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系統識別號 U0026-0507201914331200
論文名稱(中文) 本國銀行資本適足率與獲利能力及信用風險之關聯性
論文名稱(英文) The Relationship between Capital Adequacy Ratio, Profitability and Credit Risk in Taiwanese Banking
校院名稱 成功大學
系所名稱(中) 會計學系
系所名稱(英) Department of Accountancy
學年度 107
學期 2
出版年 108
研究生(中文) 周亞嫻
研究生(英文) Ya-Hsien Chou
學號 R16061035
學位類別 碩士
語文別 中文
論文頁數 42頁
口試委員 指導教授-吳思蓉
口試委員-王澤世
口試委員-謝喻婷
中文關鍵字 臺灣銀行業  資本適足率  獲利能力  信用風險  巴塞爾資本協定 
英文關鍵字 Taiwanese Banking  Capital Adequacy  Profitability  Credit Risk  Basel Accords 
學科別分類
中文摘要 2007年到2009年全球金融危機重創全球經濟,因此在金融危機之後,相關主管機關即針對金融監理機制進行全面性檢討與改革,資本適足規定變嚴已然成為國際趨勢,國際清算銀行於2010年發布巴塞爾資本協定Ⅲ,將原來之版本修訂成更為周全之資本適足規定,臺灣主管機關亦根據巴塞爾資本協定Ⅲ修訂相關規範。本研究以2001年至2017年間,臺灣18家公、民營銀行為樣本,欲探討臺灣銀行業資本適足率與其績效表現之關聯性。本研究實證結果顯示資本適足率與銀行獲利能力及信用風險存在關聯性,更進一步探討發現,在金融危機之前,維持高資本適足率之公股銀行有較佳的獲利能力及較低的信用風險,表示維持較高資本適足率的銀行可能相對也較重視風險管理。然而金融危機時期,資本適足率較高之銀行獲利能力表現較差,而在金融危機之後,資本適足率與獲利能力仍為負相關,且與信用風險為正相關。整體而言,資本水準較高之公股銀行信用風險較低,而維持高資本適足率之民營銀行獲利能力較差。本篇論文之實證結果應可作為主管機關執行資本適足規定之參考。
英文摘要 This study examines the relationship between capital adequacy ratio, profitability and credit risk in Taiwanese banking by using a sample of 18 state-owned and private banks during 2001-2017. The results show that the capital adequacy is associated with Taiwanese banks’ performance. This study further investigates the relationship between capital adequacy and performance before, during, and after the 2008 financial crisis. The results show that state-owned banks with higher capital adequacy is more profitable and with lower credit risk before the crisis. However, during and after the crisis, the relationship between capital adequacy and profitability is negative while the relationship between capital adequacy and credit risk is positive after the crisis. In sum, well-capitalized state-owned banks have relatively lower credit risk while well-capitalized private banks is less profitable.
論文目次 第壹章 緒論...........................1
第貳章 相關法規、文獻探討與假說建立.....4
第一節 相關法規........................4
第二節 文獻探討........................6
第三節 假說建立........................11
第參章 研究方法........................12
第一節 研究樣本........................13
第二節 研究模型........................13
第肆章 實證結果........................15
第一節 敘述性統計......................15
第二節 主要測試........................17
第三節 額外測試........................18
第四節 穩健性測試......................22
第伍章 結論............................23
參考文獻...............................24
附錄..................................29
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