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題名:市場利率水準與金融機構獲利性--臺灣地區上市銀行之實證研究
書刊名:交大管理學報
作者:許和鈞吳壽山 引用關係吳芷芸
出版日期:1993
卷期:13:1
頁次:頁55-75
主題關鍵詞:市場利率金融機構臺灣上市銀行
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(3) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:3
  • 共同引用共同引用:0
  • 點閱點閱:24
在利率自由化過程中,市場利率變化情形較以往劇烈,銀行所面臨的利率風險隨之增加,造成銀行的獲利水準將不若以往穩定,本文主要目的在探討上市銀行資產負債組合的平均到期日配合情形,並進一步觀察市場利率對其獲利性之影響。 本研究之採樣期間為七十四年第一季至八十年第三季共27個觀察期,研究對象包括中國國際商銀、北企、竹企、中企、南企、高企、東企等七家上市銀行,資料型態採用上市銀行每季資產負債表及損益表。以次級市場90天期商業本票利率為市場利率,參酌Flannery的部份調整模型並以Zellner的似乎無相關迴歸(SUR)為估計方法進行研究分析。 實證結果顯示整樣樣本銀行之資產負債組合傾向於「借長貸短」,銀行傳統財務管理「借短貸長」的說法並未獲支持。當利率上升時,對銀行之短期獲利性有利。長期而言,大部份樣本銀行之獲利能力穩定,利率風險不大。而區域性銀行在資金調度與運用方式上不若大銀行靈活,僅可消極地規避利率風險,較不易藉利率波動提高獲利能力。此外,流動性與利率敏感性資產負債比例較高的銀行在利率波動時,透過適當地資產負債管理可進行套利,對其獲利性有正面幫助。
The widespread notion that commercial banks “borrow short and lend long” implies that sharp market interest rate increases may induce a significant number of banking failures. In the process of interest rate deregulation, market interest rates have become more volatile than even. The impact of volatile market interest rates on profitability of banks has been increasingly concerned. We estimate average asset and liability maturities for a sample of listed banks in this paper. We investigate whether average asset and liability maturities match. We also test whether market rate fluctuations have a significant impact on profitability of banks. The findings indicate that the listed banks tend to borrow long and lend short, though the maturity differences are not large. They hypothesis of “borrow short and lend long” as documented in traditional financial management of commercial banks is not accepted. The listed banks have effectively hedged themselves against market rate risk by assembling asset and liability portfolios with similar average maturities. In the long run, the profitability of most listed banks is stable. Furthermore, large banks wit more liquid and interest-sensitivity assets and liabilities have arbitrage opportunities through good asset-liability management.
期刊論文
1.Flannery, Mark J.、James, Christopher M.(1984)。Market Evidence on the Effective Maturity of Bank Assets and Liabilities。Journal of Money, Credit and Banking,16(4),435-445。  new window
2.Flannery, Mark J.(1983)。Interest Rates and Banks Profitability: Additional Evidence。Journal of Money, Credit and Banking,15(3),355-362。  new window
3.李源豐(19911100)。臺灣金融自由化與利率變動關係之研究。臺北市銀月刊,22(11)=266,43-56。  延伸查詢new window
4.Flannery, Mark J.(1981)。Market Interest Rates and Commercial Bank Profitability: An Empirical Investigation。Journal of Finance,36(6),1085-1101。  new window
5.Zellner, A.(1962)。An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias。Journal of the American Statistical Association,57,348-368。  new window
6.李孟茂(19900800)。利率結構及其基本理論--銀行利率訂價與管理之探討。臺北市銀月刊,21(8)=251,31-43。  延伸查詢new window
7.Graddy, Duane B.、Kavma, Adi S.(1984)。Net Interest Margin Sensivity among Banks of Different Size。Journal of Bank Research,1984(Winter),4-10。  new window
8.Maisel, Sherman J.、Jacobson, Robert(1978)。Interest Rate Changes and Commercial Bank Revenues and Costs。Journal of Financial and Quantitative Analysis,13(4),687-700。  new window
9.Samuelson, Paul A.(1945)。The Effect of Interest Rates Increases on the Banking Systems。American Economic Review,35,145-150。  new window
圖書
1.Fabozzi, Frank J.、Fabozzi, T. Dessa(1989)。Bond Market, Analysis and Strategies。Prentice-Hall, Inc.。  new window
2.Gup, Benton E.、Fraser, Donald R.、Koliari, James W.(1989)。Commercial Bank Management。John Wiley & Sons, Inc.。  new window
3.Macaulay, Frederick R.。The Movement of Interest Rates, Bond, Yields, and Stock Prices in the United States Since 1865。New York:Columbia University Press。  new window
4.Van Horne, James C.(1990)。Financial Market Rates & Flows。Prentice-Hill International Edition。  new window
 
 
 
 
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