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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/32228


    Title: 不同金融結構下信用評等是否有差異-以Fitch Ratings進行全球實證
    Authors: 林世強
    Contributors: 沈中華
    林世強
    Keywords: 信用評等
    金融基礎
    金融發展
    銀行規模
    Date: 2005
    Issue Date: 2009-09-14 13:27:29 (UTC+8)
    Abstract: 由歷史的發展,世界上的國家的金融體系可以分成兩大類,以銀行為基礎的(bank-based),及以市場為基礎的(market-based)金融體系,而長久以來,對此分類的討論也未曾間斷過,本研究的目的主要是探討銀行基礎(bank-based)金融體系的銀行及市場基礎(market-based)金融體系的銀行是否會有相同的信用評等。接著,我們比較了此兩種金融體系銀行的財務指標,並且試圖找出影響信用評等的因素。
    實證結果顯示,不同金融基礎下信用評等是有顯著差異性,市場基礎金融體系的銀行信用評等在獨立性評等上表現較銀行基礎金融體系下的銀行為優;而銀行基礎金融體系的銀行則是有較高的支持評等。且市場基礎金融體系的銀行在資本適足性、資產品質、管理能力、獲利能力上表現較銀行基礎金融體系的銀行好,在流動性指標的存放比則略高於銀行基礎金融體系的銀行。再以銀行規模及金融發展程度的分類後發現,大銀行所獲得的信用評等普遍高於小銀行,原因為資產較大的銀行身處的金融環境較優良所導致;在不同金融發展程度方面,則明確的顯示出已發展金融體系的銀行其所獲得的信用評等是高於低度發展金融體系的銀行,其原因為在已發展金融體系中,由於擁有經濟高度發展、公司治理能力強、所得分配平均及政府當局對市場機能重視等因素,因而造成各項評等皆較低度發展金融體系高。
    最後,用ordered probit模型找出影響信用評等的因素發現,與LTCR成正向關係的變數是DUD、SIZE及LR;反向的則是ILGL、BURDEN及ROA;與STCR成正向關係的變數是DUD、SIZE及LR;反向的則是BM、CAR、ILGL及BURDEN;與IR成正向關係的變數是DUD、SIZE、CAR及LR;反向的則是BM及ILGL;與SR成正向關係的變數是BM、DUD、SIZE及LR;反向的則是ILGL、BURDEN及ROA。
    Reference: 1.王姿斐(2003),《信用評等與盈餘管理之關聯性分析》,國立東華大學國際經濟研究所碩士論文。
    2.王世雄(2002),《台灣區銀行信用評等之研究---An Ordered Probit With Random Effect》,雲林科技大學財務金融研究所碩士論文。
    3.沈中華(2002),《金融市場》,台北市:華泰書店,pp.307-313。
    4.陳勇徵(1996),《銀行信用評等--本國銀行之實證分析》,東吳大學經濟學研究所碩士論文。
    5.郭怡萍(1998),《銀行業信用評等模式之建構》,國立台灣大學商學研究所碩士論文。
    6.葉碧純(1994),《從產業差異談企業信用評等制度之建立》,國立中正大學財務金融研究所碩士論文。
    7.劉正威(2004), 《本國銀行經營績效之實證研究》,國立政治大學企業管理研究所碩士論文。
    8.Altman,E.I.,R.B.Avery,R.A.Eisenbeis,andJ.F.Sinkey,(1981),Application of Classification Techniques in Business,Banking and Finance,Greenwich,Connecticut:JAI Press.
    9.Cantor R.,F.Packer,and K.Cole,(1997),”Split Ratings and the Pricing of Credit Risk,”Federal Reserve Bank of New York,Research Paper,No.9711.
    10.Demirgüç-Kunt,Asli and Huizinga,Harry,(2000),”Financial Structure and Bank Profitability,”The World Bank Policy Research Working Paper Series,No.2430.
    11.Demirgüç-Kunt,Asli and Levine,Ross,(2000),”Bank-Based and Market-Based Financial Systems-Cross-Country Comparisons,” The World Bank Policy Research Working Paper Series,No.2143.
    12.Ederington,Louis H.(1985),“Classification Models And Bond Ratings,”Financial Review, 20(4), pp.237-262.
    13.Fitch Ratings Ltd.(Fitch),2005,retrieved from http://www.fitchratings.com/.
    14.Horrigan,J.O.(1966),”The Determinants of Long-term Credit Standing with Financial Ratios,Empirical Research in Accounting:Selected Studies,”Supplement to Jouranal of Accounting Research,pp.44-62.
    15.Kaplan,R.and Urwitz, G.(1979),“Statistical Models of Bond Ratings : A Methodological Inquiry,”Journal of Business, 52, pp.231-262.
    16.Kliger D.and O.Sarig,(2000),”The Information Value of Bond Ratings,”The Journal of Finance,Vol.LV,NO.6.
    17.Levine,Ross,(2002),”Bank-Based or Market-Based Financial Systems: Which is Better?”Journal of Financial Intermediation,Vol.11,pp.398-428.
    18.Patrick Van Roy,(2005),”Is there a Difference in Treatment Between Solicited and Unsolicited Bank Ratings and ,if so,why?”EconWPA in its series Finance,No.0509012.
    19.Peter S. Rose and Sylvia C. Hudgins,(2005),Bank Management & Financial Services,McGRAW-HILL.
    20.Pogue,T and Soldofsky,R.(1969),“What’s in a Bond Rating?”Journal of Financial and Quantitative Analysis,4, June.
    21.Poon,W.(2003a),”Are Unsolicited Credit Ratings Biased Downward?”Journal of Banking and Finance,Vo27(4).pp.593-614.
    22.Pottier,S.W.,and D.W.Sommer,(1999),”Property-Liability Insurer Financial Strength Ratings:Differences Across Rating Agencies,”The Journal of Risk and Insurance ,Vol.66, No.4,pp.621-642.
    23.Pinches,G. and Mingo,K.(1973),“A Multivariate Analysis of Industrial BondRatings,”Journal of Finance,28,PP.1-18.
    24.Sinkey,Joseph F,(1983),Commercial Bank Financial Management,New York: Macmillan.
    25.Standard & Poor’s Ltd.(S&P) ,2005,retrieved from
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    26.Taiwan Ratings Ltd, 2005,retrieved from http://www.taiwanratings.com/tw/.
    Description: 碩士
    國立政治大學
    經濟研究所
    93258024
    94
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0093258024
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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