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    題名: 銀行不良債權回收與資產品質, 管理績效及獲利能力間之關聯性
    其他題名: The relationship between non-performing loans and the efficiency of the domestic banks
    作者: 蔡翼仲;Tasi, I-Change
    貢獻者: 淡江大學國際企業學系碩士在職專班
    劉一成;Liu, Yi-Cheng
    關鍵詞: 不良債權;CAMELS法則;混合迴歸模型;資產品質;Non-Performing Loans;CAMELS;Mixture Regression Model;Bank Profitability
    日期: 2012
    上傳時間: 2012-06-21 06:36:11 (UTC+8)
    摘要: 本研究主要探討銀行業不良債權回收與銀行本身資產品質、經營績效,以及獲利能力因素間之關聯性,本文採用CAMELS標準法則中的三種類型和八項財務指標檢定銀行業處分不良債權或資產之關係的關連性。研究期間從2005年第二季起到2011年第二季為止,共採用國內28家銀行季的統計資料,以縱橫資料及利用混合迴歸模型來分別針對所提出的四項的研究假設進行檢定。另外,並同時使用最小平方模型、固定效果模型和隨機效果模型等三種模型進行估計和比較結果。
    經由實證結果顯示:一、近年來本國銀行在資本或資產品質雖有所改善,但在銀行的經營績效和獲利能力方面則需要進一步加強提升。二、本國銀行的呆帳回收、逾期放款與銀行的資產品質有關。而逾期放款比率越高則銀行收回不良債權的表現就較差;其次,備抵呆帳覆蓋率越高則銀行收回不良債權的表現就愈佳。三、本國銀行不良債權的收回與銀行經營績效具有正向關係。同時發現銀行資本適足率的高低與銀行不良債權之收回間無明顯的相關性;而不良債權回收與同期的經營比率(員工平均獲利額)間呈現顯著的同向關係。四、本國銀行不良債權回收與銀行獲利能力之間表現具有一定的相關性。銀行不良債權之回收與同期的資產報酬率、股東權益報酬率及淨利息邊際收益率等均傾向呈現顯著的同向關係。五、固定效果模型為最適當的解釋模型,同時以銀行備抵呆帳覆蓋率;員工平均獲利額;股東權益報酬率及淨利息邊際收益等四項指標所建立之解釋模型是可行的。
    This study examines the relationship among the recovery of non-performing loans of twenty-eight Taiwanese banks, and the quality of their assets, and their profitability during the period of year 2005 to 2011. We adopt eight indicators based on the rules of CAMELS. The data is collected quarterly from the financial statement of each bank from the TEJ electronic databank. Furthermore, three different models are applied to estimate the panel data the banks. The three models include the original least squares model, fixed effects model and the random effect model. The estimation results of these three models are compared and analyzed. The mixed regression models are used to test four research hypotheses we assume. These hypotheses include: H10: the recovery of the domestic banks’ non-performing loans is closely related to the bank''s asset quality during the same period ; H20: the recovery of the domestic banks’non-performing loans is closely related to the banks’ own management performance; H30 : the recovery of the domestic banks’ non-performing loans is closely related to the bank''s profitability; H40: domestic banks can use bank asset quality,management performance and profitability and other variables to explain the recovery of non-performing loans.

    The main empirical results support our four hypotheses. First, we find that the quality of the Taiwanese banks’ capital and assets improves greatly during the observation period. The average capital adequacy ratio of banks reaches 11.6%. It is even higher than 10.5% of the new regulation of the Basel III. Also the average of the non-performing has gone down to less than 2%. However their profitability is still very low in general. It would be important to enhance the management performance and especially the profitability of the domestic banks in the future. Second, the recovery of the non-performing loans and the assets quality of the bank is positively related. We also identify that banks with higher coverage ratio is positively related to the recovery of non-performing loans. On the other hand, the higher the non-performing loans ratios are, the more difficult for the recovery of the non-performing loans is. Third, the management performance of the banks is positively related to the recovery of the non-performing loans. In other words, the higher the profits per employee tend to lead to better recovery of the non-performing loans. However empirical evidence also shows that there is no significantly positive relationship between bank’s capital adequacy ratio and the recovery of the non-performing loans. Fourth, the recovery of the non-performing loans is closely related to the banks’ profitability. The relationship between the recovery of the non-performing loans and the ratio of return on assets, return on equity, and net interest margin are significantly positive. Overall, we may conclude that the empirical results support our four research hypotheses. Finally, we identify that fixed-effects model with the four financial indicators: the bank coverage ratio, profits per employee, return on equity and net interest margin is the most appropriate model among these these models on this issue.
    顯示於類別:[國際企業學系暨研究所] 學位論文

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