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Author: 張孟勳
Meng-Hsun Chang
Thesis Title: 利率環境對於銀行信用風險行為之影響
The Effects of Interest Rates toward Credit Risk-Taking of Banks
Advisor: 陳俊男
Chun-Nan Chen
黃瑞卿
Rachel-Juiching Huang
Committee: 劉代洋
Day-Yang Liu
曾郁仁
none
Degree: 碩士
Master
Department: 管理學院 - 財務金融研究所
Graduate Institute of Finance
Thesis Publication Year: 2015
Graduation Academic Year: 103
Language: 中文
Pages: 41
Keywords (in Chinese): 利率水準信用風險承擔逾期放款率備抵呆帳覆蓋率金控金融海嘯
Keywords (in other languages): Credit Risk-taking, Loan Loss Coverage Ratio, Financial Holding
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近年來台灣處於低利率水準的環境,銀行體系對於信用風險的承擔是增加或是減少呢?本研究延伸了文獻Delis and Kouretas (2011),加入多種總體的利率及各家銀行的利率,藉此反覆檢測來增強本研究的穩健性。在應變數方面也增設備抵呆帳覆蓋率做為衡量銀行信用風險的指標,以此比率配合逾期放款率從正反面來檢測信用風險的準確性。
此外本研究加入金控-虛擬變數,探討金控的性質是否影響銀行的信用風險。在研究期間方面,Delis and Kouretas (2011)的期間為2001年至2008年,而本研究將探討2008年金融海嘯事件是否影響銀行的信用風險,因此將期間延為2005年至2013年,並加入金融海嘯前-虛擬變數加以分析。最後加入兩項虛擬變數與利率的交叉項,探討此交叉項是否對於利率水準與信用風險的承擔之間的相關性造成影響。
實證結果顯示台灣銀行業於2005年至2013年的低利率環境下,將顯著地降低信用風險的承擔,此結論不同於Delis and Kouretas (2011)提出的利率水準與信用風險承擔呈顯著負相關。此外,金控的性質將使銀行業承擔較低的信用風險,但卻會降低利率水準對於信用風險的影響。而於2008年金融海嘯前,銀行業的信用風險承擔較高,且會改變利率水準與信用風險之間的相關性,顯示2008年海嘯事件造成了利率水準與信用風險的關係呈現不同的結果。


Whether the credit risk-taking of banks is affected by the low-interest rate in recent years in Taiwan is the main discussion in this paper. This paper expands the thesis of Delis and Kouretas (2011) by using a variety of interest rates, and through the repeated tests to increase the stability of the study. Then this paper increases the factor which is Loan Loss Coverage Ratio as a dependent variable. Furthermore, we test the precision of credit risk by using Loan Loss Coverage Ratio and Non-Performing Loans Ratio

Next, this study creates the Dummy Variable of Financial Holding and investigates whether the credit risk of banks is affected by the nature of the financial holding. In terms of the study period , Delis and Kouretas (2011) covered the period from 2001 to 2008. This paper analyzes whether the credit risk of banks is affected by financial crisis of 2008, so we change the studying period from 2005 to 2013 and adds the Dummy Variable “Tsunami” as a proxy for the period before Financial Crisis. Finally, we also discuss whether there is interaction effect between interest rate and financial holding, tsunami or not.

The result shows that Taiwanese banks had reduced it credit-risk because of low interest rate since 2005. This outcome is different from M. D. Delis and Kouretas (2011), which claims that interest rates was significantly negative correlated to credit risk. The reason to set up a Financial Holding is to decrease the credit risk from bank, however, Financial Holding increase the credit risk when the bank is in low interest rate position. We can see that bank’s credit risk is high before financial crisis of 2008, but not after 2008. This consequence shows that interest rate and credit risk come out with different relationship to each other.

誌 謝 III 摘 要 IV ABSTRACT V 目 錄 VI 圖目錄 VII 表目錄 VIII 第一章 緒論 1 1.1 研究背景與動機 1 1.2 研究目的 2 1.3 研究架構 2 第二章 文獻回顧 4 2.1 利率水準與信用風險的承擔 4 2.2 金控公司對於信用風險的影響 5 2.3 金融危機對於銀行業信用風險的影響 5 2.4 銀行信用風險的影響因素 6 第三章 研究方法 7 3.1 研究對象、期間、資料來源 7 3.2 各變數衡量及定義 7 3.3 統計方法及實證模型 11 第四章 基本統計量 15 第五章 實證結果與分析 20 5.1 皮爾森相關性分析 20 5.2 利率水準與銀行信用風險值之分析 21 5.3 利率水準與金控、金融海嘯前之交互作用 22 5.4 利率水準與銀行信用風險成長值之分析 22 第六章 結論與建議 37 6.1 研究結論 37 6.2 研究建議 38 參考文獻 39  

中文部分
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英文部分
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