|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|
|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|
|上傳時間: ||2012-06-21 06:36:11 (UTC+8)|
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.