台灣銀行流動性風險探討與比較

Abstract

本研究以2003-2014台灣31家商業銀行為樣本進行分析，建立廣義可變現資產比與廣義流動資產負債比做為衡量流動性的方式，廣義可變現資產比為以現金、央行與同業拆放以及扣除無活絡市場後金融資產為分子，分母為總資產的比率;而廣義流動資產負債比分子與廣義可變現資產比相同，分母為總負債，並與現行法定流動準備比率進行比較，分析影響銀行流動性的可能因素以及流動性在經濟不佳的時期如何影響銀行行為，包含存、放款變動、淨利息收益與資產報酬率。實證結果發現，逾放比和三項流動比率為負相關，為主要影響流動性之因素，另外僅法定流動準備比率與存放比為負相關。流動性越高的銀行，在流動性較差的時期仍能維持比較好的吸收存款與增加放款的功能。流動比率與銀行績效為正相關，流動性越高的銀行，在流動性較差的時期能有比較好的淨利息收益與資產報酬率。此外，廣義可變現資產比在解釋各行為上表現略優於法定流動準備比率，兩者表現不盡相同，且相關係數僅為0.5，應能在法定流動準備比率之外提供新的銀行流動性資訊。

Using the data of 31 commercial banks in Taiwan during the period of 2003-2014, this thesis creates the generalized current asset ratio and the generalized current asset to liability ratio to measure bank liquidity. It compares these two ratios with the required liquid reserves ratio. The thesis has two parts. First, it tries to find the possible factors that will influence liquidity ratios. It is found that all liquidity ratios are negatively affected by the non-performing loan ratio, and the required liquid reserves ratio is negatively related to the loan-to-deposit ratio. Second, it studies how liquidity ratios affect the behavior of banks, including deposit changes, loan changes, net interest margin, and return on assets. The results are in line with the expectations. The effects of liquidity ratios on deposit changes and loan changes are both negative. During the period of low liquidity, the more liquidity a bank has, the higher are the changes in deposits and loans. As for performance, liquidity ratios are positively associated with net interest margin and return on assets during the period of low liquidity. However, the relations are weak. Finally, the required liquid reserves and the generalized current asset ratio have different information contents, and the latter has stronger explanatory power as an explanatory variable, which implies that they may complement each other for explaining bank behavior.