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題名：競爭與銀行涉險行為關係之研究
作者：紀建平
作者(外文)：Chien-Ping Chi
校院名稱：國立雲林科技大學
系所名稱：管理研究所博士班
指導教授：吳榮振
學位類別：博士
出版日期：2008
主題關鍵詞：風險；競爭；存款保險；官方監理；民間監督；集中度；涉險行為；資本；deposit insurance；capital；risk-taking；concentration；competition；risk；official supervision；private monitoring
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針對銀行競爭兩個命題，『競爭－脆弱』命題，『競爭－穩定』命題，本文進行檢視。本研究分為兩部份進行，第一、以建模方式去觀察競爭如何影響銀行涉險與轉移風險的誘因；第二、運用動態跨國資料( Panel data)與政策指標變數來驗證市場結構與銀行風險關係，銀行管制措施是否有效控制銀行風險，對於市場結構與銀行風險關係銀行管制措施是否有影響，最後檢驗市場結構與銀行風險非線性關係。
第一部份運用結合存款與貸款市場的道德風險模型去研究當市場競爭情況改變後，銀行涉險行為的改變，其中存款保險承保比率是其中重要因素。當存保為完全承保，存款市場競爭確實會導致支持『競爭－脆弱』命題；但是當存保為部份承保，競爭影響會降低而使得『競爭－穩定』命題獲得支持。因此，制度因素對於這類關係有重要影響，尤其是銀行管制規範。
第二部份為實證檢驗，運用動態各國銀行與管制資料，我們發現愈集中度越高市場，銀行安定度愈高，銀行營業與加入管制愈多，銀行安定度愈低；因此，這結果傾向支持『競爭－穩定』命題。對於銀行管制方面，資本管制、市場監督(Private monitoring)與存款保險均對維繫銀行安定具有顯著效果而官方監理方面則效果不是很明顯。所有銀行管制對於競爭與銀行風險關係均存在替代效果，尤其是資本管制、市場監督均有增強這類關係的效果。此外，市場集中度與銀行風險以及資本管制與銀行風險，經由實證也發現存在非線性(U型)關係。當市場集中度增加時，市場穩定度先增後減，代表傳統迷思－銀行愈大者不會倒( too big to fail)應該要值得檢討。
這類研究仍有許多空間值得繼續探討，如對於市場競爭程度測量需要有越精密的指標，特別是分別針對貸款與存款市場；越多樣本與觀察期加入，也應可以使得結果更為強健(robust)!
There are two competing hypotheses related to relationship between banking competition and risk-taking, competition-fragility and competition-stability. In order to examine which hypothesis is better to fit reality, we frame our study into two parts: first, constructing a theoretical model to study how competition affects bank’s incentives to shift risk to depositors or creditor; second, we conduct international research with a dynamic panel data, 42 countries, 1024 banks, from 1999 to 2006 to examine, which hypothesis could be explained by data, which regulations can effectively restrain bank risk, whether regulatory measures affect the relationship between competition and bank risk and whether non-linear relationship could explain market structure and bank risk as well as capital requirements.
In first part, we find relationship between competition and bank risk-taking depends on the interactions of markets, loan and deposit markets, deposit insurance coverage, and depositors’ risk aversion. Especially, coverage of deposit insurance is crucial determinant. With full deposit insurance coverage, there exists a positive relationship between competition and bank risk-taking.; without deposit insurance, bank risk will be contained due to depositors’ risk consideration, a negative relationship between competition and bank risk-taking. Therefore, the relationship between banking competition and risk-taking is deeply affected by institutional factors, including banking regulations.
In second part, in more realistic, including regulations across countries, we find more concentration implies more stable banking system, competition-stability hypothesis supported by data; more restrictions on bank activity and entry restrictions on banking are prone to be more unstable. Furthermore, capital requirements, private monitoring and deposit insurance are effective in restraining risk taking, but official supervision is problematic in control bank stability. All regulations have substitute effects on z-score! Capital requirement and private monitoring could intensify the relationship between concentration and bank risk. In final, we also confirm U-shape relationship between market structure and bank risk as well as between capital requirements and bank risk.
There is pretty room needed to improve. More accurate competition measures needed to build, in loan and deposit markets. For sample part, more countries are needed to include in our regulatory database in order to make results more robust.
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