| Abstract: | 銀行業是重要的金融仲介機構，經由資產轉換過程而獲利，又以授信資產之放款債權為主要項目，而其利息收益更是主要收益來源。由過去相關文獻可得知：授信品質與經營績效應存有一定關聯性。因此本文以逾期放款比率與逾期放款覆蓋比率做為模型影響變數，針對銀行業之每股盈餘、資產報酬率與淨值報酬率等三種經營績效面，運用Gonza’lez, Teräsvirta and Dijk（2004, 2005）之縱橫平滑移轉迴歸模型，在銀行授信品質與經營績效之關連性上做探討，使銀行業在追求最大利潤與風險控管上尋求出一個最適切的平衡點。而本文所得到之實證結論如下：
(一)當逾期放款覆蓋比率相對處於低檔，會造成銀行經營效率降低，每股盈餘隨之下降。
(二)當逾期放款覆蓋比率高於轉換門檻值時，逾期放款比率對每股盈餘呈現顯著的負相關。
(三)當逾期放款覆蓋比率相對較高，且逾期放款比率同時處於高檔，此時會降低銀行經營績效。
(四)當逾期放款比率相對處於低檔，若提高逾期放款覆蓋率，將使得每股盈餘、資產報酬率與淨值報酬率隨之下降，對銀行經營績效影響為顯著負相關。
(五)在授信資產品質較佳下，使逾期放款比率相對處於低檔，可藉由降低負債比率，提高放款比率，增加經營績效，使負債比率對每股盈餘與淨值報酬率呈現負相關。
(六)在逾期放款比率過高時對資產報酬率呈現正相關。
Banking is important as a financial intermediary, it gets profits through the asset conversion. Its main loan activity is the claims on credit assets, and the interest income is the most important profit of all. In the relevant literatures, the quality of credits may be related to the operation performance. Therefore, for the EPS, ROA and ROE of Banks, we use the Overdue Loan ratio and the Bad Debts-Overdue Loan ratio as the variables of the model to discuss if the quality of credits and the operation performance are related, and intend to find the balance between the maximum profit and risk control. Utilizing the panel smooth transition regression model developed by Gonza’lez, Teräsvirta and Dijk (2004-2005), The main empirical finding as below：
1.When the Bad Debts-Overdue Loan ratio is relatively low, it will reduce the efficiency of banking operations and decreases the EPS.
2.When the Bad Debts-Overdue Loan ratio is higher than the conversion ratio, it is a negative correlation between the Overdue Loan ratio and the EPS.
3.When the Bad Debts-Overdue Loan ratio is relatively high, and the Overdue Loan ratio is also high, it will reduce the efficiency of banking operations.
4.When the Overdue Loan ratio is relatively low, and we raise the Bad Debts-Overdue Loan ratio, it will reduce the EPS, ROA and ROE. It is a negative correlation to the operation performance.
5.Given that the quality of credits is good, if the Overdue Loan ratio is relatively low, it will improve the operation performance by decreasing the debt ratio and increasing the loan ratio, and make the EPS and ROE are negatively related to debt ratio.
6.In asset size, the Overdue Loan ratio is positively related to the ROA only when it is too high.
7.Among the financial and the electronic stock, when the turnover rate is low, it is negatively related to the return；and when the turnover rate raises, it becomes positively related to the return. |
