| 摘要: | 本論文是由兩篇關於歐洲商業銀行使用衍生性金融商品之文章所構成。 在第一篇文章中，我們是研究銀行的財務特徵和國家的變數對於銀行去使用衍生性金融商品的影響為何?我們發現使用的銀行相對不使用的銀行具有較大的資產規模；較高的獲利性；較低的中介利潤；較高的利率風險和公司放款；較高的存款比率和股利支付率；較分散的股權結構以及位於較差流動性的衍生性市場。我們也發現，特別是規模小的銀行會受益於金控公司的關係。除此之外，我們進一步考慮哪些變數可以解釋銀行去改變衍生性金融商品持有部位的變動，我們發現隨著資產規模；資本適足性的增加以及存款比率的減少，銀行會增加衍生性金融商品的持有部位。我們的實證研究結果與許多理論的預測一致，但在一些情況則明顯地不相同，我們認為此實證結果指出理論動機的風險管理是決定銀行使用衍生性金融商品的次要原因，取而代之，則是另一個因為交易目的去使用衍生性金融商品的假說。 第二篇則是實證性地研究兩個問題，第一，我們研究是否歐洲銀行使用衍生性金融商品活動的程度和市場察覺的利率和匯率風險有關。結果說明使用利率衍生性金融商品似乎會增加歐洲銀行的利率風險，一個可能解釋此現象是銀行可能投機的使用衍生性金融商品，在利率風險的改變上或是銀行的衍生性商品交易活動，使的他們對於利率風險的改變暴露在沒有效率的避險上。進一步研究顯示，避險目的去使用衍生性金融商品會減少歐洲銀行的風險，此結果更支持說明銀行可能更因為投機的目的去使用衍生性金融商品。然而並沒有一個顯著的證據說明銀行的衍生性金融商品和外匯部位的關係。第二，使用Tobin’s Q來近似銀行的市場價值，我們發現使用衍生性商品和銀行的市場價值有顯著的正向關係，特別是，我們發現銀行交易的動機是增加銀行市場價值的主要原因，此結果不同於非金融公司理論中，避險的動機是增加公司價值的論點，如果此論點仍然穩健的出現於後續的研究中，銀行就需要更好的內部控制管理系統或是更好的衍生性商品揭露去改善市場的紀律，以確保他們不會沒保證的去風險承擔。This dissertation contains two chapters on the usage of financial derivative for commercial banks: evidence from European market. Chapter 1: On the Usage of Financial Derivative for Commercial Banks: Evidence from European Markets This chapter investigates the financial characteristics of banks and country-level variables that use financial derivatives and those that do not. We find that user banks, compared to nonusers are associated with large size, higher profitability, lower intermediation profit, higher interest-rate risk and corporate loan, higher deposit ratio and dividend payout ratio, diversified ownership structure and less liquid derivatives markets. We also find that banks, especially smaller ones, benefit from being associated with bank-holding companies. Besides, we further consider that how can the change in a bank's financial derivatives holding be explained? We find that the increase in the firm size and capital adequacy and decrease in the deposit ratio appear to significantly increase the likelihood of banks to use financial derivatives. The strong results from our tests are consistent with some theoretical predictions, but in several cases unambiguously inconsistent. We interpret this as evidence that commonly cited theoretical motivations for risk management are of secondary importance for determining which banks use financial derivatives. Instead, the results are most consistent with an alternative hypothesis that derivatives are financial tools for trading. Chapter 2: The Effect of Financial Derivative Usage on Commercial Banks Risk and Value: Evidence from European Markets This chapter empirically investigates two questions. First, we investigate whether the level of financial derivative activities of European banks is associated with the market’s perception of their interest rate and exchange rate risks. The results suggest that the use of interest arte derivatives does seem to increase European banks’ interest arte risk. A possible explanation for this finding is that banks may use financial derivatives to speculate interest rate risk changes or bank’s derivative trading activities may have exposed them to interest rate risk changes that are not effectively hedged. Further investigation revealed that the use of financial derivatives for hedging does seem to decrease European banks’ risk, supporting the argument that banks are more likely to speculate with financial derivatives. However, there is no significant evidence that banks financial derivatives are associated with foreign exchange exposure. Second, using Tobin’s Q as an approximation for bank market value, we find significant evidence that the use of financial derivatives is positively associated with bank market value. Specially, we find trading purpose for banks mainly causes an increase in bank value, this differ from theories that suggest the decision to hedge is value increasing by non-financial firms. If such a finding is shown to be robust across follow-up studies, it would suggest the need for better management of banks’ internal control system and /or greater derivative disclosure to impose market discipline on banks to ensure that there is no unwarranted risk taking. |
