系統風險對金控法通過前後之銀行業成本與效率影響──隨機成本邊界法

The Effects of Systematic Risk on Bank’s Cost and Efficiency Before and After the Promulgation of FHC Act－Stochastic Cost Frontier Approach

本文旨在利用民國85-92年間曾上市或上櫃之34家本國銀行為研究對象，衡量金融控股公司法通過前後，台灣銀行業之系統風險變動情形，並檢測系統風險對銀行成本與效率之影響。在實證上，我們採用兩因子分析法，衡量金控法通過前後各銀行之系統風險值；再利用隨機性成本邊界函數法，估計系統風險變動對銀行之成本與效率之影響程度。研究結果發現：金控法通過後加入金控之銀行，其金控跨業經營模式有助於降低其資產報酬風險，而風險之下降又以系統風險為主。此外，加入金控銀行所導致系統風險管控正面效果，在加入之短期內即已顯現。

This paper estimates the variation of bank’s systematic risks before and after the promulgation of Financial Holding Company (FHC) Act and examines the impacts of such variations on the cost and efficiency of bank’s operation. Empirically, we adopt a two-factor model based on financial theory to measure the systematic risks of the sample bank, and then apply the stochastic cost frontier function approach with considering the systematic risk to estimate such risk impacts. We use the sample data for 34 domestic banks during 1996-2003. The results show that, after the promulgation of FHC Act, the FHC affiliated banks would have lower systematic, nonsystematic and total risks, which indicate that the multi-business pattern of FHC may be beneficial to reduce the risks of asset returns. Such risk reduction could be mainly resulted from the systematic risk. The results also show that, the FHC affiliated banks have lowered their systematic risk and also the associated cost after their affiliation with FHC.