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研究生： 蔡欣穎
CHUA SIN YIN
論文名稱： 世界不確定性指數對台灣銀行績效的影響
The impact of World Uncertainty Index on performance of banks in Taiwan.
指導教授： 何柏欣
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融學系
Department of Finance
論文出版年： 2023
畢業學年度： 111
語文別： 英文
論文頁數： 74
中文關鍵詞： 世界不確定性指數 、銀行績效 、資本適足 、獲利能力
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    • 本研究使用普通最小平方檢查台灣的世界不確定性指數（WUI）是否會影響銀行績效，如：資本適足、資產品質、管理績效、獲利能力、流動性以及市場風險敏感性。本研究使用的樣本是2008年至2022年的台灣的銀行資料，資料來源為中華民國央行網站和金管會網站。本研究的實證結果表明，台灣的世界不確定性指數確實會不同程度上影響銀行的各項績效。台灣的WUI對銀行的獲利績效有正向的影響。其次，世界不確定性指數也會正向影響銀行的資本適足率。資產品質方面，世界不確定性指數對銀行的不良貸款率產生了負面的影響。流動性方面，只有銀行的定期貸款率會受到世界不確定性指數的正向影響。衡量銀行的市場風險敏感度的指標中只有利率敏感度缺口率會受世界不確定性指數的正向影響。最後，世界不確定性指數對銀行的管理績效沒有任何影響。本研究的貢獻是幫助台灣分析不確定性對銀行帶來的影響以及幫助完善銀行績效方面的研究。

    This study uses the ordinary least squares to examines whether Taiwan's World Uncertainty Index (WUI) affects bank performance, such as: capital adequacy, asset quality, management, earnings, liquidity, and market risk sensitivity. This study uses Taiwan's bank data from 2008 to 2022 as a sample, The data comes from the website of the Central Bank of the Republic of China (Taiwan) and the website of the Financial Supervisory Commission. The empirical results show that Taiwan's WUI does affect the performance of banks to varying degrees. Taiwan's WUI has a positive impact on banks' capital adequacy ratio and earnings. In terms of asset quality, WUI has a negative impact on the non-performing loan ratio of banks. In terms of liquidity, only the bank's time-deposit interest rate will be affected by WUI's positive bank. Among the indicators measuring the bank's market risk sensitivity, only the interest rate sensitivity gap rate will be positively affected by WUI. Finally, WUI does not have any effect on the bank's management performance. The contribution of this study is help to analyze the impact of uncertainty on banks of Taiwan and help improve the research on bank performance.

    Contents 摘要 i ABSTRACT ii Contents iii List of Figure iv List of Tables v 1. Introduction 1 2. Literature review 6 2.1 World uncertainty index (WUI) 6 2.2 The determinants of bank performance 7 2.3 Hypothesis development 10 3. Data and regression models 14 3.1. Data 14 3.2 Variable measurement 14 3.2.1 Main explanatory variable 14 3.2.2 Dependent variables 15 3.2.3 Control variables 20 3.3 Regression model 22 4. Empirical results 27 4.1 Summary statistics 27 4.2 Regression analyses 27 4.3 Robustness checks 32 5. Conclusion 35 Appendix 1 Variable definitions 37 References 38

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