抗景氣循環緩衝資本對銀行流動性創造行為影響之研究

Abstract

本研究以台灣銀行業為樣本，探討銀行緩衝資本對其流動性創造之影響。實證結果顯示，提高銀行緩衝資本對銀行流動性創造金額之影響，將因景氣繁榮程度、銀行規模與銀行經營型態而異。當景氣繁榮程度愈高，銀行緩衝資本對流動性創造的負向影響將更顯著。並且，對經營型態著重傳統存放款業務且規模較小的小型且經營型態偏美式銀行而言，提高銀行緩衝資本，確可降低其流動性創造金額，但對規模較大且傾向多角化經營的大型經營型態偏德式銀行，則將導致流動性創造增加之反效果。此外，針對自有資本占風險性資產比例超過10.5%之銀行樣本的研究結果顯示，緩衝資本提高亦將增加大型經營型態偏德式銀行之流動性創造金額，但對小型經營型態偏美式銀行則無明顯影響。

The study examines the effect of banks' capital buffer on liquidity creation by banks. Based on a sample of Taiwan banks, the study finds that the relationship between banks' capital buffer and their liquidity creation varies with economic conditions, bank size and operation types of banks. When economic conditions are better, the negative impact of banks' capital buffer on liquidity creation appears to be enhanced. Besides, higher banks' capital buffer leads to less liquidity creation at small separated banks which focus on traditional intermediation activities, while leading to greater liquidity creation at large universal banks which also engage in services of credit cards, derivative designs, underwriting, and brokerage, except traditional intermediation activities. Moreover, the study also investigates the subsample of banks whose risk-adjusted capital ratio above 10.5%. The empirical result indicates the relationship between capital and liquidity creation is still significantly positive for large universal banks, but insignificant for small separated banks.