Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23457
標題: 以信用評等探討台灣本國銀行流動性創造
The Effect of Credit Rating on Taiwan Banks' Liquidity Creation
作者: 陳宜珊
Yi-Shan, Chen
關鍵字: liquidity creation
流動性創造
liquidity risk
transfer risk
credit ration
流動性風險
轉換風險
信用評等
出版社: 財務金融系所
引用: 1. 沈中華、林昌平(2009),「金融發展對經濟成長的影響-動態追蹤資料門檻模型」,台灣經濟研究,45卷2期,第143-188頁 2. 宋遠揚(2009),「銀行是否能夠藉由創造流動性增加績效?」,國立高雄大學經營管理研究所碩士論文。 3. 吳美毓(2009),「金融機構公司治理與流動性創造之關係;跨國之研究」,南台科技大學財務金融研究所碩士論文 4. 邱文昌(1999),「我國建立信用評等制度之規劃與檢討」,證交資料。 5. 周大慶(2011)「巴塞爾協定(Basel)對金融體系的影響」,台灣信用評等協會理事 6. 張智傑(2009),「多國觀點下銀行流動性創造與經濟成長之因果關係」,國立高雄大學經營管理研究所碩士論文。 7. 陳曉蓉(1997),「CAMEL與銀行評等-兼論商業銀行自有資本與資產品質間的關係」,政治大學金融研究所碩士論文。 8. 陳庭宣(2011),「流動性創造與受傷銀行跨國之事件研究」,國立政治大學金融研究所博士論文。 9. 陳念平(2011),「金融危機及銀行流動性創造之研究:以我國銀行業為例」國立台北大學財務金融碩士在職專班論文 10. 郭秋蓉(2001),「巴塞爾銀行監理委員會資本適足率之規範及其新制之影響」,台灣經濟研究,3卷,第47-64頁 11. 潘雅慧、何慧麗(2010)「BCBS與IMF因應全球金融危機之改革措施及政策建議」,全球金融危機專輯,第119-146頁 12. 鐘欣潔(2010),「流動性創造是否會導致更多的流動性風險?」,國立高雄大學經營管理研究所碩士論文。 1. Basel Committee on Banking Supervision, 2008, “Principles for Sound Liquidity Risk Management and Supervision, September. ” 2. Basel Committee on Banking Supervision , 2009, “International Framework for Liquidity Risk Measurement, Standards and Monitoring, December. ” 3. Basel Committee on Banking Supervision ,2010,“ Basel III: International framework for liquidity risk measurement, standards and monitoring” 4. Berger, A. N., and C. H. S. Bouwman. 2009. “Financial Crises and Bank Liquidity Creation. Conference on the financial crisis” 5. Berger, A. N., and C. H. S. Bouwman. 2008, “ Financial Crises and Bank Liquidity Creation. ” Working Paper #08-37, Wharton Financial Institutions Center. 6. Berger, A. N., R. De Young, M. J. Flannery, D. Lee, and O. Oztekin. 2008. “ How Do Large Banking Organizations Manage their Capital Ratios? ”Journal of Financial Services Research 34:123–49. 7. Berger, A. N., and C. H. S. Bouwman. 2008. “Bank Liquidity Creation”, Oxford Journals,Review of Financial Studies,Volume 22, Issue 9,p. 3779-3837 8. Berger, A. and C. H. S. Bouwman. 2006, “ The measurement of bank liquidity creation and the effect of capital. ”Available at SSRN: http://ssrn.com/abstract=672784 (last accessed December 2007). 9. Berger, A., R. Herring, and Szeg‥o, G. (1995) “ The role of capital in financial institutions”. Journal of Banking and Finance 19: 393–430. 10. Diamond, D.W. 1984. “Financial Intermediation and Delegated Monitoring. ” Review of Economic Studies 51:393–414. 11. Diamond, D. W., and P. H. Dybvig. 1983. “Bank Runs, Deposit Insurance, and Liquidity. ” Journal of Political Economy 91:401–19. 12. Diamond, D. W., and R. G. Rajan. 2000. “A Theory of Bank Capital. ”Journal of Finance 55:2431–65. 13. Diamond, D. W., and R. G. Rajan. 2001. “Liquidity Risk, Liquidity Creation, and Financial Fragility: A Theory of Banking. ”Journal of Political Economy 109:287–327. 14. Dierick, F., F. Pires, M. Scheicher, and K. G. Spitzer.(2005) “The new Basel capital framework and its implementation in the European Union. ” European Central Bank Occasional Paper Series no. 42. 15. Gorton, G. and Winton, A. (2000) “Liquidity provision, bank capital, and the macro economy. ” Available at SSRN: http://ssrn.com/abstract=253849 (last accessed September2007).
摘要: 2008年9月美國爆發信貸危機引起的金融海嘯,造成資金流動性的不足,讓全世界的經濟陷入一片蕭條,也提醒了各國在流動性上的管理與風險衡量,特別是銀行體系。銀行身為金融體系中替資金協調供需的創造者,在資金的流動下,扮演著中介者,加速資金的使用效能與轉換效果,因此對於整個資本市場而言,銀行替市場創造出所謂的流動性,本研究透過流動性創造的建構,探討台灣本國銀行在大型與小型銀行、金控與非金控下之銀行的流動性創造與銀行績效、資本與風險管理間的關係,最後發現目前台灣的流動性創造主要源於大型與金控下之銀行,且銀行的資本額越大,越能夠替市場創造所謂的流動性。 另一方面,銀行在轉換資金同時,也會產生轉換風險,因此要如何解決因資訊不對稱而衍生之風險,本研究引入中華信用評等來探討其對流動性創造的影響,由本研究發現,中華信用評等的改變會影響流動性創造,特別是對大型與金控下之銀行,且對於評等調降,將對大型與金控下之銀行的流動性創造造成負向影響。因此銀行若被降低評等,將導致銀行,特別是大型與金控下之銀行的流動性減少,進一步壓縮到銀行的獲利空間,產生所謂流動性風險,藉有此發現,希望能給予銀行在流動性創造與流動性管理之警醒。
In Sep 2008, there was a credit crisis in U.S., and it led to a financial tsunami. It made an incredible depression for the whole world's economy, and brought a new issue for the management of liquidity risk for every country's banks. For banks, as a creator and coordinator of the liquidity in the financial system, if banks have excellent management ability for liquidity, it would be very effective to the whole capital market about the funds using. So our study focuses on the liquidity creation from Taiwan's banks to explore the relationship between performance, capital, and risky management ability. Finally, we find that the more capital, the more liquidity creation. On the other side, when banks transfer the funds, it would also create transfer risk. In order to solve the risk from the information asymmetric, our study uses the Taiwan credit rating to explore the relationship for liquidity creation when the credit rating changes. According to our study, the credit rating would lower liquidity creation when Taiwan credit rating lower the banks rating, especially for the large and financial holding banks ,and it would depress the earning space for banks and make banks face the risk of liquidity.
URI: http://hdl.handle.net/11455/23457
其他識別: U0005-2706201212575400
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-2706201212575400
Appears in Collections:財務金融學系所

文件中的檔案:

取得全文請前往華藝線上圖書館



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.