| 摘要: | 本論文以31家本國銀行為研究對象，探討自2008年全球金融危機爆發迄今，在持續低利率環境下，銀行的經營績效與風險承擔之行為，並比較公營與民營銀行的差異。主要的實證結果如下：首先，在經營績效方面，低利率導致銀行之資產報酬率、權益報酬率與淨收益等績效指標顯著降低。然而即使低利率壓縮銀行淨息差，銀行仍能仰賴較高非利息收入維持一定績效，且民營銀行的此一效果較為顯著。
其次，在銀行的風險承擔行為方面，利率愈低時銀行之逾期放款率降低，而資本適足率提高，顯示在研究期間，低利率並未導致整體本國銀行增加其風險承擔行為。此外，雖然本論文的實證結果亦顯示，公營銀行在低利率期間逾期放款率反而提高，此可能因為在實務上，低利率壓縮銀行獲利空間，導致其未能以利息收入打消呆帳；合併觀察其資本適足率提高，隱含公營銀行並未因低利率而承擔更高風險。;In this thesis I investigate both the operating performance and risk-taking behavior of financial institutions, under continuous low interest rate environment since the outbreak of the global financial crisis starting 2008. Relevant data are drawn from financial statements of 31 domestic banks in Taiwan, while controlling the changes of important macroeconomic variables during that time. I also highlight how public-held and privately-owned banks react to the low interest rate environment differently. The main empirical results are as follows: Firstly, in terms of operating performance, low interest rates have significantly worsen operating performance for banks such as on their return on assets (ROA), return on equity (ROE), and the net income (NI). However, even though the low interest rate compresses banks’ net interest margin (NIM), their performance has not deteriorated to the degree of reduction on interest rates, as they rely on higher non-interest income, which are more pronounced for privately-owned banks.
Secondly, in terms of the risk-taking behavior of banks, the lower the interest rate, the lower the non-performing loans (NPL) ratio and the higher the capital adequacy ratio (CAR), which indicates that in general, low interest rate did not cause Taiwanese banks to take higher risk during the sample period. In addition, empirical results of this thesis also show that the NPL ratio of public-owned banks has increased during low interest rates period, which raises the concern that those banks may take on higher risks under low-interest circumstances. However, this may because in practice, low interest rates results in lower NIM, and thus public-held banks fail to dispel bad debts with their interest income. As the CAR of public-held banks has increased during the study period, it implies that public-held banks have not taken higher risks due to low interest rates. |
