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題名：利差與匯率對金控公司績效穏定性的 非線性衝擊
作者：蕭義忠
作者(外文)：I-CHUNG HSIAO
校院名稱：中原大學
系所名稱：商學博士學位學程
指導教授：吳博欽
學位類別：博士
出版日期：2018
主題關鍵詞：資產報酬率；股東權益報酬率；每股盈餘；存放利差；匯率；縱橫平滑轉換自我回歸模型；盈餘持續性；穩定性；ROA；ROE；EPS；deposit spreads；exchange rates；PSTAR；earnings persistence；stability
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摘要
金控公司的經營績效，攸關一國資本與信用市場發展及經濟成長。ROA、ROE 與EPS是評估經營績效的重要指標，而績效穩定度是指企業當期績效或較上期績效的增加在未來能夠維持的程度。例如，利差與匯率對公司績效產生非線性的衝擊，故如何更精確的評估金控公司績的效穏定性，對金控公司、投資者與政府者都具有重大的意義。本研究採用縱橫平滑轉換自我廻歸 (PSTAR) 模型，探討利差與匯率對金控公司績效穏定性的非線性衝擊。實證上，以台灣 13 家上市(櫃)金融控股公司為對象，樣本期間為 2008 年 Q3 到 2017 年 Q3，共計 468 個季觀察值。實證結果可歸納如下：一、傳統的線性模型估計結果顯示，金控公司績效 (ROA、ROE 與 EPS) 的持續性(或穏定性)均為固定值，分別 0.5429、0.4826、0.8314。二、PSTAR 模型的估計結果顯示，存放利差與匯率對金控公司績效(ROA、ROE 與 EPS)穏定性的影響是依時間變動與非線性的，且造成績效呈現平滑轉換的現象，決定於存放利差與匯率位於不同的區間。三、 以匯率為轉換變數的 PSTAR 模型估計結果發現，當匯率高於 32.85 或低於 31.75 時，ROA 的穏定性快速從 0.2465 上升至 0.6449。當匯率高於 31.76 時，ROE 的穏定性快速從 0.6368 下降至 0.3454。當匯率大於 31.76 時，EPS 的穏定性約在 0.5948，而當匯率小於 31.72 時，EPS 的持續性呈現非定態的形式。匯率變動顯著地造成金控公司的績效 (ROA、ROE 及EPS)的門檻效果，這是大多數的文獻所忽略者。此外，當新台幣兌美元匯率在 31.75 時，金控公司績效的穩定性最高。四、以存放利差為轉換變數的 PSTAR 模型估計結果發現，當存放利差小於 1.55％時，ROA的穏定性相對的低為 0.0347，亦即當期 ROA 受當期外在干擾的影響非常大。當存放利差大於 1.55％時，ROA 呈現不合理的發散路徑，或許與銀行間過度競爭使得利差難以超過 1.55％有關。當存放利差小於 1.538％時，ROE 的穏定性亦相對的低為0.0389，亦即當期 ROE 受當期外在干擾的影響非常大。EPS 的穏定性隨著存放利差擴大而上升，當存放利差高於 1.3452％時，EPS 的持續性(或穏定性)從 0.3365 上升至 0.9542。此外，當存放利差小於1.55%時，ROA 的穏定性為 0.0347；當存放利差小於 1.538％時，ROE 的穏定性為 0.0389，穏定性皆非常低，表示受當期外在因素的影響非常大。事實上，非利息收入佔營業費用比重改變及衍生性金融商品對金控公司會產生利率、匯率及信用的風險，衝擊金控公司績效的穩定性。根據上述的實證結果，本研究提供下列政策建議，供政府、經營者與投資者作決策的參考：一、金控公司的獲利或績效的穏定性決定於各期的存放利差與匯率的變化，故股市投資者、金控公司經營者及政府的金融監理單位，應逐期觀察存放利差與匯率的變化，以決定投資標的、改善獲利，以及穏定金融的相關策略或政策。二、在以匯率為轉換變數的估計結果下，當匯率小於門檻值 31.75 時，ROA 的穏定性最高為 0.6449，ROE 的穏定性最高為 0.6368，而 EPS 的穏定性呈發散的現象。明顯地，當匯率由 31.75 開始升值時，ROA 與 ROE 的穏定性提高。換言之，以 ROE 作為判斷股價基礎的投資人，在匯率持續升值下，有於 ROE 的穏定性，並可因而選為投資標的。若以 EPS 作為評估獲利與股價時，則投資人宜在匯率由 31.76 持續貶值時，持有金控公司股票為有利。政府則宜在匯率由 31.76 持續升值時，關注 EPS 的波動 (發散)所造成的衝擊。三、在以存放利差為轉換變數下，EPS 的穏定性為三者之中最高者，尤其在利差大於 1.345％時。因此，對於穏健的股市投資者而言，若欲以利差變化判斷其對獲利穏定性的影響時，則宜以 EPS 當作獲利的衡量指標較為合適。至於投資標的的選擇，則以採用與 EPS 有關的評價模型(例如，Ohlson(1995)的評價模型)為宜。四、當利差小於 1.538％時，ROA 與 ROE 的持續性非常低，表示獲利的穏定性差，金控公司經營者必需相當注意當期外在干擾對當期 ROA 與 ROE 造成不利的影響，進而迫
使外資賣出金控公司持股而造成股市波動。事實上，自 2008 年至 2017 年期間，在金融監理法規變更及市場激烈競爭的環境下，各銀行存放款利差有降低的趨勢，其間本國一般銀行存放款利差由 1.74％降為 1.37％，即是此種情形。此外，銀行應積極調整非利收業務的比重，以提升銀行的經營績效。
Abstract
The operating performance of financial holding companies (FHC) is relevant to the development of capital and credit markets and the economic growth of a country. The return on assets (ROA), return on equity (ROE), and earnings per share (EPS) are important indicators to evaluate a company’s operating performance, and performance stability refers to the extent to which the increase in current or previous performance of an enterprise can be maintained in the future. The interest rate spread (or named deposits spread) and the exchange rate, for example, may have a nonlinear impact on corporate performance; therefore, how to evaluate the FHC''s performance stability more accurately is of great significance to the company, investors, and the government.
This study uses the panel smooth transition autoregression (PSTAR) model to investigate the nonlinear impact of the interest rate spread and exchange rate on the performance stability of FHCs. Empirically, a total of 468 quarterly panel data for 13 listed FHCs in Taiwan during 2008：Q3- 2017：Q3 are used.
The empirical results are summarized as follows:
1. The estimation results using the traditional linear model show that the persistence (or stability) of the FHC''s performance (ROA, ROE, and EPS) are constant, i.e., 0.5429, 0.4826, and 0.8314, respectively.
2. The estimation results from the PSTAR models reveal that the effect of the deposit spread and the exchange rate on the stability of the FHC’s performance (ROA, ROE, and EPS) is time-dependent and nonlinear. Moreover, the process of the smooth transition of performance is determined by the deposit spread and exchange rate in different regimes.
3. The estimation results from the PSTAR models with the exchange rate as a transition variable found that when the exchange rate was higher than 32.85 or lower than 31.75, the stability of the ROA rapidly increased from 0.2465 to 0.6449. When the exchange rate was higher than 31.76, the stability of the ROE declined rapidly from 0.6368 to 0.3454. When the exchange rate was greater than 31.76, the stability of the EPS stood at about 0.5948, while when the exchange rate was smaller than 31.72, the persistence of the EPS was unsteady. Changes in exchange rates significantly contribute to the threshold effect on the FHC’s performance (ROA, ROE, and EPS), which has been ignored by most researchers. Moreover, when the exchange rate of the New Taiwan dollar against the US dollar was at 31.75, the FHC''s performance was the most stable.
4. The estimation results from the PSTAR model with the deposit spread as a transition variable revealed that when the deposit spread was less than 1.55%, the stability of the ROA was relatively low at 0.0347; that is, the ROA in the current period is greatly
affected by the current external interference. When the deposit spread was greater than 1.55%, the ROA presented an unreasonable divergence path, perhaps because excessive competition among banks has made it difficult for the spread to exceed 1.55%. When the deposit spread was smaller than 1.538%, the stability of ROE was relatively low at 0.0389, which means the current ROE is greatly affected by the current external interference. The stability of the EPS increases with the widening of the deposit spread. When the deposit spread was higher than 1.3452%, the persistence (or stability) of the EPS raised from 0.3365 to 0.9542. In addition, when the deposit spread was less than 1.55%, the stability of the ROA was 0.0347; when the deposit spread was less than 1.538%, the stability of the ROE was 0.0389, both being extremely low in stability, which indicates that they are significantly affected by the current external factors. As a matter of fact, the changes in the ratio of non-interest income to operating expenses and the risks of interest rates, exchange rates, and credit caused by derivatives to the FHCs will impact the stability of the performance of these companies.
Based on the above empirical findings, this study provides the following policy suggestions as a reference for the government, businesses, and investors to make decisions:
(1) As the stability of earnings or performance of an FHC depends on the changes variations in deposit spreads and exchange rates in each period, stock investors, FHC managers, and the government’s financial supervisory departments should observe their changes on a periodic basis in order to determine the investment targets, improve profitability, and stabilize financial markets. (2) Based on the estimate of the exchange rate as a transition variable, when the exchange rate was lower than the threshold value of 31.75, the highest stability of the ROA was 0.6449, and that of the ROE was 0.6368, while the stability of EPS was divergent. Obviously, when the exchange rate started to appreciate from 31.75, the stability of the ROA and ROE increased. In other words, investors who use the ROE as the basis for judging stock prices will contribute to the stability of the ROE when the exchange rate continues to appreciate, and may select it as an investment target. If the EPS is used to assess profits and stock prices, it is advisable for investors to hold FHC shares when the exchange rate continues to depreciate from 31.76. The government should pay attention to the impact of the oscillations (divergence) of EPS when the exchange rate continues to appreciate from 31.76 (3) With the deposit spread as the transition variable in the PSTAR models, the stability of the EPS was the highest among the three profitability indices, especially when the spread was greater than 1.345%. Therefore, for steady stock investors, it is more appropriate to use the EPS as a measure of profitability if they intend to judge the effect of changes in deposit spreads on the stability of profitability. With respect to the selection of investment targets, it is advisable to adopt the valuation model related to the EPS (e.g., the one from Ohlson (1995)). (4) When the spread was smaller than 1.538%, the persistence of the ROA and ROE was very low, meaning that the stability of the profitability was poor. Therefore, the FHC operators must pay close attention to the negative effect of the current external
disturbance on the current ROA and ROE, because the negative impact would force foreign investors to sell the FHC shares, which results in stock market volatility. In fact, from 2008 through 2017, in the context of amendments to financial regulations and fierce competition in the market, the deposit spread of domestic banks tended downwards, from 1.74% to 1.37%. In addition, banks should actively adjust the proportion of non-interest income business to enhance their performance.
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