臺灣銀行業資本及風險之關係：利用分量迴歸分析

The Relationship between Capital and Risk in Taiwan Banking Industry: Quantile Regression Analysis

本文以二階段最小平方法（2SLS）與二階段分量迴歸法（2SQR）分析台灣銀行業風險與資本間的關係。2SLS 的實證結果發現，平均而言，銀行資本水準對目標風險水準決定無顯著影響，銀行風險水準正向影響目標資本水準。但是2SQR 結果更深入發現，無論是中度與高度風險銀行或是中度與高度資本的銀行，其風險與資本均呈正相關，但是低度資本的銀行，風險上升並不會同步造成資本上升，換言之，低資本銀行的投資動機與其它同業有明顯的差異。其次，本文也將銀行依2SQR 結果分為9 類，發現各類銀行決定目標資本與風險水準的動機不盡相同，特別是低資本但高風險的公司，監理的壓力成為唯一的監督力量。

Prior literature examines the relationship between capital and risk of banking industry by using two-stage least squared regression (2SLS) and generates mixed results. However, we argue that 2SLS fails to capture the incentive effect that undercapitalized banks may have. Therefore, this study employs both 2SLS and two-stage quantile regression methods to analyze the relationship between banks’ capital and risk in Taiwan. The results of 2SLS suggest that the level of capital, on average, does not affect the level of target risk, and higher risk leads to higher capital. However, the results of 2SQR suggest that there exists a positive relationship between risk and capital for banks with medium and high level of risk and for banks with medium and high level of capital. Further, no significant relationship is found between risk and capital for low capitalized banks, suggesting that higher risk for low capitalized banks will not lead to higher capital and thus, the investment incentives for these banks differ from their peers.