銀行競爭、效率及風險之全球銀行實證分析

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Title:	銀行競爭、效率及風險之全球銀行實證分析
Other Titles:	Banking Competition, Efficiency, and Risk in Global Banking Industry
Authors:	陳昇鴻
Contributors:	南華大學財務金融學系
Keywords:	銀行競爭;效率;風險;追蹤資料向量自我迴歸模型(Panel VAR)
Date:	2011
Issue Date:	2015-02-05 10:51:51 (UTC+8)
Abstract:	銀行競爭如何降低銀行風險呢？是否銀行競爭會透過效率管道進而改善銀行的風險？不同特性銀行面對競爭時是否具異質的反應呢？有別於過去銀行競爭的文獻，本計畫擬採用新產業組織觀點來回答這些研究問題。使用涵蓋1992 至2010 年的全球銀行年資料首先，並運用Boone (2008)理論架構估計樣本國家其銀行市場競爭程度，以探討跨國銀行競爭程度差異對銀行風險的單向影響性，以及分析跨國銀行競爭程度差異對銀行效率的單向影響性。在考量銀行競爭僅對銀行個別風險與效率存在單向影響性下，採用「Granger 因果檢定法」(Granger Causality Approach)與「追蹤資料向量自我迴歸模型」 (Vector Autoregression for Panel Data Model, Panel VAR)探討銀行風險與效率之跨期動態關係(Intertemporal Dynamic Relationships)，並拆解跨國銀行競爭程度變動對銀行風險及效率的衝擊。換言之，在面對銀行高度競爭時，是否小型銀行的風險承擔較大銀行有較明顯的反應；同時，是否低風險銀行因銀行競爭差異較高風險銀行其抑制風險承擔行為為顯著。本計畫預期此Boone 指標確實可捕捉利潤自效率差的銀行重分配至效率高的對手銀行之間的差異性，以及銀行競爭透過效率的管道可實質地降低銀行的風險承擔。在面對銀行高度競爭時，預期小型銀行的風險承擔較大銀行有較明顯的反應，而且也預期低風險銀行因銀行競爭差異較高風險銀行其抑制風險承擔行為為顯著。預期低成本與低利潤效率的銀行有較高的風險承擔，且提高銀行資本會促使銀行成本效率的改善；再者，預期較佳效率銀行最終成為較佳資本化的銀行，同時高資本水準傾向對效率水準具有正向的效果。 How banking competition reduces bank risk? Whether banking competition improves bank risk through efficiency channel? Whether banks with different characteristics exhibit the heterogeneity in response to varied degree of banking competition? Different from previous studies, this proposal tends to use the insight from new industrial organization to explain those research questions. Using data on bank’s financial information including listed and unlisted banks in global banking sector, this proposal applies the theoretical framework by Boone (2008) to measure the degree of banking competition to investigate empirically this single effect on bank risk while competition increases efficiency. Based on this single effect, Granger Causality approach and Panel VAR (Vector Autoregression for Panel Data Model) is utilized to identify the inter-temporal dynamic relationship between bank risk and efficiency estimated by SFA while disentangling the effects of change in bank competition on bank risk and efficiency. It is expected that small bank facing higher competition would like to take excess risk compared with larger bank while the effect of keen competition impede the incentive of taking risk for lower risk relative to higher risk ones. It is also expected that bank with lower efficiency with regard to costs and revenues would cause bank to take higher risk as well as that increases in bank capital precede cost efficiency improvements. It would be found that more efficient banks eventually become better capitalized and that higher capital levels tend to have a positive effect on efficiency levels. The expected results have potentially important policy implications for bank prudential supervision and address the importance of attaining long-term efficiency gains to fulfill financial stability objectives.
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] NSTC Project

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