探討我國銀行業淨利差、非利息收入占比與獲利穩定性之關係

EXPLORING THE NEXUS BETWEEN NET INTEREST MARGINS, NON-INTEREST INCOMEAND PROFIT STABILITY: A CASE OF TAIWAN'S COMMERCIAL BANKS

以往討論銀行非傳統業務－非利息收入占比（NonII），對傳統業務獲利表現－淨利差（NIM）－之影響的文獻，大多使用單一迴歸方程式，直到Nguyen（2012）使用兩條聯立迴歸式探討NIM與NonII的交互影響關係，唯仍忽略非傳統業務對銀行風險的影響。本研究建立三條聯立迴歸方程式，探討2001－2014年間台灣47家商業銀行NIM、NonII以及整體營運風險（Z-score）三者間之關係。實證結果發現我國銀行的NonII對Z-score之影響，較符合道德風險假說，即NonII的增加導致銀行獲利較不穩定，並進而使得銀行需要較高的NIM。更值得注意的是，Z-score低的銀行有相對較高NonII，意味著不穩定的銀行越可能從事資產負債表外業務，因此建議我國金融監管單位與銀行經理人員，需要審慎評估銀行資產負債表外活動帶來的風險。 Many previous works apply a single equation model to examine the effect of banks' non-interest income ratio (NonII) on net interest margins (NIM). Nguyen (2012) utilizes the two-equation simultaneous model of NIM and NonII to deal with the problem of endogenous regressors. This paper further expands to a three-equation simultaneous model, allowing for exploring the nexus among NIM, NonII, and profit stability (measured by the Z-score) for Taiwan's 47 commercial banks spanning the period 2001-2014. The empirical results show that banks with higher NonII have less profit stability, which corresponds to the ＂moral hazard＂ hypothesis. Banks with lower profit stability (Z-score) not only need higher NIM, but also require involvement in more off-balance-sheet activities to earn higher non-interest income. We suggest that bank regulators and banks' managers should focus more on the risk derived from off-balance-sheet activities.