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    Title: 銀行資本與風險:以分量迴歸法分析
    Other Titles: Bank capitalization and risk-taking: quantile regression analysis
    Authors: 練維棟;Lien, Wei-tung
    Contributors: 淡江大學經濟學系碩士班
    林淑琴;Lin, Shu-chin
    Keywords: 資本;風險;分量迴歸;緩衝效果;資產替代效果;利潤效果;稀釋效果;Capitalization;Risk-Taking;Quantile Regression;Buffer Effect;Asset-Substitution Effect;Profit Effect;Dilution Effect
    Date: 2008
    Issue Date: 2010-01-11 02:11:44 (UTC+8)
    Abstract: 本研究旨在探討不同風險程度下,銀行資本對其風險的影響。利用1997年至2002年,美國54家商業銀行資料,並以分量迴歸法進行實證分析。實證結果顯示,相較於中、低風險群銀行,高風險群銀行在資本增加後,由於預期利潤的下降,越可能提高風險性資產的投資,擴大本身的業務範圍,再加上高風險群銀行若是透過發售股票的形式來提高資本,將稀釋銀行內部投資人的所有權,減少銀行內部投資人的努力動機,銀行風險更可能提高。因此,增加資本將使得高風險群銀行的風險也隨之提高,趨於嚴格的資本規範反而擴大此類型銀行的風險,造成金融體系的不穩定。倘若政府想藉由資本相關規範來降低銀行風險、強化金融市場健全度,首要的課題在於區別出銀行的風險程度,針對高風險群銀行實行其它配套措施,才能更有效率地達到預期目標。
    This paper empirically investigates the effects of capital on bank risk-taking activities. Specifically, we examine whether the bank capital-risk link varies with the degree of bank risk. Applying to 54 American commercial banks during the period of 1997-2002, our quantile regression results show that the high-risk banks tend to have greater risk as (both equity and total) capital increases due either to capital regulation or market forces than the low- and middle-risk banks. As such, the stringent capital regulation would lead to more instability in the financial system. Our analysis thus implies that the monetary authorities need to consider the heterogeneous response of banks with different risk in order to reduce bank risk via the relevant capital reforms.
    Appears in Collections:[經濟學系暨研究所] 學位論文

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