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朝陽科技大學

財務金融系

碩士論文

利率波動對本國銀行獲利能力之影響

The Effect of Interest Rate Fluctuations on

Profitability of Domestic Banks

(初稿)

指導教授：林益倍 博士

研 究 生 ： 涂兆信

中華民國九十一年六月十五日

中文摘要

本文旨在探討市場利率之波動對本國銀行利息收入、利息支出及

淨利息收益的長、短期影響。本文以 39 家本國銀行為研究樣本，研

究期間從民國 84 年 7 月至 90 年 12 月，採用各銀行的資產負債表及

損益表等季財務報表資料。

本文根據 Flannery 的部份調整模型，分別以利息收入及利息支出

代替營業收入及營業支出，利用 Zellner 的近似無相關迴歸做分析，

由迴歸係數的 P 值來觀察變數間的相互關係是否具有顯著性，以探討

利率波動對銀行利息收入、利息支出及淨利息收益的影響。

實證結果顯示：

1. 無論是全體銀行，或是公民營銀行、新舊銀行及不同資產規模的

銀行，其資產負債結構均傾向「借長貸短」

。

2. 市場利率波動對銀行短期獲利的影響，除中資產規模銀行外，對

全體銀行及其他分類銀行均降低其獲利能力;而長期獲利能力則均

全部降低。

3. 市場利率對全體銀行及各分類銀行的利息收入及利息支出有顯著

影響，但對淨利息收益影響不顯著。

4. 新資產的增加，對全體銀行及各分類銀行的淨利息收益皆有正向

效果。

I

英文摘要

The main purpose of this study is to discuss with the effects of interest rate fluctuations on short-term and long-term profitability of demestic

banks.

Empirical target of this study is thirty-nine domestic banks.Due to the

constraint of data sources, study period from July 1995 to December 2001,

with their seasonal balance sheets and income statements. The partial

adjustment model, developed by Mark J. Flannery, was employed to

analyze the impacts of interest rate fluctuations. 90-180 day CP serves as

proxy of market interest rate in this study.

The empirical study shows the following results:

1. The sample banks, all banks, public banks, private banks, new banks,

old banks, and different asset size banks being examined tend to borrow

long and lend short.

2. Interest rate fluctuations have decreased short-term profitability of

domestic banks instead middle-size banks. And Interest rate fluctuations have decreased long-term profitability of domestic banks.

3. Interest rates have strong Influence on interest revenue and cost of

domestic banks, but have little influence on net interest revenue.

4. The new assets increased have positive effect with net interest revenue

of domestic banks, but have no statistically significant.

II

誌謝

此篇論文得以順利的完成，首先要感謝的是恩師林益倍博士，從...