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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/105084

    Title: 銀行流動性風險與經營績效之關聯分析 : Panel分量迴歸模型之應用
    Other Titles: The relationship between the bank liquidity risk and operational performance : application of Panel quantile regression model
    Authors: 張伊婷;Chang, I-Ting
    Contributors: 淡江大學財務金融學系碩士班
    Keywords: 銀行流動性風險;銀行經營績效;分量迴歸;固定效果;隨機效果;Bank Liquidity Risk;operational performance;Quantile Regression Model;Fixed Effect Model;Random Effect Model
    Date: 2015
    Issue Date: 2016-01-22 14:47:22 (UTC+8)
    Abstract: 國家的經濟發展及穩定與金融體系息息相關,又在金融體系中銀行扮演著舉足輕重的角色,而流動性更是被視為銀行經營的生命線。然而流動性風險產生的原因可能為銀行的流動性計劃不完善之外,信用、市場、操作等風險領域的管理缺陷同樣會導致商業銀行的流動性不足,造成整個金融系統出現流動性困難。
    本文主要利用Koenker and Bassett(1978)所提出的分量迴歸模型並另外結合固定效果的縱橫迴歸模型來解釋台灣商業銀行的流動性風險與銀行經營績效間的關聯,同時亦對銀行流動性風險與銀行整體風險間做討論,以提供台灣商業銀行對流動性風險控管的參考。實證結果發現:一、銀行流動性財務指標對銀行經營績效(資產報酬率)在不同分量下有不同的抵換關係。二、銀行流動性財務指標對銀行總風險(逾放比率)在不同分量下有不同的抵換關係。
    The country''s economic development and stability is closely related to the financial system. The bank also play a pivotal role in the financial system and liquidity is to be regarded as the lifeblood of banks. However, liquidity risk cause about not only bank''s liquidity plan inadequate but also management deficiencies of credit, market, operational.
    This paper used panel quantile regression model to explain not only the liquidity risk associated with the bank''s operating performance and bank total risk between Taiwan''s commercial banks to provide Taiwan commercial banks for liquidity risk control reference. The empirical results show as follows. First, bank liquidity index for banks operating performance (return on assets) have a different relationship under different quantile. Second, bank liquidity index for banks operating performance (non-performing loans ratio) have a different relationship under different quantile.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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