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系統識別號 U0026-2606201811414300
論文名稱(中文) 流動性對放款成長的影響-以美國地區銀行為例
論文名稱(英文) The effect of liquidity on lending growth - Evidence from USA banking industry
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 106
學期 2
出版年 107
研究生(中文) 許珉綺
研究生(英文) Ming-Chiy Hsu
學號 R86054024
學位類別 碩士
語文別 英文
論文頁數 56頁
口試委員 指導教授-王澤世
口試委員-劉裕宏
口試委員-陳怡凱
中文關鍵字 銀行流動性  籌資流動性  存貸比  放款  銀行規模  金融危機  銀行資本  固定效果  二階段最小平方法 
英文關鍵字 Bank Liquidity  Funding Liquidity  Deposits to Loan  Lending Behavior  Bank Size  Financial Crisis  Bank Capital  fixed effect  2SLS 
學科別分類
中文摘要 這篇論文主要在探討不同定義的流動性對放款成長的影響,放款分為授信及貸款,並進階討論在不同情況下的影響,分別是針對規模大的銀行、金融危機時期,以及考慮資本比率狀況下,對放款成長之關係。我們使用固定效果回歸以及二階段最小平方法 (2SLS),來探討流動性對放款成長的影響。此篇採用三種流動性,(1) 流動資產對總資產比 (2) 存款對總資產比 (3) 存款對貸款比。我們使用 FFIEC 抓取 2001 至 2017年美國銀行產業的季資料。結果顯示,在流動資產對總資產比較高時,在一般情況下、規模大的銀行、金融危機時期,放款成長皆會增加,而在考慮資本比率時,在固定效果回歸中對放款成長為負相關,然而在 2SLS 中對貸款為正相關。在存款對總資產比較高時,在一般情況下,放款成長會增加,然而,在金融危機時期,以及考慮資本比率時,放款成長皆為負相關,而對於規模大的銀行則沒有足夠證據顯示他們之間的關係。在存款對貸款比較高時,在一般情況下、對於規模大的銀行,放款成長與存貸比為正相關,然而,在金融危機時期,以及在考慮存貸比與資本比率交乘效果時,對放款成長為負相關。
英文摘要 This paper examines the effect of different definitions of liquidity on lending growth. Lending includes credit and loan, and discusses the impact among different situations. We consider the large banks, during the financial crisis, and its interaction effect with capital ratio. We use fixed effect regression and two stage least squares instrumental variable method (2SLS) to discuss their effects. This paper employed three liquidity ratios: (1) liquid assets to total assets (LIQ) (2) deposits to total assets (DTA) (3) deposits to loan ratio (DTL).
We used quarterly data of USA banking industry from 2001 to 2017 to test these relationships. In the common situation, for the large banks, and during the financial crisis, increased LIQ, will lead to an increase in lending growth. But when the LIQ increases with the capital ratio, lending growth will decrease. But for the result of 2SLS is positive for loan growth. We find that when DTA increases, the lending growth will increase in the common situation, but lending growth will decrease during the financial crisis, and with the capital ratio. There is no direct effect for the large banks. For the increasing of the DTL, in the common situation, for the large banks, lending growth will increase. The relation between the DTL and the lending growth are negative during the financial crisis, and with the capital ratio.
論文目次 I. INTRODUCTION........... 1
II. LITERATURE REVIEW AND HYPOTHESIS DEVELOPMENT..... 5
2.1. LITERATURE REVIEW ............. 5
2.2. HYPOTHESES DEVELOPMENT ........... 7
III. RESEARCH METHOD ........... 14
3.1. DATA.............. 14
3.2. MODEL .............. 18
IV. EMPIRICAL RESULTS........... 24
4.1. BASELINE REGRESSION RESULTS .......... 24
4.2. REGRESSION RESULTS FOR LARGER BANKS........ 31
4.3. REGRESSION RESULTS DURING THE GLOBAL FINANCIAL CRISIS PERIOD ... 37
4.4. REGRESSION RESULTS FOR THE CAPITAL RATIO AND THE LIQUIDITY RATIO.... 44
V. CONCLUSIONS ............ 50
REFERENCES............ 54
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