s characteristics and the changes in peer firm’s leverage ratio. Besides, changing the lending behavior and risk-taking capacity of a financial institution may be the way of economic uncertainty channel to influence leverage.

論文審定書 i
致謝 ii
摘要 iii
ABSTRACT iv
CONTENTS v
LIST Of TABLES vi
I. INTRODUCTION 1
II. LITERATURE REVIEW 9
2.1 Leverage Decision 9
2.2 Peer Effects 11
2.3 Economic Uncertainty 13
III. METHODOLOGY 17
3.1 The Empirical Model 17
3.2 The Identification Problem 19
3.3 Variable Specification 21
IV. DATA AND DESCRIPTIVE STATISTICS 25
V. EMPIRICAL RESULTS 29
5.1 Reduced-Form Estimation 29
5.2 Structural Estimation 31
5.2.1 Firm-Specific Characteristics Channel 32
5.2.2 Peer Effect Channel 35
5.2.3 Economic Uncertainty Channel 41
5.3 Robustness Checks 43
5.3.1 Interaction of Economic Uncertainty and Characteristics 43
5.3.2 Four Components of Economic Uncertainty Index 49
VI. CONCLUSION 53
REFERENCE 57

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