巴賽爾協議III流動性風險衡量指標之實證研究-以台灣上市櫃銀行為例

Abstract

巴賽爾銀行監督管理委員會(BCBS)強調銀行必須對流動性風險管理建置一個健全之架構，以增強銀行承受來自於金融體系與經濟壓力衝擊之能力。在2010年12月所提出的巴賽爾協議III流動性規範中，新增訂了流動性覆蓋比率(LCR)和淨穩定資金比率(NSFR)兩項流動性指標，期望以量化方式更有效評估銀行的流動性風險。本文依此規範，利用公開資訊對於台灣23家上市櫃銀行從2005年第四季至2013年第三季的季資料來估算。一般迴歸模型結果顯示以台灣銀行業為例發現，巴賽爾協議III所提出兩項新的流動性指標，在大規模銀行中，流動性覆蓋比率是顯著的；而在小規模銀行中則是淨穩定資金比率優於傳統的流動性指標，此結果顯示巴賽爾協議III所提出兩項新的流動性指標具其重要性。

The Basel Committee on Banking Supervision (BCBS) strengthen global liquidity regulations with the goal of promoting a more resilient banking sector in order to improve the banking sector’s ability to absorb shocks arising from financial and economic stress. In the international framework for liquidity risk measurement of Basel III, the Committee developed two minimum standards for funding liquidity, the liquidity coverage ratio (LCR) and net stable funding ratio (NSFR). Based on the guiding principles of the framework, we use public information such as financial reports of all the 23 publicly traded banks in Taiwan to estimate. The sample period is from the fourth quarter of 2005 to the third quarter of 2013. The results showed that Basel III proposed two new liquidity indicators with its importance. From our regression analysis, the liquidity coverage ratio (LCR) is significant in large banks; while smaller banks are net stable funding ratio (NSFR) is superior to traditional liquidity indicators.