Bank's Use of Credit Derivatives and Earnings Management of Borrower

銀行信用衍生性商品交易與公司盈餘管理關係之分析

邱琦倫(Chyi-Lun Chiou)

信用衍生性商品 ； 盈餘管理 ； Credit derivatives ； earnings management

輔仁管理評論

22卷2期（2015 / 05 / 01）

41 - 64

英文

文獻主張銀行涉入可提升借款者公司治理的品質。依據文獻觀點，本研究探討銀行在衍生性商品交易是否會改變銀行的治理地位。在金融市場信用衍生性商品提供給所有投資人（包含銀行）避險與套利的機會。考量信用衍生性商品風險分擔的功能，投資人質疑銀行在放款中所創造的特殊性是否因為衍生性商品交易而發生變化。本研究以台灣銀行在2007－2011年對公司放款為樣本進行分析，研究發現銀行在信用衍生性商品的交易與公司盈餘管理之間的關係並不明確。兩者之攸關性受到放款規模與銀行進行衍生性商品交易的目的主導。研究發現當放款金額愈高時持有非交易性目的的信用衍生性商品可以降低借款公司盈餘管理程度。然而，以交易為名目的信用衍生性商品操作對於管理者操弄並無顯著影響。本研究主張非交易性目的的信用衍生性商品被銀行視為其他避險工具的互補品。

This study conducts the corporate governance role of bank by detecting the impact of bank's use of cred t derivatives on borrower's earnings management behavior. In financial markets all investors, including banks, benefit from the hedge and speculation functions offered by credit derivatives. Referring to the risk sharing property of credit derivatives, the specialness of bank in lending activity is challenged. This study conducts whether the use of credit derivatives of lending banks reduces their engagement in supervision by examining the change in earnings management of borrowers in lending process. Using a micro data set of private bank loans in Taiwan, this study finds weak evidences up porting there lation between bank's use of credit derivatives and borrower's earnings management. The imp act of credit derivatives on earnings management is governed by the size of lending and bank's intention in joining credit derivatives transactions. The evidence shows that the holding of credit derivatives for non-trading purpose brings in lower earnings management for large loan size, but credit derivatives named for trading purpose has no impact on managerial discretions. In brief, credit derivatives called for non-trading purpose appear to be the complement to other hedge devices used by bank.

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