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論文中文名稱:銀行業資本調整與風險調整之互動關聯:金融海嘯前後之國際比較 [以論文名稱查詢館藏系統]
論文英文名稱:The Interrelationship between Capital and Risk Adjustments: International Comparison between Pre and Post of Finacnial Tsunami [以論文名稱查詢館藏系統]
院校名稱:臺北科技大學
學院名稱:管理學院
系所名稱:商業自動化與管理研究所
畢業學年度:99
出版年度:100
中文姓名:謝哲文
英文姓名:Che-Wen Hsieh
研究生學號:98488063
學位類別:碩士
語文別:中文
口試日期:2011-06-20
論文頁數:63
指導教授中文名:林淑玲
口試委員中文名:張元晨;陳煒朋
中文關鍵詞:資本調整風險調整資本緩衝理論金融海嘯
英文關鍵詞:Capital adjustmentrisk adjustmentcapital buffer theoryfinancial tsunami
論文中文摘要:本文主要是希望了解銀行在面對資本管制下,其風險調整和資本調整的關係,並且考慮了市場結構和更進一步的加入金融海嘯的發生來了解銀行在面對資本管制下,其風險調整和資本調整的關係。本研究利用2003年至2009年美國和21個已開發及開發中國家銀行資料構成的panel data下,發現美國方面,銀行資本調整與風險調整互為正相關,考慮金融海嘯發生後的結果也是如此。已開發及開發中國家方面,本文也在研究中發現資本調整與風險調整互為正相關,而市場集中度則和風險呈現負相關,但未發現資本較低的銀行在面對資本管制的壓力下,其資本調整與風險調整為負相關,而在金融海嘯的發生效果上,對資本調整與風險調整互為正相關沒有顯著的影響。本文提供了支持資本緩衝理論、銀行倒閉成本迴避理論、管理者風險趨避理論、競爭-易碎理論的實證研究,並且了解到,資本管制這樣的監理工具不論是在如何的市場結構或競爭環境下,都是有效的,而且資本管制這樣的監理工具隨著大環境變動而調整的速度很快,故不論是在金融海嘯發生前後,資本管制均能發揮一定的效用。
論文英文摘要:This study seeks to understand the relationship between bank’s risk adjustment and capital adjustment under the capital regulation, in additional, we further consider the market structure and financial tsunami. Using panel data combined with the U.S.A. and developed & developing countries’ banking data between 2003 and 2009, we found in the U.S.A., capital adjustment and risk adjustment are positively interrelated, these results are hold after considered financial crisis. In developed & developing countries, we found positive relationship between capital adjustment and risk adjustment in our results, and the market concentration is negatively related with bank’s risk. This study provide empirical support for the Capital buffer theory, Bankruptcy cost avoidance theory, Managerial risk aversion theory, and Competition-fragility theory. As our results, it suggests that whether the condition of market’s structure or competition, capital regulation is affect, and such policy as capital regulation, its speed of adjustment followed with macroeconomics’ condition is fast, thus capital regulation is affect between pre and post of financial tsunami.
論文目次:目錄
摘要 I
Abstract II
誌謝 III
目錄 IV
表目錄 V
第一章 緒論 1
1.1 研究背景 1
1.2 研究目的 3
第二章 文獻回顧 4
2.1 理論基礎 4
2.2 銀行資本管制和風險關係 7
2.3 考慮競爭力與治理變數的銀行資本管制和風險關係 8
第三章 研究方法與實證模型 11
3.1研究假說與實證模型 11
3.1.1 研究假說 11
3.1.2 實證模型 14
3.2變數的操作性定義 17
3.2.1 應變數 17
3.2.2自變數 18
3.2.3控制變數 20
3.3研究對象、期間及資料來源 23
3.4研究方法 24
第四章 實證結果 25
4.1敘述性統計和共線性 25
4.2 資本調整與風險調整 29
4.2.1美國 29
4.2.2已開發及開發中國家 33
4.3 穩定性分析(ROBUST) 36
4.3.1 美國 36
4.3.2 已開發及開發中國家 39
4.4 金融海嘯發生後之資本調整與風險調整 40
4.4.1 美國 40
4.4.2 已開發及開發中國家 41
第五章 結論 41
一、參考文獻:中文部份 44
二、參考文獻:英文部份 44

表目錄
表3-1應變數與自變數之關係預期符號 17
表3-2已開發及開發中國家樣本含蓋之國家與銀行家數 24
表4-1敘述性統計資料 27
表4-2共線性統計量VIF值 28
表4-3美國資本調整方程式實證結果(風險 = ) 48
表4-4美國資本調整方程式實證結果(風險 = ) 49
表4-5美國資本整方程式實證結果(風險 = ) 50
表4-6美國資本調整方程式實證結果(風險 = ) 51
表4-7美國風險調整方程式實證結果(風險 = ) 52
表4-8美國風險調整方程式實證結果(風險 = ) 53
表4-9美國風險調整方程式實證結果(風險 = ) 54
表4-10美國風險調整方程式實證結果(風險 = ) 55
表4-11已開發及開發中國家資本調整方程式實證結果(風險 = ) 56
表4-12已開發及開發中國家資本調整方程式實證結果(風險 = ) 57
表4-13已開發及開發中國家資本調整方程式實證結果(風險 = ) 58
表4-14已開發及開發中國家資本調整方程式實證結果(風險 = ) 59
表4-15已開發及開發中國家風險調整方程式實證結果(風險 = ) 60
表4-16已開發及開發中國家風險調整方程式實證結果(風險 = ) 61
表4-17已開發及開發中國家風險調整方程式實證結果(風險 = ) 62
表4-18已開發及開發中國家風險調整方程式實證結果(風險 = ) 63
論文參考文獻:一、中文部份
[1] 金融穩定報告,中央銀行,第3 期,2009。
二、英文部份
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