台灣銀行業體系風險之衡量

Abstract

本論文以Brownlees and Engle (2012)及Acharya(2012)提出的研究方法與概念衡量台灣銀行業之體系風險，試圖了解在金融危機發生後，台灣各銀行可能面臨的體系風險及整體銀行業的曝險程度。我們將體系風險定義為一間金融機構在金融危機發生當下對於整體金融業資本短缺程度的貢獻比例。此研究方法僅需要取得公開的資料即可進行衡量，並能藉此衡量台灣整體銀行業的潛在曝險程度。研究結果顯示，本論文所衡量的體系風險能夠估計在金融海嘯發生當下台灣銀行業所面臨的體系風險，並可區分金控及銀行族群相互比較，進而排名出各銀行及金控在不同時期的體系風險指數。接著，我們探討總體體系風險變化的潛在因子，迴歸結果顯示主要影響因子為台股市場報酬率及台指波動率指數。此外透過實證結果，本論文提出之體系風險值，亦可作為經濟風險升溫的警示指標。因此，我們相信這樣的衡量指標能夠捕捉體系風險的特性，並提供給政府作為有利的經濟政策參考依據。

This paper aims to employ an empirical method from Brownlees and Engle (2012) and Acharya(2012) to measure systemic risk in Taiwan’s banking sector. We relate the systemic risk of a financial institution to its contribution to the system capital shortfall when financial crisis happens. This measure of capital shortfall is based on publicly available information. According to our main results, our systemic measure can catches the major characteristics of systemic risk and provides a reliable interpretation of the past financial crises. We also conduct a regression to find out the main factors that influence the aggregate systemic risk, in which the results show that the change in market return and volatility index both have significant impact on the change in aggregate systemic risk. In addition, our systemic measure can also be used as early warning signal against Taiwan’s macro-economic variables such as unemployment rate and industrial production, which can be taken as a helpful tool for policy-making.