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Author: 鍾瑞雄
Jui-shiung Chung
Thesis Title: 利率環境與銀行匯率風險行為之影響
Interest Rate and Bank Foreign Exchange Risk-taking
Advisor: 黃瑞卿
Rachel-Juiching Huang
Committee: 曾郁仁
none
陳俊男
Chun-nan Chen
Degree: 碩士
Master
Department: 管理學院 - 財務金融研究所
Graduate Institute of Finance
Thesis Publication Year: 2014
Graduation Academic Year: 102
Language: 中文
Pages: 31
Keywords (in Chinese): 匯率風險利率交互作用金融海嘯金控
Keywords (in other languages): interest rate, foreign exchange risk, interaction effect, financial holdings, financial crisis
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金融海嘯事件過後,全球進入低利率時代,臺灣實質利率更趨近於零,而臺灣之進出口貿易頻繁,企業面臨更多匯率上的風險,且銀行業不同於一般企業,有為客戶需求、自營、投機、避險目的而持有外匯部位,所承擔的匯率風險自然不同於一般企業,故本研究主要探討臺灣銀行業如何因應近年來利率水準上的轉變?匯率風險是否會因此有所變動?
本研究以臺灣27家銀行為研究對象,研究期間為2007年6月至2013年9月,應變數以各銀行匯率風險值為匯率風險之代理變數,而自變數─利率水準方面則採用了多種利率水準,反覆檢視利率水準與銀行匯率風險之關係,以增加本研究之穩健性,並加進相關控制變數及金控、金融海嘯等虛擬變數。
實證結果指出臺灣銀行業不同於Delis and Kouretas (2011)之研究結果:利率水準與銀行風險間為負相關。實證結果顯示當利率水準下降時,銀行匯率風險也將隨之降低,其之間呈現一正相關關係。而本研究也發現利率水準與銀行規模間存在交互作用,利率水準對匯率風險之影響,根據銀行規模大小而有不同。銀行規模與匯率風險的關係,同樣受到利率水準的影響,而有所變動。
另外金控與否對匯率風險則無顯著影響,其與利率水準間也無確定的交互作用。再者,金融海嘯事件前後,則對銀行匯率風險確實有顯著的影響,金融海嘯前,各銀行匯率風險皆高於金融海嘯後之數值,說明各銀行在金融海嘯前承擔較高匯率風險。而金融海嘯前與利率水準之交互作用則不明顯。


After financial crisis, whole world enter a low interest-rate environment. And the spread between depositing rate and lending rate which is on behalf of bank profit decreases. This paper tries to know that how do banks react in Taiwan under this situation. Will they take more foreign exchange risk to pursue profit?
Based on above motivation, this paper uses approximately 200 quarterly observations on 27 banks in Taiwan over the period 2007.09-2013.06 and attempts to provide empirical research on the relation between interest rate and foreign exchange risk. We use value at risk of foreign exchange as a proxy for foreign exchange risk and experiment with various interest rates to robust our results, including a short-term rate, a long-term rate, the central-bank rate, a bank-level lending rate, and a bank-level spread. And further, trying to examine the interaction effect between interest rate and bank size, holdings, and financial crisis.
The empirical results are unlike Delis and Kouretas (2011) research: there is a strong negative relation between interest rate and bank’s risk-taking Instead, these results present strong empirical evidence that low-interest rate indeed decrease bank foreign exchange risk-taking. There is a positive relation between them.
In addition, there is interaction effect between interest rate and bank size. The relation between interest rate and foreign exchange risk differs depend on the size of bank. With bigger size of bank, the relation between interest rate and foreign exchange risk is more positive. And with smaller size of bank, the relation between interest rate and foreign exchange risk is more negative. And before financial crisis, bank’s foreign exchange risk is significant higher than the period after financial crisis. But the interaction effect between in interest rate and holding, financial crisis is not significant.

誌 謝 摘 要 ABSTRACT 目 錄 圖目錄 表目錄 第一章 緒論 1.1 研究背景與動機 1.2 研究目的 1.3 研究架構 第二章 文獻回顧 2.1 匯率風險影響因子 2.2 利率水準對銀行風險之影響 第三章 研究方法 3.1 研究對象、期間及資料來源 3.2 各變數衡量及定義 3.3 統計方法及實證模型 第四章 基本統計量 第五章 實證結果與分析 5.1 皮爾森相關性分析 5.2 利率水準與銀行匯率風險之分析 5.3 利率水準與銀行規模、金控之交互作用 5.4 加入金融海嘯前變數後,利率水準與銀行匯率風險之分析 5.5 利率水準與金融海嘯前變數之交互作用 第六章 結論與建議 6.1 研究結論 6.2 研究建議 參考文獻

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