國立中山大學學位論文典藏.pdf

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4 : (Simultaneous equation) CAMEL. () (APLGR) () (TLCR/ALCR)() APLGRt AIRGR t/alcr tairgr t/iirgr t 5%10%5% II

5 CAMEL III

6 IV GDP ROA ROE (5-1) - 74 (5-2)75 (5-3) NPLt 76 (5-4) NPLt 77 (5-5) TLCRt 78

7 (5-6) TLCRt 79 (5-7) AIRGRt 80 (5-8) AIRGRt 81 (5-9) - 82 (5-10) NPLt 83 (5-11) NPLt 84 (5-12) TLCRt 85 (5-13) AIRGR 86 (5-14) TLCRt 87 (5-15) AIRGR 88 (6-1) 70 V

8 : ( ) (1-1): (1-1) : : : (Savings and loan Association)

9 % 56% : :. : :

10 (1-1) 3

11 4 : : () : () : () : () : Narchant () : () : : :

12 : : :1905 : : : : : : : 50 : ( )

13 ( ) ( ) : ( ) : : % : 6

15 ( ) : 8

16 :. () % (): : %50% 17 :. (): : % (): % ( ) : : 9

17 ( ) : ( : ( 2-1 ) : : 10

18 : : : ( 2-2 ) : : : OBU 30 : (): : (2-3 )

19 : ( 2-3 )

20 : ;. (2-4 ): ( ) ( ) ( ( ) ) ( ) ( ( ) ) :

21 (): (): : ( )

22 (2-5 ): () : :

23 16 2-1

24 : (): (): (1997 )1 11 ( ) 74.28% 47.85% ( ) 25.72% 52.15% ( ) 81.8% 77.7% ( ) 18.2% 22.3% % % % 17

25 (): (1) (2) (3) (2-6) ( ) (2-7) ; (2-8) ( ) %129.33% % % % %119.72%1 : : (): 1991 (2-10) % 3.01% 0.07% ( ) % 1.84% 0.042%

26 % 0.032%. (): 1991 (2-10) % 2.22% 0.05% % 1.41% 0033% % 1.31% 0.025%. (2-11) 3.01%2.22% 1.66%1.31% 0.05%0.07% 0025%0032% (): : ( ) 1995 (2-12) ROA 0.84%0.71% 0.25% 0.47% % ROE %11.87% %6.05% ROE %ROE ( ) 1991 (2-13)3.06% 3.93% % 5.71% 20 19

27 ( ) 88% (2-2 ) % % % 20

28 (2-6 ) : 21

29 (2-7 ):

30 : 23

31 (2-8 ): : 24

32 (2-9 )GDP GDP ( ) % ( ) % ( 1 ) [ ]{ } ( 2 )

33 (2-10) ( ) ( ) ( ) ( ) % % % % (1) (2)

34 (2-11 ): 1995 ( ( )% )% % % % % :( 1) (2). 27

35 (2-12) ROA ROE (1) (2) (3) 1995 (ROA (ROA (ROE (ROE ) ) N N N N N N N N N N N N ) ) 28

36 (2-13 ): % % % % % % : (1) (2). 29

37 30 (2-2 ):

38 : (2-14) (2-14): : % 2.17% 2.77% 2.52% % 3.12% 5.07% 4.80% : : : (): : 1: : 2: : ( ) 31

39 ( + ) / ( + ) = :. : (): : 1 : (1): (Pact Due Loans) (2): : 180 : / ( + + )= (). : : 1: : 2: : : (1): (2): (3): (4): (5): (3) 3. : ( ) : ( + ) / ( + + ) = : ( ) (2-15) % % 1.75% 16.39% : 32

40 (2-15) % ( )% 1991 N N N N : 33

41 () : 1 : % % (2-17) (2-16) :(2-16 ): NT$/1US$ N 24% 1.3% 7.6% - 3.7% 5.4% 1.3% N 65.6% - 3.6% % - 1.1% 13.81% - 0.1% M2 25.3% 26.6% 17.9% 15.3% 11.1% 15.7% 18.6% % 34.5% 13% 9.3% 1.5% 13.3% 7% % 28.2% 20.6% 17.1% 9.3% 17 % 17.3% % 16.3% 38.4% 30% 15% 22% 25.7% :85 (2-17 ) :81 34

42 (2-16) % M %% % % (2-18) % % 1990 (2-18) % % % % % % 1989 :

43 (2-19) : (2-19 ) / : (1992). 36

44 () 1 : :(2-20 ) =100 %UN %GDP SPI ULPI ( )%CDR N N N : (1) (2-20 ) Caprio and Klingebiel (1996 ) (2) 37

45 2-20 ) % % (3) (Check Dishonored Ratio) (2-21 ) % 9% (2-21 ) % % % : (4) (Stock Price INDEX) %

46 % % (5) (2-19) (2-3) (2-19 ) % % 5.14% 5.5% (1997) 22 (2001 ) (2000 ) 4 1 : (2-22 ) : % ; 15% 39

47 (2-3) 40

48 2 (1) 1980 (Lending Boom) (1999 ) Cavin and Hausmann (1996 ) % 6.95% 9.59% 38% % % 31.% Kaminsky and Reinhart(1996 ) (2) : % %7.30% % % % 1% (2001 ) % % 41

49 (1997 ) 1996 De Juan (1996 ) (3) : (Convergence of Interest hypothesis): 8.3% 4%5.2% 1% (2000 ) % 6.% % (1996 ) (1995 ) Jenson Meckling (1976 ) (Managerial entrenchment hypothesis) % % 10% % % % % (1994) La Porta (1999) Claessens (1999) 42

50 La Porta (1999)Shleifer Vishny (1997) (4) (Enron) Roubini (1997 ~ 1998) 4% 20% Cavin and Hausmann (1996) 1995 ( ) 108 (2-23) 81 75% () Caprio and Klingebiel (1996 ) 10% Jensen and Ruback (1983 ) 43

51 Kaplan and Minton (1994 ) ( ) 2.5% 44

52 (2-23 )

53 : : : : :

54 % ( ) : 47

55 () ( ;59)1954 () () ( )( ) () ; ) () () () ( () 3 48

56 : : : : ():Andrei Shleifer and Robert W. Vishny (1997 ) % % % 301% ():Gilson (1989 ) (managerial entrenchment hypothesis) Morck Shleifer Vishny (1988) 5%25% Tobin Q (): Robert Morris Associates M.B.Greenwalt J.F.Sinkey (1988 ) C.K.Ma(1988 ) I.Hasan W.C Hunter (1994 ). V.Bhat(1996 ) 5%. 49

57 (): Kaminsky Reinhart (1996 ) Kaminsksy Reinhart (1996 ) (1999 ) Hausmann Cavin (1995 ) (2000 ) ( ). ( ) ( ) (1999) Kaminsky Reinhart (1996 ) Mishkin (1994 ) Moyer(1990 ) Beatty. Chamberlain and Magliolo (1995 ) Collins Shackelford and Wahlen(1995 ) Liu and Ryan (1995 ) (1997 ) (1997 ) (): 1938 Horace Secrist (OCC): 50

58 1930 (Joseph F.Sinkey) ; 1972 Edward I. Altman1968 ( )(CAMEL) (): : :ACR = [K +R +N L 0.5D]/A or NCR= [K+ R +N L D S]/A :Sinkey; 1978 : < : A C R= N C R = K= ( C ); R= (C ); N= (M); L = (A); D= (A); S= (A); A= (A) : : NCR< 2.74% ():. : : =( + ) / (L) ; = / 51 (A); = / (A) = /( + ) (C); = / (M); =( + ) / (M) = ( + ) / (M); :Sinkey ; 1975 : Z () :Edward Altman ; 1968 : (Stepwise Multiple Discriminant Analysis: (SMDA) ;

59 X 1: = / (L); X 2: = / ( C ); X 3: =( + ) / (E ); X 4: = / (M ) ; X 5: = / (M ) Z Score : Z= 0.012X X X X X 5 Z (): : Leon Korobow. David P.Stuhr and Daniel Martin ( 1977 ) : Logit : ; : LL.TS=( + ) / ( M ) EQ.ARA= / (C ) EXP.OP = / ( M ) GCO.NI= ) (A )CI.LN= / (A) Cauchy : 52 / ( + P=(1/2) +( 1/arctangent (a 0 + a 1 LL.TS+ a 2 EQ.ARA+ a 3 EXP.OP+ a 4 GCO.NI+a 5 CI.LN) : 1 0 (): Probit Logit : : (1996 ) : Logit : : X1 = / (A) ; X2= / (A) ; X3= / ( E ); X4 = / (L)) ; X5= / ( E ); : 12 Logit 10%. () : 1996

60 : : : X2 = / (A ); X3= / (C ); X23= / (A ); X37= / ( L ); X40= / ( O ); X43= / ( E ); (Discriminant Score ) : DS= X X X X X X43 : DS0.76 DS

61 : : : CAMEL CAMEL : C:(Capital) Bank for Internationl Settlement 8% ( Capital Adequacy Ratio) A:(Asset): ; =( + ) 2.5% M:(Management): E: (Earnings):. : (Return on Asset ROA)= (Return on EquityROE)=. L:(Liquidity) 7% = 7%. 54

62 CAMEL 10% Watt and Zimmerman(1978) Ronen and Sadan (1981) (managerial incentive variable) (contral : : (the Banker) % % : (): UN SPI CDR (G D P) RR RDR 55

63 :. (): Ho: H1:. (): Ho: H1: ():Ho: H1:

64 : : (): XY. Y: (Endogenous Variable ) X (Exogenous Variable) (Independent Variable) ( ) X Y X Y (Simultaneity) (): NPL NPL t =a 0 +a 1 GDP t-1 +a 2 UN t-1 +a 3 CDR t +a 4 SPI t-1 +a 5 APLGR t +a 6 (): TLCR t TLCR t=ß 0 +ß 1 NPL t+ß 2 TDGR t+ß 3 RDR t +ß 4 SPI t-1 +ß 5 IIGR t+ß 6 AIt+e 2 TLCR t + a 7 ALCR t AIRGRt IIGRt +e 1 (): AIRGR t AIRGR t =? 0 +? 1 NPL t +? 2 CDR t +? 3 APLGR t +? 4 ALCR t +? 5 RR t +? 6 TNWGR t +? 7 RDR t + e 3 57

65 TLCRt GDPt-1 AIt IIGRt TDGRt Unt-1 CDRt SPIt-1 APLGRt TLCRtALCRt AIRGRtIIRGRt NPLt RDRt CDRt ALCRt RRt TNWGRt AIRGRt

66 : NPL t t GDPt-1: : t-1 UN t-1 : t-1 CDRt: t SPI t-1 : t-1 APLGR t : t TLCR t : ALCR t t AIRGRt : t IIGRt RRt: : t RDRt: : AIt: t TDGRt:I t TNWGRt:I t (): : ; : M: m: K: k: (K- k)(m-1) K-k m K-k = m-1 K-k> m-1 K-km-1 NPLt K-k=12-7=5>3-1=2 TLGRit K-k=12-5=7>2-1=1 AIRGRit K-k=12-6=6>3-1=2 59

67 Theil R.Basmann (Two-Stage Least-Squares Method) (2 SLS) ():. 1 (NPL) NPL t =a 0 +a 1 GNP t-1 +a 2 UN t-1 +a 3 CDR t +a 4 SPI t-1 +a 5 APLGR t +a 6 60 TLCR t + a 7 ALCR t AIRGRt IIGRt GDPt-1 t-1 GDP UNt-1: CDRt:t CDR SPIt-1: APLGRt TLCR ALCR t t ( ) +e 1

68 . TLCRt ALCRt AIRGRt t IIGRt 2. TLCR t=ß 0 +ß 1 NPL t+ß 2 TDGR t+ß 3 RDR t +ß 4 SPI t-1 +ß 5 IIGR t+ß 6 AIt+e 2 NPLt TDGR RDRt t-1 SPI t-1 NPLt: t TDGR t t RDRt t SPIt-1: IIGR t AIt 3 61

69 AIRGR t =? 0 +? 1 NPL t+? 2 CDR t +? 3 APLGR t +? 4 ALCR t +? 5 RR t +? 6 TNWGR t +? 7 RDR t + e 3 t NPLt NPLit CDRt APLGRt ALCR t RR t TNWGR t t 8% RDRt 62

70 : : NPL t =a 0 +a 1 GDP t-1 +a 2 UN t-1 +a 3 CDR t +a 4 SPI t-1 +a 5 APLGR t +a 6 TLCR t + a 7 ALCR t AIRGRt IIGRt +e 1 TLCR t=ß 0 +ß 1 NPL t+ß 2 TDGR t+ß 3 RDR t +ß 4 SPI t-1 +ß 5 IIGR t+ß 6 AIt+e 2 AIRGR t =? 0 +? 1 NPL t +? 2 CDR t +? 3 APLGR t +? 4 ALCR t +? 5 RR t +? 6 TNWGR t +? 7 RDR t + e 3 NPLt = ao+a1gdpt-1+a2unt-1+a3cdrt+a4spit-1+a5aplgrt+a6alcrt+a7iigrt+a8rrt +a9 RDRt+a10 AIt +a11tdgrt+a12tnwgrt+e1 TLCRt =bo+b1gdpt-1+b2un t-1+b3cdrt+b4spi t-1+b5aplgrt+b6alcrt+b7iigrt+b8 RR t +b9 RDR t +b10 AI t+b11 TDGRt.+b12TNWGR t+e2 AIRGRt =C0+C1GEP t-1+c2un t-1+c3cdr t+c4spi t-1+c5aplgr t+c6alcr t +C7IIGR t+c8 RR t +C9 RDR t +C10 AIt +C11 TDGR t +C12TNWGR t+e3 :NPLt =Xa+e1 TLCRt =Xb+e2 AIRGRt =Xc+e3 X=[1.GDP t-1 UN t-1 CDR t SPI t-1 APLGR t ALCR t IIGR t RR t RDR t AIt TDGR t TNWGR t] a=[a0 a1 a2 a3 a4 a5 a6 a7 a8 a9 a10 a11 a12] b=[b0 b1 b2 b3 b4 b5 b6 b7 b8 b9 b10 b11 b12] c=[ c0 c1 c2 c3 c4 c5 c6 c7 c8 c9 c10 c11 c12] a= (X X ) -1 X NPLt =[ ] NPLt = GDPt UNt CDRt+2.53SPIt APLGRt ALCRt IIGRt RRt RDRt AIt TDGRt TNWGRt =[ ] NPLt = GDPt UNt-1+3.1CDRt+0.009SPIt APLGRt+2.22ALCRt -0.67IIGRt+0.042RRt-0.40 RDRt+0.08 AIt +1.3TDGRt-1.44TNWGRt 63

71 b=(x X ) -1 X TLCRt =[ ] TLCRt = GDPt UNt CDRt+0.004SPIt APLGRt +1.9ALCRt 0.22IIGRt 0.21 RR t+0.61rdr t -0.14AI t TDGRt.-0.47TNWGR t =[ ] TLCRt = GDPt UNt CDRt-0.003SPIt APLGRt+0.43ALCRt +1.14IIGRt-0.09 RR t-0.13 RDR t AI t+0.23 TDGRt.+0.83TNWGR t2 C=( X X ) -1 X AIRGRt =[ ] AIRGRt = GEPt UNt CDRt+0.12SPIt APLGRt-53.99ALCRt IIGR t-2.15 RR t RDR t 0.19AIt TDGR t 27.53TNWGR t =[ ] AIRGRt = GEP t unt cdrt+0.002spit aplgrt-0.03alcrt -0.8IIGR t-0.09 RR t +0.11RDR t AIt +1.5 TDGR t 0.56TNWGR t NPL t TLCRt AIRGRt NPLt =Xa TLCRt = Xb AIRGRt X c 64

72 NPLt TLCRt AIRGRt N : : N N : NPL t NPLt NPLtTLCRt TLCt AIRGRt AIRGR t NPLt=a0+a1GDPt-1+a2UN t-1+a3cdr t+a4spi t-1+a5aplgr t +a6(tlcrt /ALCRt) +a7( AIRGRt /IIRGR t) +e*1 NPLt= M1d1+e*1 1 M =[1 GDP t-1 UN t-1 CDR t SPI t-1 APLGR t (TLCRt /ALCR t) (AIRGRt /IIRGt)] d1= [a0 a1 a2 a3 a4 a5 a6 a7 ] d1=[ M1 M 1] -1 M1 NPLt 65

73 : adj R 2 = F=6.6369> NPLt= GDP t un t cdr t SPI t aplgr t (TLCRt /ALCRt) ( AIRGRt /IIGRt) TLCRt : :[ ] adj R 2 =0.9969F > :[ ] adj R 2 =0.9791F > : TLCRt= NPLt TDGRt RDRt SPIt IIGRt AIt : TLCRt= NPLt TDGRt RDRt SPIt IIGRt AIt AIRGRt : :[ ]; adj R 2 =0.9777F > :[ ]; adj R 2 =0.7216F > : AIRGRt= NPLt CDRt APLGRt ALCRt RRt TNWGRt RDRt : AIRGRt= NPLt CDRt APLGRt ALCRt RRt TNWGRt RDRt 66

74 (Simultaneous eguations) NPL. (6-1) (): : adj R 2 R F > ( ) GDP t-1 : t P < % UN t-1: t P < %. CDR t: t P <0.05 5% SPI t-1: SPI t %40.09% t P % APLGR t: t P <0.05 5% () (TLCR t/alcr) t: t P < % () (AIRGR t/iirgr)t: t P <0.10 5% ()

75 () : Adj R 2 : NPL t. F ( ) GDP t-1: t P GDP t-1 UN t-1: t P CDR t : t P SPI t-1: t P APLGR t: t P (TLCRt/ALCRt): TLCRt/ALCRt TLCRt/ALCRt t P (AIRGRt/IIRGRt): AIRGRt/IIRGRt AIRGRt/IIRGRt 1. t P TLCR (5-6) adj R 2 =0.9969F > TLCR 68

76 TLCR ( ) 0. NPL t P % adj R 2 =0.9791F > TLCR TLCR ( ) 0. NPL NPL t P AIRGR (5-8 ) adj R 2 =0.9777F > AIRGR AIRGR ( ) 0. NPL t P % adj R 2 =0.7216F > AIRGR AIRGR ( ) 0. NPL t P % 9.29% 31.8% 4-5% 69

77 : (6-1 ) adj R F : > (0.0761) adj R F : > (0.1372) t P H0 H1 APLGRt ** X V V X TLCRt/ALCRt * X V V X AIR/IIR ** X V V X GDPt * UN t * CDR t ** SPI t * *10%. **5%.***1%. 70

78 : NPL t (5-4 ) NPL t GDP t-1 UN t-1 CDR t SPI t-1 APLGR ttlcr t/alcr t AIRGR t/iirgr t lrl> CDR t GDP t-1 lrl APLGR ttlcr t/alcr tairgr t/iirgr t lrl NPL t. NPL t (5-9 ) NPL t GDP t-1 UN t-1 CDR t SPI t-1 APLGR ttlcr t/alcr t AIRGR t/iirgr t lrl> UN t-1 GDP t-1 APLGR t GDP t-1 lrl APLGR ttlcr t/alcr t AIRGR t/iirgr t lrl

79 ; (). (). () NPL t adj R NPL t APLGR t(tlcr t/alcr t)(airgr t/iirgr t). P %10%5%. APLGR t P TLCR t/alcr tairgr t/iirgr t P 72

80 () ().() (). 73

81 ( 5-1 )? : % 1.65% 4.30% 5.20% 4.17% 5.49% 6.45% 35.16% TLCR* * * (TLCR/ALCR) * * % 66.46% 34.07% 7.62% 38.25% 56.07% % % * * % % % -69% % % % APLGR* % % 9.62% 9.32% 8.87% 8.87% 8.25% 7% * * * (AIRGR/IIGR)* * * * 100% % % % % % 72.49% % % : * 74

82 (5-2 ) GDPt CDRt-1 SPIt-1 APLGRt ALCRt IIGRt RRt RDRt AIt TDGRt TNWGR NPLt

83 ( 5-3 ) NPL 76 * * ** * ** * ** *10% **5% ***1%.

84 77

85 5-5 TLCRt NPLt TDGRt RDRt SPIt-1 IIGRt AIt

86 5-6 TLCRt 79 NPLt * ** * ** ***

87 5-7 AIRGRt NPLt CDRt APLGRt ALCRt RRt TNWGRt

88 ( 5-8 ) AIRGR 81 NPLt * * * *

89 (5-9 )? : % 0.61% 0.50% 0.62% 0.61% 0.70% 0.99% 1.04% 1.80% N TLCR* * * (TLCR/ALCR) * * * % 71.38% 33.99% 28.93% 29.91% 9.26% -4.27% 6.71% -0.55% * * % % -6.06% % % % % APLGR* % 10.06% 9.62% 9.39% 9.17% 8.83% 8.90% 8.29% 8.00% 7.13% * * 147* 248* * AIRGR/IIGR* * * * 100% % % % % % % 95.39% 91.15% : * % 82

90 (5-10 ) NPL TLCRt AIRGRt 83

91 84

92 NPLt ** ** ** * 85

93 (5-13 ) AIRGR 86 NPLt * * *

94 NPLt TDGRt RDRt SPIt-1 IIGRt AIt TLCRt 87

95 NPLt CDRt APLGRt ALCRt RRt TNWGRt RDRt AIRGRt

96 1. (1947 ) (1954 ) (1970 ) 4. (1971 ) 5. (1992 ) (1992 ) (1992 ) ( 1992 ) ~ (1993 ) (1995 ) 11. (1995 ) 12. (1996 ) 13. (1996 ) 14. (1996 ) 15. (1996 ) 16. (1997 ) 17. ( 1997 ) ~ (1998 ) Andrew C.Harvey (1990 ) 19. (1998 ) (1998 ) (1998 ) 22. (1999 ) 23. (1999 ) (2000 ) (2000 ) (2000 ) (2000 ) 28. (2000 ) Excel 29. (2000 ) (2000 ) ( 88 ) 31. (2000 ) (2001 ) 89

97 1:Altman E.I (1968) Financial Ratio Discrminant Analysis and the Pre-diction of Corporate Bankruptcy Journal of Finance 23: PP598 ~ Andrei Shleifer and Robert W. Vishny (1997) A Survey of Corporate Governance The journal of FinanceVol.Lii.No2: PP CapiroGerard and Daniela Klingebiel (1996) Bank insolvenciescrosscountry experience WashingtonWorld bankunpuplished 4.KaminskyGraciela and Carmen Reinhart (1996) The twin crises:the causes of banking and balance of payments problems Board of Governors of the Federal Reserve System and the Internotionl Monetary Fundmanuscript 5.Leen KorobowDavid P.Sthur and Daniel Martin ( 1977)A Nationwide Test of Early Warning Research in Banking F R B New YorkQuarterly Review/Autumn: PP Ronen. J and S. Sadan (1981)Smoothing Numbers Objectives Means and ImplicationsAddison-Wesley publishing Inc 7..Sinkey. J.F (1975) Multivariate Statistical Analysis of the Characteristies of Problem Banks Journal of Finance :PP (1978) Identifving Problem Banks How Do the Banking Authorities Measure a Bank s Risk Exposure? Journal of Money Credit and BankingPP ShleiferA. and R.Vishny. (1986) Large Shareholders and Corporate Cntrol Journal of Political Economy1994:PP Watta R. L and J. L Zimmerman (1986) Postive Accounting Theory Englewood CliffsNew JerseyPrentice-Hall Inc 90

第二章.doc

第二章.doc (Diversification) Rumelt(1974) 3 1. Rumelt(1974) (Synergy) 3 Chandler(1962) Gort(1962) - 8 - (Economic of Scope) Teece(1982) Rumelt(1982) Amit and Livant(1988) Williamson(1976) (Debt Capacity) 2. Amihud,