衍生性金融商品與臺灣銀行業的市場風險：以風險值方法評估

Abstract

在2008年美國金融機構發生了幾件重大財務金融危機事件，造成這結果的原因之一跟衍生性金融商品有關。因此，人們開始對衍生性金融商品是否具有規避金融機構風險之功能產生質疑，並且也質疑金融機構是否有過度操作衍生性金融商品的現象。本文目的是以1998-2011年臺灣銀行業為研究對象，探討衍生性金融商品對銀行風險的影響。本文強調把衍生性金融商品的資料區別出是用於交易目的或是用於非交易目的（避險目的）。銀行風險變數強調採用風險值（VaR）方法衡量的銀行市場風險。在估計模型之計量方法上，強調系統一般化動差法之動態長期追蹤模型。我們實證結果發現，提高非交易目的（避險目的）之衍生性金融商品使用程度，銀行市場風險會降低，這意味著，對臺灣銀行業而言，衍生性金融商品是具有規避風險的功能。另外，我們實證結果也發現，持有交易目的之衍生性金融商品比率較高的銀行，它們的市場風險會呈現較低，造成這結果的原因跟它們持有未軋平的衍生性金融商品部位有關。這兩個估計結果皆反映出，臺灣銀行業並沒有像美國銀行業有過度操作衍生性金融商品的現象。

In 2008, some of financial institutions had suffered the financial distress in the United States. One of reasons behind the crisis is related to use of derivatives. Therefore, a lot of people had a question: ?Can the use of derivatives really decrease risks of financial institutions?? and ?Do financial institutions have a phenomenon of overused derivatives?? The purpose of this paper is to explore the impact of the use of derivatives on bank risks in the Taiwan's banking industry from 1998 to 2011. This paper divides the data of derivatives into two parts. One part is the data of derivatives used for the non-trading (hedging) purpose, and the other part is the data of derivatives used for the trading purpose. And its bank risk variable uses the bank market risk measured the Value-at-Risk (VaR) approach. It also applies the system generalized-method-of-moments technique developed for dynamic panels. Our empirical results find that higher use of derivative for the non-trading (hedging) purpose tends to result in lower bank market risk. This means that for the Taiwan's banking industry, the use of derivatives can really decrease bank risks. In addition, our empirical results also find that higher holdings of derivative for the trading purpose are associated with lower bank market risk because of unmatched derivative position. Both of results reflect that unlike the U.S. banking industry, the Taiwan's banking industry doesn't have a phenomenon of overused derivatives.