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第五章 結論
本文使用 2007 年至 2014 年北美洲、歐盟、中國、東南亞以及東北亞各區域 之主要銀行的銀行季資料，主要研究銀行的資本投資和總體經濟因素是否影響之 銀行的破產風險。研究發現，資本報酬率在各區域間皆為顯著因子，即資本報酬 率對於銀行破產風險有顯著影響。在北美洲與東北亞，當資本報酬率越高，表示 資本投資具有效率，銀行應越穩定、破產風險應越低，與預期相符。不過在歐盟、
中國與東南亞，當資本報酬率越高，銀行破產風險卻也顯著上升。推估其原因為 歐盟、中國與東南亞的資本投資在風險性資產的比例，相較於北美洲與東北亞為 高所致。高風險帶來高報酬但同時亦降低了銀行穩定性，且以東南亞之風險性資 產占比最高。且本文發現營業利潤率不論在哪區域和銀行穩定性皆為正相關，但 是僅在歐盟和中國為顯著變數。
本文的觀測期間同時涵蓋金融危機與歐債危機，發現北美洲與歐盟在金融危 機時 Z-score 值明顯下降，顯示歐美銀行的破產風險上升。歐洲在 2009 年金融危 機結束後雖然銀行破產風險下降，但隨即而至的歐債風暴再度重挫歐盟的銀行穩 定度。歐盟的銀行為觀測期間中破產風險之首，推估為總體經濟環境所致。本文 之總體經濟變數使用國內生產毛額(GDP)，發現儘管在 2008 年五區之 GDP 都顯 著下降，但是總體經濟環境對亞洲銀行的破產風險卻無顯著影響。相較於美國在 金融危機時資產報酬率大幅下降，以及歐債危機時歐盟的資產報酬率劇烈下降至 負值，亞洲的資產報酬率皆維持一定水平，和前面亞洲較不受到總體經濟影響之 文獻結果相符。最後本文亦發現，東南亞和中國在資料期間之資產報酬率及資本 報酬率較其他三區為高，推估原因除上述所言之投資大量風險性資本外，開發中 國家的經濟成長率，一般來說會高於已開發國中的經濟成長率。
最後，本文和其他研究不同之處為考慮自變數間的交互作用關係，共放入四 個交互作用項檢視資本報酬率和營業利潤率、長期債務占權益比、總債務占總資 產比及長期債務占權益比和總債務占總資產比之間的交互作用。整體來看可以發
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現，在北美洲及歐盟的自變數間交互作用較亞洲顯著，即在歐美自變數的變動會 同時影響另一自變數對應變數的影響。其中，歐美的資本報酬率與營業利潤率存 在顯著的正向交互作用，即在其他條件不變的情況下，當資本報酬率增加時，營 業利潤率的成長率對於銀行穩定性的影響會有正向加乘效果；反之當資本報酬率 減少時，營業利潤率的成長率對於銀行穩定性的影響會降低，在亞洲此交互作用 項則不顯著。長期債務占權益比和債務占資產比的交互作用項則是五個區域皆為 顯著，且皆為負向影響。在其他條件不變的情況下，當長期債務占權益比或是總 債務占總資產比其中一方增加，另一方之成長率對銀行穩定性的影響會下降；反 之，當其中一方減少時，另一方之成長率對銀行穩定性的影響力會上升。
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Bank Name City Country Total Assets
North America
JP Morgan Chase Bank Columbus US 1,945,467 Bank of America Charlotte US 1,433,716 Wells Fargo Bank San Francisco US 1,373,600 Citibank Sioux Falls US 1,346,747 Toronto Dominion Bank Toronto CA 837,909 Federal Home Loan Banks New York US 834,200 Royal Bank of Canada Toronto CA 834,191 Morgan Stanley New York US 832,702 Prudential Financial Newark US 731,781 Bank of Nova Scotia -
SCOTIABANK Toronto CA 714,560
Euro Zone
BNP Paribas Paris FR 2,522,470
Deutsche Bank Frankfurt DE 2,222,314 Barclays Bank London GB 2,162,121 Crédit Agricole S.A. Montrouge FR 2,119,532 Royal Bank of Scotland Edinburgh GB 1,679,733 Banco Santander Madrid ES 1,538,599 Lloyds Bank London GB 1,419,638
HSBC Bank London GB 1,336,784
UniCredit SpA Milano IT 1,166,513 Deutsche Bundesbank Frankfurt DE 1,104,721
China
Industrial & Commercial Bank of China
Beijing CN 3,100,051 China Construction Bank
Corporation
Beijing CN 2,517,568 Agricultural Bank of China Beijing CN 2,386,291 Bank of China Limited Beijing CN 2,273,581 China Development Bank Beijing CN 1,341,642 Bank of Communications Shanghai CN 976,818 China Merchants Bank Shenzhen CN 658,167 Shanghai Pudong Development
Bank
Shanghai CN 603,062 Industrial Bank Fuzhou, Fujian CN 602,621 China CITIC Bank Beijing CN 572,394
資料來源：BankScope
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表 a-1(續) 各區域主要大型銀行列表 ASEAN
DBS Bank Singapore SG 317,729 Monetary Authority of Singapore Singapore SG 301,825 Oversea-Chinese Banking Singapore SG 267,485 United Overseas Bank Singapore SG 224,634 Malayan Banking Berhad -
Maybank
Kuala Lumpur MY 170,789 Bank Indonesia Jakarta ID 135,259 Bank of Thailand Bangkok TH 118,018 Public Bank Berhad Kuala Lumpur MY 98,919 CIMB Bank Berhad Kuala Lumpur MY 92,466 Krung Thai Bank Bangkok TH 83,101
North Asia
The Bank of Tokyo Tokyo JP 1,885,440 Mizuho Bank Tokyo JP 1,404,703 The Norinchukin Bank Tokyo JP 800,554 Sumitomo Mitsui Trust Bank Tokyo JP 385,931 Shinkin Central Bank Tokyo JP 301,484 Resona Bank Osaka JP 276,823 KB Kookmin Bank Seoul KR 251,335
Woori Bank Seoul KR 236,863
Shinhan Bank Seoul KR 225,550
Industrial Bank of Korea Seoul KR 201,424
資料來源：BankScope
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表 a-2 不分區之迴歸結果
ROC 為資本報酬率、OP 為營業利潤率、DEBTc 為債務占資本比、DEBTtA 為債務占資產比。GDP 為國內生產毛額，其計算方式為 GDP = C + I + G + (X-M)，其中 C=消費，I=投資，G=政府支出，(X – M) = 淨出口。本文將 GDP 取自然對數後作一階差分。.
Intercept β p-value ROC 37.68986 2.12075 0.0000 OP 19.24912 0.81698 0.0000 LDEBTe 59.54231 (0.08854) 0.0000 DEBTc 53.03221 (0.08577) 0.4091 DEBTtA 62.37895 (0.70178) 0.0000 ROC×OP 35.73255 0.05733 0.0000 ROC×LDEBTe 45.32118 0.00772 0.2278 ROC× DEBTtA 28.57384 0.32105 0.0000 LDEBTe× DEBTtA 54.49321 (0.00149) 0.0000