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| 題 名 | 本國銀行風險承擔之同儕效果--動態空間計量模型之應用=The Peer Effect in Bank Risk-Taking in Taiwan: Evidence from Dynamic Spatial Autoregressive Model |
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| 作 者 | 郭柏昇; | 書刊名 | 經濟研究. 臺北大學經濟學系 |
| 卷 期 | 62:1 2026.01[民115.01] |
| 頁 次 | 頁81-129 |
| 分類號 | 562.19 |
| 關鍵詞 | 銀行風險承擔; 同儕效果; 動態空間計量; 系統風險; Bank risk-taking; Peer effect; Dynamic spatial models; Systemic risk; |
| 語 文 | 中文(Chinese) |
| 中文摘要 | 本研究探討本國銀行風險承擔決策是否受同儕銀行所影響,估計銀行風險承擔之同儕效果。為捕捉同儕銀行之間的相依關係,本研究利用Fama and French(2015)五因子資本資產定價模型(capital asset pricing model, CAPM)與Diebold and Yilmaz(2014)網路拓樸分析,建構同儕相依矩陣,並以動態空間自我迴歸(dynamic spatial autoregressive, DSAR)模型進行實證分析。樣本銀行包含本國6家泛公股銀行及15家民營銀行,合計21家上市銀行,樣本期間則為2009年至2024年。實證結果顯示,全樣本期間內銀行風險承擔變化存在正向的同儕效果,表示銀行進行風險承擔決策時會觀察其他銀行的行為,並做出與同儕銀行相同的決策;惟動態效果為負向,表示銀行風險承擔的增幅並不會隨時間而持續上升,其可能為來自金融監理機關或股東的壓力所致。此外,新冠肺炎(COVID-19)疫情後之樣本期間同儕效果轉變為負向,顯示面對未來不確定性高的經濟金融環境,銀行傾向於採取與同儕銀行不同的風險承擔決策。 |
| 英文摘要 | This research investigates whether peer institutions influence the risk-taking decisions of domestic banks in Taiwan via estimating the peer effect in bank risk-taking. To capture interdependencies among peer banks, it constructs a peer-dependence matrix using the Fama and French (2015) five-factor capital asset pricing model (CAPM) combined with the network topology analysis of Diebold and Yilmaz (2014) and conducts empirical analysis employing a dynamic spatial autoregressive (DSAR) model. The sample comprises 21 publicly-listed banks, including six government-controlled banks and 15 privately-owned banks, covering the period from 2009 to 2024. The results indicate the presence of a positive peer effect in bank risk-taking throughout the sample period, suggesting that banks tend to observe the behavior of their peers and align their risk-taking decisions accordingly. However, the dynamic effect is negative, implying that increases in bank risk-taking do not persist over time, potentially due to pressure from financial regulators or shareholders. Like in the period following the outbreak of the COVID-19 pandemic, when the economic and financial environment becomes increasingly uncertain, the peer effect turns negative, indicating that banks are more likely to adopt risk-taking strategies that diverge from those of their peers. |
本系統中英文摘要資訊取自各篇刊載內容。