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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/50841
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/50841


    Title: 出事銀行的流動性創造與成本管理的銀行效率
    Authors: 陳庭萱
    Contributors: 沈中華
    黃台心

    陳庭萱
    Keywords: 流動性創造
    次貸危機
    收入多角化
    成本效率
    成本管理
    呆帳費用
    Date: 2010
    Issue Date: 2011-09-29 16:50:30 (UTC+8)
    Abstract: 一、出事銀行的流動性創造
    流動性創造是銀行的主要功能之一,但從傳統的存放款到近年來蓬勃發展的表外交易,銀行長期頻繁地使用以短支長的工具,流動性創造最後竟成了次貸危機銀行受傷的一個關鍵原因。本文以次貸危機期間美國和歐盟共18個國家的商業銀行為研究對象,檢視其流動性創造的效果,並將出事銀行區分為擠兌銀行、紓困銀行和倒閉銀行,呈現流動性創造帶來的不同衝擊。此外,本文還進一步地分析銀行盈餘結構轉變造成的影響,觀察是否會增加或抑制原先流動性創造的效果。
    實證結果顯示,高度的流動性創造會增加銀行出事的可能性,且收入多角化程度的提高,會更增加流動性創造帶來的負面效果。而以市場為基礎的國家,因為銀行活動和市場相關性高,能夠創造出較多的流動性,但銀行出事時,也容易選擇紓困銀行而不讓其倒閉,避免對整體金融環境造成太大的負外部性。最後,限制銀行從事證券活動,則有助於銀行免於紓困。

    二、成本管理的銀行效率
    本文是第一篇結合成本管理和銀行效率的研究。在盈餘管理的文獻中,呆帳費用 (Provision for Loan Loss, PLL) 被認為是銀行最常用來操弄盈餘的科目。因為它是銀行最大的應計項目,經理人往往利用將其提前或遞延認列來進行盈餘管理。甚至,政府的寬容政策、管制改變和企業醜聞等因素,也都會讓呆帳費用產生大幅波動。然而,呆帳費用是總成本的一部份,所有造成呆帳費用波動的原因,都可能進一步影響總成本,使總成本也大幅波動,本文將這樣的影響稱之為「成本管理」。過往成本效率的研究,使用的都是經過成本管理的總成本,而偏離真正總成本的結果導致銀行的效率表現也容易錯估。
    本文提出了一個降低財報上呆帳費用波動的方法,盡可能地讓其在當期認列,成為符合經濟意涵的呆帳費用 (即「經濟呆帳費用」)。然後,用經濟呆帳費用求得當期理論上的總成本 (即「經濟總成本」),並重新對台灣29家商業銀行的成本效率進行估計。實證結果顯示,經濟總成本不但遠高於財報上的總成本,所估得的效率排名也和原先有很大的不同,但明顯較符合現實狀況。
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    Description: 博士
    國立政治大學
    金融研究所
    94352502
    99
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094352502
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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