English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 49064/83170 (59%)
造訪人次 : 6964666      線上人數 : 68
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31730


    題名: 資本適足率與銀行風險及財務績效之關聯-縱橫平滑移轉模型之應用
    其他題名: Risk-based capital ratio, bank's risk and financial performance: by using panel smooth transition regression model
    作者: 張婷雁;Chang, Ting-yen
    貢獻者: 淡江大學財務金融學系碩士班
    聶建中;Neih, Chien-chung
    關鍵詞: 縱橫平滑移轉迴歸模型;縱橫平滑移轉效果;無清償能力風險;資本適足率;財務績效;panel smooth transition regression model;panel smooth transition effect;insolvency risk;risk-based capital ratio;financial performance
    日期: 2007
    上傳時間: 2010-01-11 01:11:12 (UTC+8)
    摘要: 本研究探討我國銀行業資本適足率之規範與銀行風險和銀行財務績效之縱橫平滑移轉效果,運用Gonzalez, Terasvirta and Dijk(2004, 2005)之縱橫平滑移轉迴歸模型,臆測資本適足率規範對銀行風險及銀行財務績效是否存在縱橫平滑移轉效果。並進一步對銀行風險及財務績效受控制變數之影響進行評估與衡量。
    實證結果發現,資本適足率和銀行風險間之縱橫平滑移轉模型,在資本適足率為9.0782%時發生結構性變化,但因轉換速度高達3302.9,使得模型在轉換門檻值附近形成一結構性改變的跳躍式模型。此外,資本適足率和銀行財務績效間之縱橫平滑移轉效果確實存在,在資本適足率為11.0055%時產生一轉換區間,且因轉換速度僅0.4139,使得模型在轉換門檻值附近形成一平滑的轉換過程。
    控制變數對銀行風險及財務績效之影響方面,增加資產規模造成銀行風險提高,並使高資本適足率銀行之財務績效惡化。提高淨值成長率可有效降低銀行風險,卻使高資本適足率銀行財務績效下降。顯示適當之資本適足率規範確實可提高銀行財務績效,但過高卻導致反效果。故建議銀行管理當局應於適當限度下,妥善運用資本適足率之管制,以求取最佳化策略。
    In this paper, we investigate panel smooth transition effect between Risk-based capital ratio and bank’s risk and panel smooth transition effect between Risk-based capital ratio and bank’s financial performance by using panel smooth transition regression model (Gonzalez, Terasvirta and Dijk, 2004, 2005). In addition, we assess and weigh the bank’s risk and financial performance by the influence of independent variables.
    The results as follow: First, panel smooth transition regression model between Risk-based capital ratio and bank’s risk jumps abruptly at 9.0782%, because the transition speed is up to 3302.9, which makes the model form a structural change close to transition threshold value. Second, panel smooth transition regression model between Risk-based capital ratio and bank’s financial performance produces a smooth transition at 11.0055%, because the transition speed is only 0.4139 that makes the model form a smooth transfer process close to transition threshold value. Third, we propose the administrative authority of the bank should use the control’s power of the risk-based capital ratio properly, in order to reach the financial optimization strategy.
    顯示於類別:[財務金融學系暨研究所] 學位論文

    文件中的檔案:

    檔案 大小格式瀏覽次數
    0KbUnknown304檢視/開啟

    在機構典藏中所有的資料項目都受到原著作權保護.

    TAIR相關文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回饋