以信用評等探討台灣本國銀行流動性創造

Abstract

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.