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台灣基層金融機構資本管理與獲利能力之動態分析 / A Dynamic Analysis of Capital Management and Profitability in Taiwan's Fundamental Financial Institutions

  • ya-han, wu
FirstTech Institutional Repository


[[abstract]]本研究主要探討互助性質金融機構在巴塞爾資本協定與國內其他資本法規監理之情況下,資本部位、利潤率 (ROA) 以及風險性資產權重三者間之相關性。本文參照Brown and Davis (2009) 之研究,在資本管理與風險管理部分提供了一個能清楚反應產業特性的模型,並利用系統GMM對實證模型進行估計。根據資本法令要求資本緩衝之規範,以國內基層金融機構作為研究對象。本研究實證結果顯示基層金融機構透過短期目標利潤率的設定,以進行資本部位的管理,則利潤率與當期風險性資產權重之間為顯著負相關。此外,本文意旨基層金融機構將實際資本率逐漸調整至目標資本率,並有證據顯示該機構透過短期風險性資產狀況以達成資本需求。 / [[abstract]]Primarily this study is focusing on the relationship among capital position profit rate and risk weighted assets in mutual financial institutions abided by the Basel Accord and other capital regulation This research follows a formal model of capital management and risk management in mutual financial institutions such as credit unions which reflects these industry characteristics (Brown and Davis 2009) We estimate the empirical model by using system GMM The model is tested using data from the fundamental financial institutions subject to the regulatory capital requirement The empirical results in this study indicate that profit rate is negatively related to risk weighted assets when the fundamental financial institutions manage their capital position by setting a short term target profit rate (return on assets) Besides the paper is aimed at gradually removing discrepancies between the actual and desired capital ratio There is an evidence of short run adjustments to the risk of the asset portfolio to achieve a desired capital position

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