資本管制與銀行資產組合行為

• Published in: 臺大管理論叢 Vol. 5; no. 1; pp. 61 - 78
• Main Authors: 曾正權(Tseng-Chuang Tseng), 吳壽山(Sou-Shan Wu), 劉美纓(Mei-Ying Liu)
• Format: Journal Article
• Language: Chinese
• Published: 台灣 國立臺灣大學管理學院 01.02.1994
• Subjects: Capital regulation; Mean-variance approach; Opportunity set; Portfolio; Scopus; TSSCI; 均異分析; 投資機會集與投資組合; 資本管制; opportunity set; capital regulation; mean-variance approach; portfolio; 資本管制; 均異分析; 投資機會集與投資組合
• ISSN: 1018-1601
• DOI: 10.6226/NTURM1994.5.1.61

This paper investigates the impact of capital regulation on opportunity set and portfolio behavior of bank. By using mean-variance approach, we develop a model to show that capital regulation deteriorates the investment opportunity of the bank and is an ineffective method to control the probability of bank insolvency. This reason is that it ignores the different risk preference of individual bank and banks may choose asset port-folio at high risk to retard the efforts of the regulators.
本文旨在採用投資組合理論均一異分析方式探討資本管制對銀行投資機會集及資產組合行為的影響效果，研究結果顯示：資本管制將使銀行投資機會惡化，同時也無法達到降低銀行倒閉風險的管制目的。理由在於：傳統資本管制方法忽略個別銀行風險態度的差異性，銀行可藉由投資策略的調整，提高其風險性資產之持有比率，以資突破資本管制對銀行獲利空間的藩限