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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/52731

    Title: 銀行資本與其風險態度-分量迴歸分析
    Other Titles: Bank Capitalization and Risk-Taking: Quantile Regression Analysis
    Authors: 練維棟;陳亞為;莊希豐
    Contributors: 淡江大學經濟學系
    Keywords: 分量迴歸;資本規範;銀行風險態度;銀行資本;quantile regression;capital reforms;risk-taking;bank capital
    Date: 2009-12
    Issue Date: 2013-03-12 12:21:56 (UTC+8)
    Publisher: 臺北縣:淡江大學
    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。利用美國54家商業銀行在1997~22期間的資料進行分析,分量迴歸的結果顯示,相較於中、低風險群銀行,高風險群銀行在資本增加後,愈可能提高風險性資產的投資。因此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。若政府想藉由資本相關規範降低銀行風險,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 bank capital on its risk-taking activities. Specifically we examined whether the bank capital-risk link varies with the degree of bank risk. Applied to 54 American commercial banks during the period of 1997-2002, the quantile regression results show that the high-risk banks tended to bear greater risk as capital increased due either to capital regulation or market forces than the low and middle-risk banks did. As such, stringent capital regulation would lead to more instability in the financial system. Our analysis thus suggests 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.
    Relation: 淡江人文社會學刊=Tamkang Journal of Humanities and Social Sciences 40,頁41-66
    Appears in Collections:[Graduate Institute & Department of Economics] Journal Article

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