台湾银行业公司治理机制与风险承担行为之关系.pdf

風險管理學報 第五卷 第三期 2003 年 11 月 Journal of Risk Management Vol.5 No.3 Nov. 2003 pp.363-391 台灣銀行業公司治理機制與風險承擔行為之關係∗ The Relationship Between Corporate Governance And Risk-Taking Behavior in Taiwanese Banking Industry ** 陳曉蓉 ( Hsiao-Jung Chen) 摘要 本文主要是探討 1996 年至2001 年台灣銀行業衰退期間，影響銀行風險承擔 之因素，並調查在「部分綜合銀行體系」下，公司治理機制對於銀行信用風險承 擔行為之影響。本文應用Panel Data 門檻迴歸模型，以「淨非利息收入佔營業收 入之比率」為門檻變數，證明台灣銀行業具備「部份綜合銀行體系」的特性，且 公司治理機制對於銀行的信用風險與整體風險有顯著影響，特別是以傳統存放款 業務為重的美式銀行，其經理人持股比率與銀行信用風險間成一倒U 型關係，符 合「公司控制」假說；而在綜合銀行業務為主的德式銀行中，經理人持股比率與 銀行信用風險間卻成一U 型關係，支持「道德危險」假說。 關鍵字：公司治理、道德危險、部份綜合銀行體系、Panel Data 門檻迴歸模型。 Abstract This study explores the determinants of bank risk-taking for 1996 to 2001 and investigates the relationship between corporate governance and bank credit risk taking behavior in a partial universal banking system, taking Taiwan as our example. This paper employs the recently developed method of the panel data threshold regression method to estimate the determinant function of the bank risk-taking model. It is found that the corporate governance plays an important role in explaining the recent behavior of the banking industry. We show that the relation between managerial ownership and credit risk taking behavior is inverse U-shape in the commercial banking system, consistent with the corporate control hypothesis, unlike the relation is U-shape in the universal banking system, supports moral-hazard hypothesis. Keywords: Corporate Governance, Moral Hazard, Partial Universal Banking System, Panel Data Threshold Model. 　 ∗ 作者十分感謝兩位匿名評審所提供的寶貴意見，文章中所有