請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/59060
完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 劉啟群(Chi-Chun Liu) | |
dc.contributor.author | Siang-Yu Wang | en |
dc.contributor.author | 王祥宇 | zh_TW |
dc.date.accessioned | 2021-06-16T08:47:31Z | - |
dc.date.available | 2020-07-17 | |
dc.date.copyright | 2020-07-17 | |
dc.date.issued | 2020 | |
dc.date.submitted | 2020-07-08 | |
dc.identifier.citation | Acharya, V.V., and N. Mora.2015. A crisis of banks as liquidity providers. The Journal of Finance, Vol. 70(1), 1-43. Aysun, U., and R. Hepp. 2016. The determinants of global bank loans: Evidence from bilateral cross-country data. Journal of Banking and Finance 66, 35-52. Banerjee, R. N., and H. Mio. 2018. The impact of liquidity regulation on banks. The Financial Intermediation 35, 30-44. Basel Committee on Banking Supervision. 2013. Basel III: The Liquidity Coverage Ratio and liquidity risk monitoring tools. (January 2013) Basel Committee on Banking Supervision. 2014. Basel III: The Net Stable Funding Ratio. (October 2014). Berrospide, J. M. 2013. Bank liquidity hoarding and the financial crisis: An empirical evaluation. Working paper. Finance and Economics Discussion Series Divisions of Research Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C. Bologna, P. 2015. Structural Funding and Bank Failures: Does Basel 3 Net Stable Funding Ratio Target the Right Problem? Journal of Financial Service Research 47, 81-113. Bonner, C. 2012. Liquidity Regulation, Funding Costs and Corporate Lending. DNB Working Paper No. 361 / December 2012. Cecchetti, S. G. 2015. The road to financial stability: Capital regulation, liquidity regulation, and resolution. International Journal of Central Banking 11(3), 127-139. Chiaramonte, L. and B. Casu. 2017. Capital and liquidity ratios and financial distress. Evidence from the European banking industry. The British Accounting Review 49((2), 138-161. Cooke, J. B., C. Koch, and A. Murphy, 2015. Liquidity mismatch helps predict bank failure and distress. Economic Letter 10(6), Federal Reserve Bank of Dallas, pp1-4. Cornett, M. M., J. J. McNutt, P. E. Strahan, and H. Tehranian. 2011. Liquidity Risk Management and Credit Supply in the Financial Crisis. Journal of Financial Economics, 101(2): 297-312. Dahir, A. M., F. B. Mahat, N. A. B. Ali. 2018. Funding liquidity risk and bank risk-taking in BRICS countries: An application of system GMM approach. International Journal of Emerging Markets 13(1), 231-248. De Haan, L., and J. W. van End. 2013. Bank liquidity, the maturity ladder, and regulation. Journal of Banking and Finance 37, 3930-3950. Dewally, M., and Y. Shoa. 2014. Liquidity crisis, relationship lending and corporate finance. Journal of Banking and Finance 39, 223-239. Dinger, V., and B. R. Craig. 2014. Volatile lending and bank wholesale funding. Federal Reserve Bank of Cleveland, Working Paper No. 14-17. Duijm, P., and P. Wierts. 2016. The effect of liquidity regulation on bank assets and liabilities. International Journal of Central Banking 12(2), 385-411. Hong, H., J-Z Huang, D. Wu. 2014. The information content of Basel III liquidity risk measures. Journal of Financial Stability 15, 91-111. Imbierowicz B., C. Rauch. 2014. The relationship between liquidity risk and credit risk in banks. Journal of Banking and Finance 40, 242-256. Ivashina V., and D. Scharfstein. 2010. Bank lending during the financial crisis of 2008. Journal of Financial Economics 97(3), 319-338. Jung, H., and D. Kim. 2015. Bank funding structure and lending under liquidity shocks: Evidence from Korea. Pacific-Basin Finance Journal 33, 62-80. Kapan, T., and C. Minoiu. 2018. Balance sheet strength and bank lending during the global financial crisis. Journal of Banking and Finance 92, 35-50. Khan M. S., H. Scheule, E. Wu. 2017. Funding liquidity and bank risk taking. Journal of Banking and Finance 82, 203-216. Li, B., W. Xiong, L. Cheng, and Y. Wang. 2017. The impact of the liquidity coverage ratio on money creation: A stock-flow based dynamic approach. Economic Modelling 67, 193–202 Ma, T. 2016. Basel III and the future of project finance funding. Michigan Business Entrepreneurial Law Review 6(1), 109-126. Vazquez, F., and P. Federico. 2015. Bank funding structures and risk: Evidence from the global financial crisis. Journal of Banking and Finance 61, 1-14. Zhang, Z., X. Li, X. Lu, and Z. Zhang. 2016. Determinants of financial distress in large financial institutions: evidence from U.S. bank holding companies. Contemporary Economic Policy 34(2), 250–267 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/59060 | - |
dc.description.abstract | 2007-2009金融海嘯期間,金融體系流動性的嚴重缺乏導致銀行身陷風暴之中,甚至相繼面臨破產的困境。認知到流動性在金融體系中的重要性,監管與法規制定機關接連提出有關流動性管制的法規與措施,致力於使銀行具備足夠且穩定的流動性。本文藉由Y9-C報告上所記載之資訊,建立短期融通資金占負債之比率以及高品質流動性資產占資產之比率兩變數,檢驗巴塞爾協議III中規範的淨穩定資金比率以及流動性覆蓋比率對銀行的影響。本文係以2001-2019美國的銀行控股公司作為研究的樣本,並著眼於探討流動性對銀行資產成長的影響,以及在巴賽爾協議III正式實施後,流動性對銀行資產成長的效果是否有增強的跡象。本研究指出,短期融通資金比率以及持有高品質流動性資產比率越高,皆對銀行的成長有限制的效果,尤其是在放款成長的方面。此外,從本研究亦指出,流動性對銀行成長的影響在巴賽爾協議III實施後,有相比於實施前更強烈的限制效果。 | zh_TW |
dc.description.abstract | Recognizing the importance of liquidity due to the financial crisis in 2007-2009, liquidity regulations has been introduced and put same weights as capital requirements since then. Using Y9-C report data, we create wholesale funding ratio and high-quality liquid assets ratio to capture the essence of NSFR and LCR, respectively. Using a sample composed of U.S. bank holding companies from 2001 to 2019, we focus on how liquidity affect bank’s growth, and whether the effects are amplified after the implementation of liquidity regulations in our study. Our results suggest that both wholesale funding ratio and high-quality liquid assets ratio limit the bank’s growth, especially from the perspective of loan growth. Moreover, stronger effects can be observed from our results after the implementation of Basel III. | en |
dc.description.provenance | Made available in DSpace on 2021-06-16T08:47:31Z (GMT). No. of bitstreams: 1 U0001-0807202010260000.pdf: 1346824 bytes, checksum: 47c31a9addac3dddb58cad06097b294b (MD5) Previous issue date: 2020 | en |
dc.description.tableofcontents | 1. Introduction 1 2. Regulations, Relevant Literature, and Hypotheses Development 3 2.1 Regulations 3 2.2 Relevant literature 6 2.3 Hypotheses Development 10 3. Data and Research Methodology 13 3.1 Data 13 3.2 Empirical Models 14 4. Empirical Results 17 4.1 Descriptive Statistics 17 4.2 Model 1: preliminary test for the effects of liquidity on bank’s growth 20 4.3 Model 2: Effects of liquidity on bank’s growth regarding different periods. 21 4.4 Robustness Tests 23 4.4.1 Alternative Definition of High-Quality Liquidity Asset 23 4.4.2 Alternative Definition of Non-Loan Asset Growth 24 5. Conclusions 25 Appendix A Variable Definitions 27 Reference 29 | |
dc.language.iso | en | |
dc.title | 流動性規範與銀行資產成長 | zh_TW |
dc.title | Liquidity Regulation and Asset Growth | en |
dc.type | Thesis | |
dc.date.schoolyear | 108-2 | |
dc.description.degree | 碩士 | |
dc.contributor.coadvisor | 尤琳蕙(Lin-Hui Yu) | |
dc.contributor.oralexamcommittee | 林純央(Chun-Yang Lin),張窈菱(Yao-Lin Chang) | |
dc.subject.keyword | 流動性管制,巴賽爾協議III,淨穩定資金比率,流動性覆蓋比率,銀行資產成長, | zh_TW |
dc.subject.keyword | Liquidity regulation,Basel III,Net stable funding ratio,Liquidity coverage ratio,Banks' growth, | en |
dc.relation.page | 41 | |
dc.identifier.doi | 10.6342/NTU202001380 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2020-07-08 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 會計學研究所 | zh_TW |
顯示於系所單位: | 會計學系 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
U0001-0807202010260000.pdf 目前未授權公開取用 | 1.32 MB | Adobe PDF |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。