總體經濟因素對銀行業手續費收入影響－臺灣花旗銀行之實證研究

Abstract

金融自由化、國際化、多元化已是全球金融業不可抵擋的趨勢。近來政府為因應國人對多元化金融商品的需求，對於金融機構的管制日趨放鬆，國內銀行所經營的業務類型朝向多元化發展，所推出的金融商品與服務日新月異，手續費收入佔銀行業營收比逐年增加，此亦是未來之趨勢，因此找出顯著影響銀行業手續費收入之因素且瞭解其領先落後與因果關係為預測銀行業營收時之重要議題。 美商花旗銀行為臺灣地區於銀行業手續費收入表現最為突出的銀行之一，因此本研究選取美商花旗銀行作為代表銀行業之分析標的，由1996年1月至2009年7月之樣本資料，以Granger因果關係、向量自我迴歸模型、共整合檢定、與複迴歸模型進行實證分析，找出顯著影響銀行業手續費收入之因素，最後再以多種預測方法並配合檢定，找出可供銀行業預測手續費收入之模型。 實證結果指出，本研究所選取之變數包括中央銀行準備貨幣、證券金融公司資產總額、金融機構信託資金、美元10天買入匯率、棉花-利物浦棉花指數、M2餘額、商業本票初級市場1-30天利率、美國NASDAQ指數皆對花旗在臺分行手續費收入有顯著影響，顯示銀行業手續費收入與總體經濟因素密切相關。預測方法中，採Recursive forecast之預測值顯著準確於其他方法。於共整合檢定中，發現花旗在臺分行手續費收入與中央銀行庫存現金、金融機構信託資金、及金融保險受雇員工每人每月平均薪資皆具有共整合關係。

Financial liberalization, internationalization and diversification have become a trend in global financial industry. Government accelerates the footsteps of financial liberalization to release numerous financial restrictions gradually due to strong demand for various financial products and service in the country. Domestic banks also tend to diversify the business types and innovate new financial products and service to meet the demand. The proportion of fee income to total revenues in banks arose and would become more expansive continually. It is an important issue to find out the major factors which determine the fee income of banks. The paper employs the data from Citibank N.A., Taiwan branch, as a benchmark to represent the bank industry due to fee income is one of most outstanding banks in Taiwan, and also employs some major macroeconomic factors from Jan. ’96 to Jul. ‘09 to be the explanatory variables. By Granger causality, vector autoregressive model, cointegration test, multiple regression analysis, and numerous testing methods, the paper constructs an econometric model to predict the fee income of banks. By empirical results, Central Bank Cash in Vaults, Total Asset of Securities Finance Companies, Trust Funds of Financial Institutions, USD 10 days Quotes (Buy), Cotton Liverpool Index, Money Supply (M2), Primary Market Rate of Commercial Paper (1-30 Days), and NASDAQ Index contributed significant to the fee income of Citibank N.A., Taiwan branch. In numerous forecasting methods, the results point out the Recursive forecast is a better forecast method. In cointegration test, the results show the fee income of Citibank N.A., Taiwan branch, cointegrate with Central Bank Cash in Vaults, Trust Funds of Financial Institutions, and Average Monthly Earnings Per Employee (Financial Industries).