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標題: | 總體經濟因素對CAMELS指標之影響:以台灣銀行業為例 The Influence of Macroeconomic Factors on the CAMELS:Evidence from Taiwan's Banking Industry |
作者: | Kuo-Lung Lin 林國隆 |
指導教授: | 李顯峰 |
關鍵字: | CAMELS,銀行評等,總體經濟因素, CAMELS,bank rating,macroeconomic factors, |
出版年 : | 2018 |
學位: | 碩士 |
摘要: | 本研究探討總體經濟因素對台灣銀行業CAMELS評分的影響,樣本資料來自台灣經濟新報(TEJ)資料庫,樣本期間為2008年至2017年,蒐集36家公開發行銀行及總體數據資料,自變數選擇使用前一期的資料,以利瞭解各解釋變數對CAMELS之影響。
實證結果發現,實質經濟成長率與銀行評等指標得分存在顯著的正相關;通貨膨脹率對CAMELS評等指標呈現顯著負相關;失業率與CAMELS指標呈現顯著負相關;臺指選擇權波動率與CAMELS評等指標具有顯著負相關;市場流動性風險與CAMELS評等指標為顯著負相關;市場信用風險與CAMELS評等指標的實證結果雖為不顯著,但也呈現負相關,與預期結果相符;銀行規模與CAMELS評等指標呈現顯著正相關;非金控子公司的CAMELS評等指標得分較高,但是並不顯著;民營的CAMELS評等指標得分較高,且為顯著相關。 This study explores the impact of macroeconomic factors on CAMELS rating of the Taiwan's banking industry. The sample data is from the Taiwan Economic Journal (TEJ) database. The sample period was from 2008 to 2017, containing 36 public-listed banks and macroeconomic data, explanatory variables use the semi-annual data from the previous period. Our empirical results show that there is a significantly positive correlation between the real economic growth rate and the scores of CAMELS rating; the inflation rate has a significantly negative correlation; the unemployment rate is significantly negative correlation; the volatility of Taiwan index option has a significant negative correlation; market liquidity risk is significantly negative correlation. Bank size is significantly positively correlated with CAMELS rating. Non-financial holdings companies have higher CAMELS scores, but they are not significant; while private banks have higher scores and are significantly correlated. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/21873 |
DOI: | 10.6342/NTU201804164 |
全文授權: | 未授權 |
顯示於系所單位: | 經濟學系 |
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