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| Title: | 巴塞爾資本協定三之流動性風險規範指標對銀行資產負債表結構影響之分析—以臺灣銀行業為例
The Analysis on the Impacts of Liquidity Regulations under BASEL III on Banks’ Balance Sheet Structures：Evidence from Taiwan |
| Authors: | 官姿伶
Kuan, Tzu Ling |
| Contributors: | 陳威光
林靖庭
官姿伶
Kuan, Tzu Ling |
| Keywords: | 巴塞爾資本協定三
流動性覆蓋比率
淨穩定資金比率 |
| Date: | 2016 |
| Issue Date: | 2016-03-01 10:29:00 (UTC+8) |
| Abstract: | 銀行產業之特性使得其容易遭受流動性風險之影響，且現行的新巴塞爾資本協定(BASEL II)未具備統一的流動性管理制度，導致銀行在金融危機時期，因為流動性短缺招致經營困境，造成金融體系的崩潰。為此巴塞爾銀行監理委員會(BASEL Committee on Banking Supervision, BCBS)在2010年提出巴塞爾資本協定三(BASEL III)，除了對於資本要求提出較嚴格定義外，更首度對流動性風險提出量化指標，包含流動性覆蓋比率(Liquidity Coverage Ratio, LCR)以及淨穩定資金比率(Net Stable Funding Ratio, NSFR)。本文將採用個案研究與實證分析，分別探討兩項規範指標實施後將對銀行之資產負債表內外結構產生何種影響。研究結果指出，若銀行選擇增加第二層高品質流動性資產以提升高品質流動性資產總額，將使利息收入高於投資在第一層高品質流動性資產，銀行可同時兼顧監理機關最低監理要求和公司獲利。淨穩定資金比率方面，外商銀行的表現明顯優於公股及民營銀行。而實證結果亦顯示若淨穩定資金比率於研究期間開始執行，將使銀行更加謹慎審視其所面臨之風險，進而減少自身所承擔之風險，以提升資本穩定度。
After financial crisis, the turmoil in global financial markets raises issues with macroeconomic policies, financial stabilities and regulations. Hence BASEL III has been introduced. BASEL III is a comprehensive set of reform measures, proposed by the BASEL Committee on Banking Supervision (BCBS). It builds on the BASEL I and BASEL II documents, and seeks to enhance the banking sector`s ability, improve risk management and banks` transparency. Besides, it introduced two required liquidity ratios, i.e. the Liquidity Coverage Ratio (LCR) and the Net Stable Funding Ratio (NSFR). This paper investigates the impact of new liquidity regulations on banks’ balance sheet structure by two methodologies. First, we study the case of bank in Taiwan to find out how LCR affects bank’s operation. Secondly, we select 18 commercial banks in Taiwan and classify them into three categories based on the type of ultimate controller to tell differences among three samples concerning the components of NSFR. Finally, we applied NEWEY-WEST HAC method with samples of 18 commercial banks in Taiwan to figure out the factors that may affects bank’s risk-taking, we utilize and analysis each bank’s financials during the period from 2010 to 2013. Our results show that the object of the study can reach the minimum requirement of LCR. Besides, BASEL III capital stability requirement, if implemented in the sample period, probably would diminish risk-taking by banks. This research can also provide banks with the information about how the liquidity regulations affect banks’ balance sheet structure. |
| Reference: | 1.洪靜婷，2012，Basel III流動性風險架構對本國銀行監理之實證評估.
2.章成，2013，基於Basel III流動性風險架構下之金融系統風險研究
3.Anderson, R.C., Fraser, D.R., 2000. Corporate control, bank risk taking, and the health of the banking industry. Journal of Banking & Finance. 24, 1383–1398.
4.Bank for International Settlements (BIS), 2010a. BASEL III: International framework for liquidity risk measurement, standards and monitoring. BASEL Committee on Banking Supervision, BASEL, Switzerland.
5.Bank for International Settlements (BIS), 2010b. An assessment of the long-term impact of stronger capital and liquidity requirements. BASEL Committee on Banking Supervision, BASEL, Switzerland.
6.BASEL Committee on Banking Supervision (BCBS), 2010, “BASEL III: international framework for liquidity risk measurements, standards and monitoring” (BASEL: Bank for International Settlements, December).
7.BASEL Committee on Banking Supervision (BCBS), 2010 (rev June 2011), “BASEL III: A global regulatory framework for more resilient banks and banking systems” (BASEL: Bank for International Settlements, December).
8.Bučková, V., and Reuse, S., 2011, BASEL III global liquidity standards: Critical discussion and impact onto the European banking sector. Financial Assets and Investing 3,7-18.
9.King, M.R., 2013, The BASEL III net stable funding ratio and bank net interest margins. Journal of Banking & Finance 37, 4144–4156.
10.Laeven, L., Levine, R., 2009, Bank governance, regulation, and risk taking. Journal of Finance and Economics 93, 259–275.
11.Ojo, M., 2010, BASEL III and responding to the recent financial crisis: Progress made by the BASEL committee in relation to the need for increased bank capital and increased quality of loss absorbing capital, Working Paper. Oxford Brookes University.
12.Walker, M., 2013, The BASEL III accord and the European system of financial supervision: policy prescriptions for an inadequately regulated common market. Journal of Public and International Affairs23, 134–149.
13.Went, P., 2010, BASEL III Accord: Where do we go from here? Working Paper. GARP Research Center.
14.Wong, T., Fong, T., Li, K., and Choi, H., 2010, An assessment of the long-term economic impact of the new regulatory reform on Hong Kong, Working Paper Series. Bank of Hong Kong.
15.Yan, M., Hall, M.J.B., and Turner, P., 2012, A cost–benefit analysis of BASEL III: Some evidence from the UK. International Review of Financial Analysis 25, 73–82. |
| Description: | 碩士
國立政治大學
金融研究所
102352026 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0102352026 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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