本文以價值極大化的理論模型分析「風險基礎的資本管制」(RBCR)對銀行投資組 合之影響，並根據模型分析結果建立兩個實證假說，用以探討底下兩個問題：第一、銀行在 因應 RBCR 較高的資本比率要求時，何以仍有增加其高風險性資產比例的行為出現﹖第二、 臺灣銀行業者以朝高風險性資產組合的途徑去因應 RBCR 之現象，是否意味著 RBCR 管制政 策無效﹖我們以「局剖調整」的動態聯立體系計量方法，就臺灣資料進行實證結果，主要結 論認為：臺灣銀行業者之所以用增加高風險性資產持有比率之方式去因應 RBCR， 主要是因 為其「邊際利潤效果」顯著地高於其「邊際風險效果」所使然， 而此一現象並不意味著 RBCR 在臺灣的管制政策無效，相反地，就抑制銀行投資組合風險之政策目標而言，RBCR 在 臺灣業已初步達成其政策效果。

　　　　　This paper develop an analytic model applied to investigate the impact of the risk based capital regulation (RBCR) on bank portfolio. Our model hypothesize that it may exist a negative relationship between the change in marginal profit and marginal risk premium for a value-maximization's bank. Alternatively, this model, after adding an available assumption, hypothesize that it shall be endogenously and simultaneously determined between the bank's risk structure and optimal capital level. In support of these hypotheses, using a dynamically partial adjustment system, we show that the marginal profit effect is larger than the marginal risk effect for local banks. This empirical evidence can be used to explain that the local bank's risky asset holdings become more since RBCR announcement of 1989. Also, our empirical results suggest that the regulated effect of RBCR for Taiwan's bank industry should have a significant achievement.