巴塞爾銀行監理委員會(BCBS)於2010年提出巴塞爾協議Ⅲ，加入淨穩定資金比率(NSFR)之新規範以控管銀行在較長期間下的融資壓力，而我國中央銀行與金融監督管理委員會亦將於2018年1月1日導入該項措施。本研究採用駱駝信用評級指標系統，透過聯立方程式模型，初步探討淨穩定資金比率對本國商業銀行資本充足性、資產品質、經營管理水平與獲利能力的潛在影響，並且加入其他可能影響銀行營運的解釋變數做較為全面性的分析。實證結果發現，較高的淨穩定資金比率雖然能夠降低銀行的流動性風險，但同時會造成銀行資本充足性降低、資產品質下降、經營效率與獲利能力減低，使得其他層面的風險提高。另一方面，逾期放款比率較高會對銀行多個層面造成負向影響，而規模與領先指標綜合指數較高所帶來的影響則是正向的。最後，對於淨穩定資金比率的規範可能帶來的負面影響，本研究建議政府部門可以藉由落實資本適足率的相關規範、提高放款審核標準、調整淨穩定資金比率的最低門檻以及針對個別銀行的營業特性調整淨穩定資金比率計算時的項目權重，以提升導入該規範的效益。

The Basel Committee on Banking Supervision(BCBS) proposed Basel Ⅲ in 2010, adding a new standard of Net Stable Funding ratio(NSFR) to reduce funding risk over a longer time horizon. The central bank and the financial supervisory commission of Taiwan will also implement the measure by 1 January 2018. Based on the CAMEL Rating System, this study not only explores the potential impact of the NSFR on the capital adequacy, asset quality, management and earnings of commercial banks in Taiwan but also takes other factors that may affect the operation of banks into consideration to do a more comprehensive analysis by simultaneous equations model consisting of four empirical equations. The results show that the higher NSFR, the lower capital adequacy, asset quality, managerial efficiency and earnings. Although the NSFR can reduce long-term liquidity risk, it will raise the risk of other levels of banks at the same time. Besides, higher impaired loans to gross loans ratio will have negative impacts on bank’s capital adequacy, asset quality and earnings while both of larger size and higher leading index will have positive impacts on managerial efficiency and earnings. Finally, for the possible negative impacts of the NSFR, I recommend Taiwan’s financial authorities the following steps: (i) monitor the minimum capital requirements strictly, (ii) improve approval standards of loans, (iii) adjust the minimum requirement of the NSFR, and (iv) adjust the weight which are assigned to factors of the NSFR based on the characteristic of the relative stability of the individual bank’s funding sources.

目　次
論文審定書……………………………………………………………………………i
誌　謝…………………………………………………………………………………ii
摘　要…………………………………………………………………………………iii
Abstract………………………………………………………………………………iv
目　次…………………………………………………………………………………v
圖　次…………………………………………………………………………………vi
表　次…………………………………………………………………………………vii
第一章 緒論……………………………………………………………………… 1
第一節 研究動機……………………………………………………………… 1
第二節 研究目的……………………………………………………………… 2
第三節 研究架構……………………………………………………………… 3
第二章 文獻探討………………………………………………………………… 4
第三章 研究方法與實證模型…………………………………………………… 8
第一節 變數說明與資料來源………………………………………………… 8
第二節 實證模型設定…………………………………………………………14
第三節 估計方法………………………………………………………………18
第四章 實證結果與分析…………………………………………………………20
第一節 敘述統計………………………………………………………………20
第二節 實證結果………………………………………………………………38
第三節 比較靜態分析…………………………………………………………42
第四節 延伸探討–存款之資金來源穩定性…………………………………47
第五章 結論與建議………………………………………………………………51
第一節 研究結論………………………………………………………………51
第二節 研究建議………………………………………………………………52
參考文獻 ……………………………………………………………………………54

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