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系統識別號 U0026-0906201611210000
論文名稱(中文) 銀行與過度風險承擔
論文名稱(英文) Do banks take excessive risks?
校院名稱 成功大學
系所名稱(中) 財務金融研究所
系所名稱(英) Graduate Institute of Finance
學年度 104
學期 2
出版年 105
研究生(中文) 張毓文
研究生(英文) Yu-Wen Chang
學號 R86034139
學位類別 碩士
語文別 英文
論文頁數 37頁
口試委員 指導教授-黃炳勳
口試委員-楊朝旭
口試委員-陳政芳
中文關鍵字 利率  銀行風險承擔  異質性 
英文關鍵字 Interest rate  bank risk-taking  heterogeneity 
學科別分類
中文摘要 本研究係採用美國於2001年到2015年間共6000多筆的年度資料來檢視低利率是否加劇銀行風險承擔行為此一假設。我所得到的結果與此假設並不一致。此篇論文所得到的結果如下:當使用風險資產比率來衡量風險承擔程度時,該比率會隨著短期利率、長期利率,以及央行利率的下降而減少;然而,當使用不良貸款比率做為風險承擔指標時,該比率則是與所有測試的利率之間呈現負向關係,亦即,利率下降時,銀行會提高所願承擔的風險程度。此外,本研究結果亦證實銀行間的異質性會對於其風險承擔行為造成影響。其中,成本效率較低的銀行相對而言會傾向持有較多的風險性資產。
英文摘要 This paper tests the hypothesis that low interest rates are likely to exacerbate banks’ risk-taking behavior by examining approximately 6000 annual observations in the United States over the period of 2001-2015. I find mixed results. Inconsistent with this hypothesis, I find that banks’ risk assets rise with short-term rate, long-term rate, and central bank rate. However, I find opposite results when I measure the level of banks’ risk-taking by non-performing loans. In addition, I find that heterogeneous risk-taking behavior is likely to result from differential bank characteristics. Specifically, less efficient banks tend to take on higher risk than more efficient counterparts.
論文目次 Abstract………………………………………………………………I
摘要…………………………………………………………………………II
致謝…………………………………………………………………………III
1. Introduction 1
2. Literature Review 4
3. Data 7
3.1 Definition of variables 7
3.2 Descriptive statistics 8
4. Model and Results 15
4.1 Empirical model 15
4.2 Main results 15
4.3 Managerial compensation and bank risk-taking 24
5. Conclusion 34
Reference 35
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