美國銀行控股公司的非核心負債與績效表現

Abstract

過去不少文獻曾探討過核心負債與非核心負債比重對於銀行之影響，甚至考慮危機期間與正常期間影響是否有所差別。此外，2007-2008 年金融海嘯過後，Basel III 引進的其一新指標——淨穩定資金比率，衡量資金來源與資產兩者之間配合的穩定性，凸顯了資金來源，或者說負債結構對於銀行具有顯著的影響。本文利用美國銀行控股公司 2001 至 2022 年的資料，並考慮過去一到四個季度，檢驗非核心負債與淨穩定資金比率的影響，發現非核心負債會增加貸款增長、風險，減少貸款品質，但獲利能力卻在危機期間能有所改善。另外，本文還發現淨穩定資金比率僅有顯著提升貸款品質，且會增加風險。因此銀行控股公司儘管應該避免過度依賴非核心負債與提高淨穩定資金比率，卻不該只使用核心負債以及維持過高的淨穩定資金比率。政府設立規範時，也應該要有所保留彈性。

There has been literature discussing the effect of core liabilities or non core liabilities on banks. They also consider whether there is a difference between crisis periods and normal periods. Additionally, after the 2007-2008 financial crisis, Basel III introduced a new index called the net stable funding ratio, which measures the stability of funding sources with concern for the stability of assets. This introduction demonstrates that funding sources, namely liability structure, have a significant effect on banks. This paper tests the effect of non-core liabilities and the net stable funding ratio using data from U.S. bank holding companies from 2001 to 2022. Moreover, this paper considers the lag effect from one to four quarters. The results show that non-core liabilities increase loan growth and risk and decrease loan quality. However, they improve profitability during crises. Additionally, the net stable funding ratio only improves loan quality and increases risk. Thus, bank holding companies must prevent using core liabilities as the only funding source and keeping the net stable funding ratio too high, even though they must avoid relying on non core liabilities too much and keep the net stable funding ratio above the standard. Also, when governments set the rules, they must remember to keep some flexibility.