台灣銀行業的淨利息邊際決定因素

Determinants of Net Interest Margins in Taiwan Banking Industry

10.6545/JoFS.2001.9(1).3

沈中華(Chung-Hua Shen)；郭照榮(Chau-Jung Kuo)；陳曉蓉(Hsiao-Jung Chen)

淨利息邊際 ； 部份綜合銀行體系 ； Panel Data門檻迴歸型 ； Net interest margins ； Partial universal banking system ； Panel data threshold model

中國財務學刊

9卷1期（2001 / 04 / 30）

47 - 83

繁體中文

過去有關「淨利息邊際」之討論均假設一國之所有銀行同屬於相同的銀行體系，然而有可能出現一國同時存在兩種或兩種以上的銀行體系，例如：臺灣，我們稱這體制為「部份綜合銀行體系」。本文乃是應用Panel Dat門檻迴歸模型（Panel Threshold Model），以「淨非利息收入佔營業收入之比率」為門檻變數，證明臺灣的銀行業的確具備「部份綜合銀行體系」之特性，也就是可區分為業務偏向「美式專業區隔銀行」與「德式綜合銀行」兩大類，且每年各類之個數均不同。此外，在淨利息邊際之決定因素上，兩組也存有部份差異，其中以傳統存放款業務為重的「美式銀行」，其淨利息邊際受到信用風險、利率風險、槓桿程度與管理能力的影響頗深；然而以綜合銀行業務為主的「德式銀行」，其淨利息邊際卻只對信用風險與槓桿程度敏感。

Classical models of the net interest margins assume that all banks belong to the identical banking system in a country. However, two or more kinds of banking systems maybe exist simultaneously in one country such as Taiwan. We name this as Partial Universal Banking System. By taking the ratio of net non-interest income to total operating income as a threshold variable, we prove that the banking in Taiwan is indeed characteristic of partial universal banking system; that is, it can be divided into two classes: one is inclined to Separated Banking System, and the other tends to Universal Banking System. We also display the process of dynamic transformation in Taiwan banking industry from 1993 to 1999. Finally, we find that the net interest margins in separated banking system are affected by credit risk, interest rate risk, the degree of leverage and management quality, whereas the net interest margins of universal banking system are sensitive to credit risk and the degree of leverage.

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