實施Basel III流動性覆蓋率對台灣商業銀行之實證分析－以三商銀為例

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题名:	實施Basel III流動性覆蓋率對台灣商業銀行之實證分析－以三商銀為例 Empirical Analysis of the Implementation of BASEL III Liquidity Coverage Ratio for Taiwan's Commercial Banks -A Case Study of Three Major Commercial Banks in Taiwan
作者:	潘阜楷 Pan, Fu-kai
贡献者:	財務金融學系
关键词:	巴塞爾資本協定三流動性覆蓋率駱駝信用評等 Basel III liquidity coverage ratio CAMEL
日期:	2014-06
上传时间:	2014-09-04 10:25:59 (UTC+8)
摘要:	本文以2013年1月公布的「巴塞爾資本協定三：流動性覆蓋比率與流動性風險監控工具」為基礎進行了研究，以2005年第一季至2014年第一季為研究期間對我國第一銀行、華南銀行、彰化銀行等三間公股銀行的公開資訊計算流動性覆蓋率，分析流動性覆蓋率與三商商銀財務績效之間的關係。研究透過以衡量銀行績效標準之CAMEL架構挑選變數進行複迴歸分析(multiple regression analysis)，探討CAMEL指標與流動性覆蓋率之間的相關性，實證結果發現，股東資本/資產、流動比率對於流動性覆蓋率呈顯著正向影響，備抵呆帳率、營業費用率對於流動性覆蓋率呈顯著負向影響符合理論預期，惟其中營收成長率與流動性覆蓋率呈現負向顯著影響，與本研究預期結果不同，所以本文進一步探討其中五點原因，最後本文針對銀行未來流動性管理提出相關建議事項。 The study, based on published in January 2013, "Basel III: the liquidity coverage ratio and liquidity risk monitoring tools" as the basis for a study to the first quarter of 2005 to the first quarter of 2014 for the study period. Public Information of the First Commercial Bank, Hua Nan Bank, Chang Hwa Bank, three owned shares of banks liquidity coverage ratio calculation, analyze the relationship between financial performance and liquidity coverage ratio between the three commercial banks.Research by bank performance indicators to measure the CAMEL standard variable selection, using multiple regression analysis, research the correlation between CAMEL indicators and liquidity coverage ratio, The empirical results, shareholders' equity / assets, current ratio for liquidity coverage ratio showed a significant positive effect, Loan Loss Coverage Ratio, operating expenses ratio for the liquidity coverage ratio showed a significant negative impact in line with theoretical expectations, Except where sales growth rate and liquidity coverage ratio showed a significant negative impact on the results of this study are expected to be different, so we further investigate one of five reasons. Finally, liquidity management for banks in the future make relevant recommendations.
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