農會信用部擠兌與經營狀態之探討──比例危機模型之應用

Examining the Relationship of Bank Runs and Operating Effectiveness for Credit Department of Farmers’ Institutions ─ An Application of Proportional Hazard Models

近年來農會信用部因淨值為負而遭銀行承受接管的事件時有所聞，但早在1995 年彰化第四信用合作社爆發擠兌事件後，在後續的一年內曾發生二十六次的農會信用部擠兌，為探討農會信用部經營體質的脆弱性以古鑑今，本文重新檢視農會信用部擠兌與其經營狀態之間的關係。由於農會信用部擠兌風波是一連串的擠兌事件集合而成，發生的時點各不相同，為凸顯此一特點，本文採用期間模型進行實證研究。由實證結果得知「融通資金比率」、「逾放比率」越高，「流動性比率」越低，將造成農會信用部發生擠兌的危險率越高，因此就避免農會信用部再度爆發擠兌風潮的預警角度觀之，「融通資金比率」、「逾放比率」以及「流動性比率」是金融監理單位必須嚴格審視的指標。此外，實證結果顯示農會信用部參加存款保險有助於降低擠兌發生的危險率。就這一點而言，我們的實證結果支持目前的強制存款保險制度。

Several credit departments of farmers’ institutions were taken overby banks in the recent years due to their negative net worth. Thisunpleasant outcome seemed to be preceded by twenty-six runs of creditdepartments of farmers’ institutions in the years of 1995 and 1996triggered by a bank run of The Fourth Credit Cooperative of Chang-Hwa.This paper thus examines the relationship between bank runs andoperating effectiveness for the credit department of farmers’ institutions.The empirical work adopts a duration model to study the feature thateach bank run occurred successively at different point of time. Theresults show that both the ratio of borrowing capital to total capital andthe overdue ratio are positively correlated with the hazard rate to run,while the liquidity ratio is negatively correlated with the hazard rate to run.Our results reveal the relative importance of these three financialindicators to the others, and thus these three indicators should bewatched out closely. In addition, our finding supports the main functionof deposit insurance in preventing or deferring bank runs. This providesone support to the current involuntary deposit insurance system.