影響臺灣銀行業逾放比之因素探討

The Investigation on the Factors Affecting the Non-Performing Loans Ratio of the Banking Industry in Taiwan

本研究主要探討2013年1月至2022年6月間，影響臺灣六家非金控銀行月逾放比之四項因素（存放比、備抵呆帳覆蓋率、總資產及存放款利差）及季逾放比之兩項因素（資本適足率及關係人放款比率）。經以Toda and Yamamoto (1995)VAR模型加以實證，獲得以下的結論：
六家銀行中，月逾放比以京城銀最低，而安泰銀最高，季資本適足率以京城銀最高，而高雄銀則最低。而影響月逾放比之因素方面，京城銀只有存放比及備抵呆帳覆蓋率對逾放比有顯著的負向影響，而安泰銀只有備抵呆帳覆蓋率對逾放比有顯著的負向影響，至於其餘四家銀行，四項因素皆無顯著影響月逾放比。
在影響季逾放比之因素方面，只有京城銀及高雄銀之資本適足率對逾放比有顯著的負向影響，而台中銀只有關係人放款比率對逾放比有顯著的負向影響，其餘四家銀行資本適足率及關係人放款比率皆無顯著影響逾放比。
綜合以上，顯著影響月及季逾放比之因素為存放比、備抵呆帳覆蓋率、資本適足率及關係人放款比率。京城銀有最低的逾放比及最高的資本適足率，其存放比、備抵呆帳覆蓋率及資本適足率對逾放比有顯著的負向影響，亦即京城銀當期前述三項因素提高時，則後一期之逾放比將降低，因此京城銀堪稱非金控銀行之模範。

This study mainly discusses the four factors (loan-to-deposit ratio, loan loss coverage ratio, total assets, and interest rate spread) affecting the monthly non-performing loans ratio and the two factors (bank of international settlement ratio and stakeholders’loans) affecting the quarterly non-performing loans ratio of six new banks in Taiwan from January 2013 to June 2022. Through the Toda and Yamamoto (1995) VAR model, we obtained the following conclusions:
The King’s Town Bank had the lowest monthly non-performing loans ratio among the six banks. In contrast, the Entie Commercial Bank had the highest, and the King’s Town Bank had the highest quarterly bank of international settlement ratio, while the Bank of Kaohsiung had the lowest. Regarding factors affecting the monthly non-performing loans ratio, only the loan-to-deposit ratio and loan loss coverage ratio of King’s Town Bank significantly negatively impacted the non-performing loan ratio. In contrast, only the loan loss coverage ratio of Entie Commercial Bank had a significant adverse effect on the non-performing loans ratio. As for the other four banks, none of the four factors significantly impacted the monthly non-performing loans ratio.
Regarding factors affecting the quarterly non-performing loans ratio, only the bank of international settlement ratios of the King’s Town Bank and Bank of Kaohsiung significantly negatively impacted the non-performing loans ratio. In contrast, Taichung Commercial Bank only significantly negatively impacted the non-performing loans ratio by the stakeholders’loans. The bank of international settlement ratio and stakeholders’loans of the remaining four banks had no significant impact on the non-performing loans ratio.
Based on the above, the factors significantly affecting the monthly and quarterly nonperforming loans ratios were the loan-to-deposit ratio, loan loss coverage ratio, bank of international settlement ratio, and stakeholders’loans. The King’s Town Bank had the lowest non-performing loans ratio and the highest bank of international settlement ratio. The loan-todeposit ratio, loan loss coverage ratio, and bank of international settlement ratio of the King’s Town Bank significantly negatively impacted the non-performing loans ratio. That is to say, when the above three factors of the King’s Town Bank increased in the current period, the nonperforming loans ratio of the next period would decrease, so the King’s Town Bank could be regarded as a model for non-financial holding banks.