(21) 論 % 論論 Mishkin PDF 免费下载

(20) * ** 論論參 11 17 14 2 6 6 20% 19 1. 2. 3. 4. 80 * **

(21) 87 97 97 論 98 97 9 98 89 97 12 17% 30 8 98.04.25 80 論論 Mishkin1995

(22) 1979 Altman 1968 Discriminate Analysis? RISK-FOCUSED SUPERVISION 90 CAMELS FFIEC CAMELS rating Capital adequacy Asset qualitymanagementearningsliquidity 1989 CAEL

(23) SG 20% 1 1 87 100% 100% 60% 41% 45% 34% 47% 44% 88 100% 100% 60% 41% 47% 56% 47% 45% 89 100% 100% 60% 40% 46% 30% 47% 45% 90 100% 100% 60% 40% 36% 30% 47% 34% 91 100% 100% 60% 40% 41% 30% 47% 29%

(24) 92 100% 100% 60% 32% 40% 21% 47% 29% 93 100% 100% 60% 20% 35% 19% 47% 29% 94 100% 100% 48% 23% 36% 24% 32% 23% 95 100% 100% 43% 23% 36% 23% 27% 23% 96 100% 100% 41% 24% 35% 23% 26% 21% 97 100% 100% 40% 22% 29% 17% 26% 21% 98 4 97 12 31 17 14 1 1 2

(25) 26% 2 100% 100% 40% 22% 29% 17% 0% 98 4 21% 0% 0% 北 0% 0% 0% 1. 1 BhattacharyyaLovell Sahay1997 Elyasian Mehdian1992Bhattacharyya, Lovell1987 Sahay1997 85 2 McCall and Peterson1977Arshadi and Lawrence 3 16

(26) BhattacharyyaLovell Sahay1997 4 2. 87 12 97 12 17 14 11 87~97 87~90 91~93 93~96 97 切 87~90 91~93 輪 93~96 97 輪 2 91~93 輪 97 輪 87~97 87~90 94~96

(27) 3. 30 40 若 CAEL SG Altman1968Discriminate Analysis 論 19 留留 24 19 4 2 便 Rate-Sensitive AssetRSA

(28) Rate-Sensitive LiabilityRSLGAPGAP=RSARSL 100% 零論 4 180 累參

(29) 零 Zero Funds Gap Strategy 99.2% 98.6% 北 101.1%97.1% 零若 Positive Funds Gap Strategy Negative Funds Gap Strategy 10.85 7.41 89 90 2.59% 97 9 12 1.28% Kaiser 留 1 19 100% 60 100 20 40 60+40*Xi-Average Xmax- Average 60+40*Xi-Average Xmin- Average

(30) 19 5 5 N=448 25.10 10.98 6.08 1.69 2.86 4916.97 17.54 9.19 5.29 2.66 7.07 4115.52 10.69 6.11 2.79 1.71 2.94 2737.84 12.83 2.44 0.00 2.23 4.99 1092.38 245.98 55.47 12.07 33.56 1126.48 24850.08 45.37 8.40 (113.22) 15.05 226.41 3762.35 2.93 0.55 (6.29) 0.93 0.87 245.71 58.81 16.69 (157.91) 25.55 652.85 7476.29 6163.01 1140.14 (13402.03) 1942.83 3774594.14 510781.78 123.38 44.68 0.00 24.57 603.68 20018.67 65.40 24.00 9.40 10.78 116.31 10754.09 103.82 80.36 53.47 7.67 58.86 36002.85 81.98 56.57 26.68 11.02 121.53 25341.84 180 累 648.27 (119.28) (858.63) 210.30 44225.83 (53435.21) 126.46 92.49 35.32 13.19 174.07 41435.15 91.54 10.21 (11.28) 13.14 172.71 4575.17 95.94 9.50 (22.05) 15.92 253.48 4258.21 128.25 13.05 (64.94) 34.39 1182.39 5844.79 151.25 4.86 (52.79) 22.86 522.35 2178.33

(31) KMO Bartlett Bartlett 7643.35828 Kaiser 留 1 19 累 70.69% 6 % 累 % % 累 % % 累 % 1 5.05 26.59 26.59 5.05 26.59 26.59 4.14 21.81 21.81 2 3.27 17.23 43.83 3.27 17.23 43.83 2.99 15.74 37.55 3 2.14 11.27 55.09 2.14 11.27 55.09 2.46 12.95 50.50 4 1.74 9.14 64.23 1.74 9.14 64.23 2.00 10.53 61.03 5 1.23 6.46 70.69 1.23 6.46 70.69 1.84 9.66 70.69 6 0.94 4.96 75.64 7 0.86 4.55 80.19 8 0.78 4.12 84.31 9 0.68 3.58 87.90 10 0.61 3.20 91.10 11 0.45 2.34 93.45 12 0.34 1.80 95.24 13 0.30 1.59 96.84 14 0.27 1.43 98.27 15 0.13 0.69 98.95 16 0.08 0.40 99.35 17 0.06 0.31 99.67 18 0.05 0.27 99.94 19 0.01 0.06 100.00 6 100%

(32) 7 7 0.9661 0.9488 0.9392 0.9247 0.5019 (0.8768) 0.8536 0.7008 0.6201 180 累 0.4934 0.9172 0.8602 0.7064 0.4114 (0.7986) 0.6923 (0.5621) 21.81% 30.86% 15.74% 22.26% 12.95% 18.32% 10.53% 14.89% 0.7700 0.6230 9.66% 13.67% 70.69% 100.00% CAMELS FFIEC CAMELS ratingcapital adequacy Asset qualitymanagementearnings Liquidity 4.3

(33) G 7 8 12 8 87 90 24.08 22.26 10.74 14.16 12.01 83.25 22.61 7.70 11.51 10.68 5.82 58.32 18.76 4.37 11.32 9.17 4.03 47.64 20.68 6.08 10.56 14.89 7.30 59.52 21.16 12.46 10.94 14.89 6.61 66.07 18.21 3.27 10.04 14.89 7.45 53.87 7.70 6.51 7.99 14.89 6.13 43.22 24.68 12.88 12.59 12.51 5.56 68.22 26.35 13.88 15.91 12.38 10.66 79.18 30.68 22.26 13.73 14.89 10.65 92.21 北 22.90 22.26 10.50 14.89 6.30 76.85 23.83 22.26 14.51 8.54 13.32 82.45 24.15 11.17 16.25 12.37 9.22 73.17 23.19 11.49 13.75 12.13 10.82 71.39 30.68 22.26 16.25 14.89 13.32 92.21 22.07 12.78 12.17 12.95 8.28 68.24 7.70 3.27 7.99 8.54 4.03 43.22 87 90 86 4 落 3-2 90

(34) 9 91 93 17.28 22.26 9.25 11.36 11.67 71.82 16.85 7.38 12.21 9.22 6.65 52.31 15.33 8.14 11.53 4.81 4.97 44.78 10.54 9.08 10.64 14.89 6.15 51.29 8.53 13.71 12.11 14.89 6.02 55.26 7.74 10.25 8.79 14.89 6.43 48.09 14.26 6.04 10.86 13.02 5.75 49.92 23.33 18.22 13.66 14.06 7.99 77.27 29.34 14.64 13.40 12.42 10.44 80.24 19.17 19.51 10.71 13.60 8.33 71.32 北 22.31 22.26 9.15 14.89 9.01 77.62 23.12 19.50 14.46 13.97 9.69 80.74 29.51 7.18 13.05 12.15 10.12 72.02 27.03 3.95 16.69 10.58 9.48 67.74 29.51 22.26 16.69 14.89 11.67 80.74 18.88 13.01 11.89 12.48 8.05 64.32 7.74 3.95 8.79 4.81 4.97 44.78 91 93 輪 3 落 10 94 96 22.31 22.26 10.34 7.95 11.54 74.40 20.54 8.99 9.51 1.86 8.45 49.35 21.91 3.20 11.84 4.61 6.68 48.24 27.72 16.65 8.76 14.89 8.48 76.49 26.20 16.80 10.31 14.89 7.74 75.95 12.93 12.33 6.77 12.00 9.13 53.16 9.07 4.47 8.61 13.23 5.45 40.82

(35) 28.94 14.15 14.20 14.89 13.62 85.80 19.19 17.46 9.13 10.79 5.93 62.50 25.42 22.26 12.26 11.83 11.06 82.84 北 21.22 21.00 11.97 14.89 10.79 79.87 23.57 19.72 18.05 14.80 9.92 86.07 23.15 4.15 16.10 14.45 7.26 65.11 21.58 7.78 11.53 9.78 7.83 58.50 28.94 22.26 18.05 14.89 13.62 86.07 21.70 13.66 11.38 11.49 8.85 67.08 9.07 3.20 6.77 1.86 5.45 40.82 94 96 5% 8% 3 2 4 落 / 1% 11 97 21.12 22.26 16.32 12.90 10.92 83.52 24.14 5.60 13.76 2.79 7.53 53.81 24.78 3.85 8.47 10.20 6.30 53.60 30.10 13.63 11.97 14.89 7.86 78.45 28.18 10.53 9.82 14.89 6.95 70.37 23.43 7.54 9.97 11.07 8.50 60.51 23.05 0.00 12.32 11.51 3.19 50.08

(36) 21.65 7.09 12.85 14.89 13.35 69.83 26.26 22.26 10.37 13.07 8.25 80.22 24.83 19.25 10.88 10.10 8.92 73.97 北 25.42 15.81 15.75 14.89 9.97 81.83 6.17 17.61 11.01 11.88 8.07 54.74 20.13 5.85 14.66 14.89 6.86 62.38 14.04 9.86 9.35 7.25 9.48 50.00 30.10 22.26 16.32 14.89 13.35 83.52 22.38 11.51 11.96 11.80 8.30 65.95 6.17 0.00 8.47 2.79 3.19 50.00 97 輪 96 7 97 9 93 10 16 97 9 12 4 1.28% 落 96 9 96 9 97 6 96 3 95.26% 4 2.21%97 5.54% 87 97 97 4-7.27% 輪 97 6.5% 96 96 6 97 20% 若 12 87~97 87~90 90 91~93 94~96 97 79.31 83.25 77.42 71.82 74.40 83.52 50.93 58.32 53.00 52.31 49.35 53.81 48.24 47.64 44.97 44.78 48.24 53.60 66.22 59.52 58.45 51.29 76.49 78.45

(37) 87~97 87~90 90 91~93 94~96 97 67.60 66.07 63.87 55.26 75.95 70.37 45.93 53.87 53.71 48.09 53.16 60.51 42.54 43.22 43.85 49.92 40.82 50.08 83.35 68.22 66.97 77.27 85.80 69.83 76.03 79.18 79.96 80.24 62.50 80.22 82.84 92.21 87.59 71.32 82.84 73.97 北 84.73 76.85 83.77 77.62 79.87 81.83 84.93 82.45 82.73 80.74 86.07 54.74 71.49 73.17 77.69 72.02 65.11 62.38 66.54 71.39 70.78 67.74 58.50 50.00 67.91 68.24 67.48 64.32 67.08 65.95 落羅玲 95 論 95DEA-CAT 論北 94 論 97 97 4-7.27% 累 96 3 95.26% 4 2.21%97 5.54% 累 4.8 13

(38) 13 20.31 2 11.61 2 12.50 2 6.48 4 8.60 2 69.49 4 87 18.49 3 10.97 3 11.28 3 11.54 3 8.24 3 72.52 3 17.40 4 10.59 4 10.55 4 14.57 1 8.02 4 74.13 2 97 24.79 1 15.36 1 14.95 1 13.10 2 9.56 1 82.76 1 21.82 2 11.44 2 11.19 2 11.34 4 7.29 2 73.07 2 87 19.74 3 9.44 3 10.71 3 13.26 2 6.86 3 71.01 4 18.49 4 8.24 4 10.43 4 14.41 1 6.61 4 71.18 3 90 25.18 1 17.22 1 14.11 1 12.53 3 10.16 1 85.21 1 16.49 2 12.59 2 11.00 4 8.46 4 7.76 2 68.30 3 91 14.23 3 11.88 3 11.13 3 12.14 3 6.95 3 68.34 2 12.88 4 11.46 4 11.21 2 14.35 1 6.47 4 67.37 4 93 25.08 1 14.51 1 12.91 1 12.93 2 9.51 1 79.95 1 21.42 2 15.63 1 9.92 4 4.90 4 9.99 1 72.87 4 94 21.20 3 12.36 3 10.04 3 10.54 3 8.89 2 75.03 3 21.13 4 11.27 4 10.08 2 12.42 2 8.52 4 75.41 2 96 22.36 1 15.39 2 13.18 1 12.76 1 8.80 3 77.48 1 97 22.63 3 13.93 2 15.04 1 7.84 4 9.23 1 78.66 1 24.56 2 8.81 3 11.93 3 11.64 3 8.08 3 76.02 3 25.20 1 7.11 4 10.90 4 12.91 1 7.69 4 73.81 4 19.48 4 15.11 1 12.00 2 12.01 2 8.59 2 76.19 2 97 1. 97 87 96 97 落 2. 94 96 94 96

(39) 97 3. 97 97 4. 5. 87 93 94 96 97 87 97 CAMELS CAELSG 論 4.987 97 97

(40) 78.6673.8187~90 91~93 1 87 97 2 94~96 97 87~97 3 74.1369.49 87~97 482.76 72.52 裡若 80 16 19 4 論輪禮 11 91~93 羅玲 9594~96 滑落 97 輪留 14 70

(41) 北 97 12 30 257 87 97 零龍復 1. 2. 3. 0970048633 4. 5. 8 6 北 257 97 12 30 6. 李 SPSS/PC+ 北 7. 李玲北 8. 李論北 9. 北 10. 論 11. 沈

(42) 89-105 12. 練 13. 論 14. 論 15. 林 25 356-382 16. 林硏論 17. DEA 論 18. 論 19. - 論 20. 33-56 21. - 論 22. 論 23. 2002/2.PP.107-132 24. 玲論 25. 論 26. 6 27. 25 63-86 28. 浈論 29. DEA-CAT 論 30. - 論 31. 論 32. 羅玲論

(43) 1. Altman, E.I., "Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy," Journal of finance, September 1968, pp589-609. 2. Altman, E.I. and Robert A. Eisenbeis, Financial Applications of Discriminant Analysis: A Clarification, Journal of Financial and Quantitative Analysis,March 1978, pp.158-195. 3. Arshadi, N. and E. C. Lawrence1987, An Empirical Investigation of New Bank Perpormance Journal of Banking and Finance, Vol.11, pp. 33-48. 4. Bhattacharyya, A., C. A. K. Lovell and P. Sahay 1997, The Impact of Liberalization onthe Productive Efficiency of Indain Commericial Bank s, European Journal of Operaional Reserch, 98, pp.332-345. 5. Elyasiani, E. and S. Mehdian 1992, Productive Efficiency Performance of Minority and Nonminorityowned Banks: A Nonparametric Approach, Journal of Banking and Finance, Vol.16, pp.933-948. 6. McCall, A. S. and M. O. Peterson 1977, The Impact of De Novo Commercial Bank Entry, Journal of Finance, Dec., pp1587-1604. 7. Mishkin, Frederic S. 1995, Symposium on the Monetary Transmission Mechanism, Journal of Economic Perspectives, 9, 310. 8. Mishkin, Frederic S. The Economics of Money, Banking, and Financial Markets, 7th ed. 2004. 9. Mishkin, F. S., 1999 International experiences with different monetary policy regimes, Journal of Monetary Economics, 43, 579605

(44) KMO Bartlett Kaiser-Meyer-Olkin 切 0.67769 Bartlett 7643.358 171 0 a 1 2 3 4 5 96.61% 94.88% 14.38% 16.60% 93.92% 12.64% 12.59% 92.47% 20.54% 50.19% -42.43% 34.18% -32.17% -87.68% 13.78% 85.36% 13.85% 70.08% 10.63% 56.74% 21.60% 62.01% 41.04% 180 累 -10.19% 49.34% -11.07% 36.48% 25.49% 13.64% 91.72%

(45) 1 2 3 4 5 16.25% -14.90% 86.02% 21.34% 70.64% 21.83% 41.14% -37.62% -79.86% 25.92% 22.06% 13.62% 16.16% 69.23% -27.03% -10.11% -21.64% -56.21% -22.25% 26.51% 25.14% 19.43% 15.52% 77.00% -10.03% -15.22% -17.40% 62.30% Kaiser Varimax a 6

(46)

(47)

(48)

(21) 論 % 論 論 Mishkin1995

(21) 論 % 論論 Mishkin1995