政府實施金融自由化的政策、新銀行獲准成立及多項金融管制措施的解除，凸顯出銀行銀行資本安全性問題頗值重視。其次在資訊不對稱下，銀行從事高風險高報酬的投資組合，更使「銀行呆帳風險」問題的解決刻不容緩。主管機關為因應確保銀行在國際間的平等競爭，及改善本國銀行經營環境，自民國八十二年起實施風險導向資本管制之資本適足率政策，要求銀行以達到國際認可的風險性自有資本比率水準。在理論上對於資本管制之成效，有不同的觀點，主張「狀態偏好模式」及「選擇權評價模式」的學者均肯定資本管制的有效性，反之主張「投資組合理論」的學者，質疑實施資本管制反而會提高銀行的風險，針對此問題國內亦尚未有一致的定論。因此，本研究試以探討如下之問題:在民國八十二年政府實施風險導向資本管制措施之前後，國內商業銀行在資本管制與資本決策二者之關係；銀行主管(CEO)面對政府規定的資本管制，對銀行從事高風險投資有無管制效果？主管的支出偏好行為、風險管理品質及資產投資組合之行為是否與管制前有顯著的差異。
本論文以四十一家銀行於民國八十年至八十八年的資料為研究對象，探討資本管制與資本決策之關聯性。資本適足率之衡量以風險性自有資本(RBCR)及第一類資本佔風險性資產總額為代理變數，於實施風險導向資本管制措施前後，探討銀行之資本管制、資本決策與支出偏好行為是否有顯著的差異，本研究結果肯定資本管制的有效性。其次進一步分析公民銀行資本決策在從事高風險投資組合型態、表外資產組合型態、壞帳比率、放款的年增率等方面之差異。在方法上以三階段最小平方法(3LS,Three-Stage Least Square)及混合橫斷面和時間序列迴歸(Time-series/cross-section pooling regression)分析，探討資本管制與民營化之相關性及互動關係。
結果發現：(一)民國八十二年風險導向之資本管制公告後，銀行從事高風險的組合型態有下降之態勢，顯示資本管制的確可達到降低倒帳(default risk)風險之目的。(二 )第一類資本佔風險性資產較風險性資產自有資本比率更具有豐富資訊涵意，可充分表達管制的有效性。(三)公營銀行將存在著Edwards─Heggestad 之風險迴避假設，其保證成長率及投資成長率的比率均較民營銀行為低，其資產組合的風險偏低，較偏向債券等流動性資產，而對高風險的資產如放款，其成長的迅速趨緩。(四)符合管制標準(達到8％，含8％)之商銀，從事保證成長率愈大，其高風險之資產組合愈高，再依銀行屬性分類，已民營化且符合管制標準8％以上之商銀，較易從事高風險之資產組合。(五)自有資本的調整量與壞帳比率呈負相關，印證了民營銀行以壞帳比率來調控自有資本比率，以改善當期之自有資本適足率。
本研究經由實證的結果，驗證「狀態偏好模式」與「選擇權評價模式」之理論假說成立。其次，在經由三個研究法的運用，發現：銀行在盈餘的管理上，原來理論假說各種調控工具是彼此獨立，但事實並非如此。因此，本文採用聯立方程組求解，即允許各內生變數交互影響，有別於其他論文之方法。於實務訪談中，以敏感性分析，瞭解資產風險的權數實有再斟酌調整之必要。

The effects of the capital ratio policy still remain controversial. While the
State Preference Model ( SPM) and the Option Pricing Model (OPM) hold a positive
attitude toward this policy,the Mean-Variance Analysis(M-V)questions may increase the risks of banks. The present research is conducted to:1) identify the relationship between the capital ratio and capital decision in domestic commercial banks before and after their establishment;2)investigate a bank CEO''s expense preference behavior, risk management quality, and selection of asset portfolios in the face of capital ratio policy.
Based on the data collected from forty-one banks during the period between 1991 and 1999, the present study presumes a significant difference between capital ratio and capital decision before and after the opening of a bank to identify the effects of capital ratio policy. Risky -base personal capital (風險性自有資本) and the sum of the Tier 1 capital in risky assets (風險性資產) are the agent variables(代理變數) of capital adequacy ratio assessment. Then through the three-stage least square(3SLS), the portfolios of high risky investment and off-Balance assets, the percentage of poor debts and the annul growth rates of loaning and capital involved in the capital decision are analyzed to investigate the relationship between the standard of capital ratio and privatization before and after a bank''s establishment.
The findings of this study include:1) Fewer banks adopted the high risky portfolio after the announcement of the risk-base capital ratio(RBCR) policy in 1993. Capital ratio did decrease the bank''s default risks; 2) Data of the percentage of the Tier 1 capital in risky assets should be more detailed than that of Risky -base personal capital in risky assets(風險性資自有資本);3)In accordance with Risk Aversion Hypothesis, the guarantee and the investment growth rates in public banks should be lower than those in private ones. Besides, public banks invest more liquid assets, such as bonds, faced lower risks of asset portfolio. The growth of high risky assets, such as loaning in public banks slows down dramatically;4) The higher risky asset portfolios of the commercial banks with capital ratio above 8% , the more guarantee growth rates would they obtain. On the other hand, private commercial banks with capital ratio above 8% are more likely to take the high risky asset portfolio.