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Risk Taking in Banking
|關鍵字:||Bank Risk Taking;銀行風險承擔;Charter Value;Ownership Structure;Mandatory Deposit Insurance;Financial Conglomerates;Diversification;Dynamic Panel Data Model;GMM;特許價值;所有權結構;強制存款保險;金融集團;多角化;動態追蹤資料模型;一般動差法||出版社:||應用經濟學系所||引用:||Adams, R.B. (2001) “The Dual Role of Corporate Boards as Advisors and Monitors of Management: Theory and Evidence,” Federal Reserve Bank of New York, Working Paper. Adams, R.B. and Mehran, H. (2002) “Board Structure and Banking Firm Performance,” Federal Reserve Bank of New York, Working Paper. Ahn, S. and Schmidt, P. (1995) “Efficient Estimation of Models for Dynamic Panel Data,” Journal of Econometrics, 68, 5-27. Allen, L. and Rai, A. (1996) “Operational Efficiency in Banking: An International Comparison,” Journal of Banking and Finance, 18, 655-672. Alonso-Borrego, C. and Arellano, M. (1996) “Symmetrically Normalised Instrumental Variable Estimation Using Panel Data,” CEMFI Working Paper. Arellano, M. and Bond, S. 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本論文是由三篇探討銀行風險承擔行為議題的論著所組成。前人研究影響銀行風險承擔行為之相關決定因素的跨國研究論著並不多見且仍處於早期的研究階段。本論文以銀行特許價值(charter value)、所有權結構(ownership structure)、穩定股東持股(stable shareholder’s holdings)、金融政策(regulatory policy)以及總體條件(macroeconomic conditions)等風險因素，來認定實質影響銀行風險承擔行為的重要因素，以彌補相關實證研究的不足。第一篇論著使用收集自Bankscope資料庫在1998年至2002年間的867家銀行與43個國家的新資料，藉由整合銀行特許價值、穩定股東持股、所有權結構、銀行特性(bank characteristics)以及個別國家的總體經濟情況等風險因素，對銀行風險承擔行為之決定因素進行實證上的認定。實證結果指出當銀行特許權價值降低時，將會進一步誘發銀行進行風險承擔的行為。然而，提高穩定股東的持股比例將可有效降低銀行風險承擔行為的誘因。值得注意的是穩定股東的持股比例與銀行風險承擔行為之間存在非線性的(nonlinear)關係。第二篇論著則使用System GMM (Generalized Methods of Moments)的估計方法，針對1998年至2002年間780家銀行與43個國家的跨國資料進行實證分析，旨以驗證業務活動之多角化。(diversification)對金融集團(financial conglomerates)風險承擔行為的影響程度。實證結果指出高度多角化對金融集團的風險承擔行為具有顯著的影響效果。再者，當金融集團之特許價值下降時，將會進一步誘發其風險承擔行為的誘因。金融集團之穩定股東的持股比例與銀行風險承擔行為之間也呈現非線性的關係。第三篇論著使用動態追蹤資料模型(dynamic panel data model)的估計方法，針對影響台灣農會信用部風險承擔行為的決定因素進行實證研究，同時也驗證1999年強制存款保險制度是否誘發農會信用部產生風險承擔的行為。實證結果發現強制存款保險政策確實會誘發農會信用部風險承擔行為的動機，並且引發一系列經營不善的金融危機，此結果意謂實施強制存款保險制度並無法達成原來的政策預期，建議金融當局應可考慮調整現有的存款保險費率的差距，以消除低風險農會信用部補貼高風險的農會信用部的道德危險(Moral hazard)。
This dissertation is composed of three essays and mainly to focus on the issue of risk taking in banking. Previous research works on cross-country studies, with respect to the key determinants of influencing ban's risk taking behavior, is still few and in the earlier stage. This dissertation will fill this gap on related empirical analysis and contributes to the integration with more comprehensive risk factors, with regard to charter value, ownership structure, regulatory policy and macroeconomic conditions, to identify risk taking in banking. In first essay, using new data combined with country-level data and bank-level data from 43 countries and 867 banks, this study empirically identifies key determinants of a bank's risk-taking behavior. The study integrates charter value, holdings, ownership structure, bank characteristics, and macroeconomic conditions. The result indicates that a decline in charter value increases bank risk. The relationship between stable shareholders'' ownership and bank risk is negative and nonlinear, implying that risk decreases initially with stable shareholder ownership, and then increases as the asset substitution effect dominates the effect of managerial entrenchment on bank risk. Second essay examines the impact of diversification on risk taking behavior in financial conglomerates using the data on 780 banks across 43 countries over the period 1998-2002. The System GMM (Generalized Methods of Moments) is utilized to investigate the dynamic adjustment behavior for financial conglomerates. The empirical results reveal that the diversification has remarkable effect on financial conglomerate''s risk taking behavior, implicating that financial conglomerates with high diversified activity can mitigate their risk taking behavior. Moreover, the decline of charter values increases financial conglomerate's risk. The relationship between the ownership by stable shareholders and risk in financial conglomerates is nonlinear; the risk decreases initially with the proportion of stable shareholders in financial conglomerates, and then increases as the asset substitution effect dominates the effect of managerial entrenchment on their risks. The primary effect, however, is the risk-reducing managerial entrenchment effect. Third easy has empirically explored the main determinants of affecting risk taking behavior in Credit Department of Farmer''s Association''s (CDFA), and then investigated if the mandatory Deposit Insurance scheme imposed in 1999 to motivate CDFAs to take excessive risk using dynamic panel data model. The empirical findings document that CDFAs substantially take more risk taking after mandatory deposit insurance as the result of the recent crisis for them in the rural credit market. This strongly implies that the effectiveness of mandatory deposit insurance does not meet to policy expectations and still have to adjust the current scheme on the purpose of financial stability in rural credit market.
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