本論文使用2006年至2012年間台灣地區銀行中個別企業放款的年資料，主要探討銀行使用信用衍生性金融商品對企業放款利率的影響。實證結果發現，隨著銀行使用信用衍生性金融商品的總部位與淨部位的增加時，會顯著地降低平均企業借款者的放款利差。特別是，當銀行前期信用衍生性金融商品交易部位增加，且同時也使用信用衍生性金融商品作為避險的部位提高時，則會顯著地降低平均企業放款的利差水準。此外，當貸款企業的信用風險愈低時，則銀行提高其信用衍生性金融商品的使用比率下，則會顯著地降低企業放款利差。最後，本論也實證檢驗2008年至2009年期間全球金融危機的影響性，結果發現對企業放款利差具顯著的效果；此外，在2009年至2011年歐洲主權債危機期間並不顯著，顯示全球金融危機對台灣企業放款利差具顯著的影響性。 Using the firm-level loan data on public-listed banks in Taiwan over 2006-2012, this theses empirically investigates impacts of credit derivatives use by Taiwan’s bank on firm’s loan rate. We find that banks using higher portions of gross and net credit derivatives would jointly and significantly decrease the firm’s loan spread, after controlling mainly financial characteristics of the loan, firm, and bank, respectively. Specifically, banks with previous higher portion of gross and net credit both for trading and hedging would also significantly reduce the firm’s loan spread. Moreover, borrowing firms with lower credit risk enjoy lower business loan spread while using higher portions of gross and net credit derivatives. Finally, it is indicated that the impacts of Global Financial Crisis (2008-2009) have significantly negative influence on loan spread while there is no significant effect of European Sovereign Debt Crisis (2009-2011) on firm’s loan rate.
