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    題名: 我國銀行業提列呆帳損失相關因素影響之探討 : 縱橫平滑移轉迴歸模型之應用
    其他題名: A study of the Taiwanese banks' loan loss reserve : approach of panel smooth transition regression model
    作者: 陳彥騰;Chen, Yan-Tang
    貢獻者: 淡江大學財務金融學系碩士班
    聶建中;Nieh, Chien-Chung
    關鍵詞: 銀行呆帳損失;銀行盈餘比率;平滑移轉模型;逆景氣循環假說;Banks' Loan-Loss-Reserve;Banks' Earnings Before Provision and Tax;panel smooth transition regression model;Anti-cyclical hypothesis
    日期: 2012
    上傳時間: 2013-04-13 10:49:57 (UTC+8)
    摘要: 本研究主要探討的目標為我國銀行業盈餘比率對銀行呆帳損失提列之關聯性,以2008年至2011的月資料為研究期間及本國25家銀行為研究對象進行實證觀察,進一步運用González, Teräsvirta and van Dijk (2004, 2005)所發展之縱橫平滑移轉迴歸模型(Panel smooth transition regression models, PSTR),以盈餘比率做為模型中的轉換變數,並加入控制變數包括工業生產值、銀行逾放比、銀行月平均放款成長率、銀行放款總額,以瞭解銀行業呆帳損失之提列決策是否會受到盈餘比率的影響。

    研究結果發現,銀行盈餘比率與呆帳損失提列兩者存在非線性關係,在銀行盈餘比率取自然對數小於8.1765前,銀行呆帳損失的提列會隨著逾放比的上升而增加提列;而在銀行盈餘比率取自然對數高於8.1765後,縱使逾放比、月平均放款成長率、總放款額度持續增加,由於盈餘比率已上升至一定水準,銀行承受損失及提列的能力已大幅上升,因此呆帳損失提列的額度反而會隨著盈餘比率的逐漸上升而減提。而實證結果支持銀行提列呆帳損失的行為符合「逆景氣循環假說」。
    This study is to explore the non-linear relationship between banks'' earning before provision and banks'' loan loss reserve. This study adopts the empirical model of González, Teräsvirta and van Dijk (2004, 2005) to verify whether the panel smooth transition effect exists in the above-mentioned variables by using a full monthly data set from 25 banks in Taiwan, through 2008 Jan to 2011 Dec. Moreover, we introduce other control variables into the model, considering the impact of banks'' loan loss reserve.

    The results show that the panel smooth transition effect indeed exists between the banks'' earning before provision and banks'' loan loss reserve. And there is a significant positive effect of banks'' NPL ratio on loan-loss reserve when the natural logarithm of the banks'' earning before provision and tax is smaller than 8.1765. And there are significant negative effects of NPL ratio and banks'' growth of loan monthly, significant positive effect of banks'' total loan when the natural logarithm of the banks'' earning before provision and tax is larger than 8.1765. Moreover, the results show that banks'' loan loss reserve with GDP growth rate is associated with the「Anti-cyclical hypothesis」.
    顯示於類別:[財務金融學系暨研究所] 學位論文

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