| Summary: | 博士 === 國立臺北大學 === 企業管理學系 === 88 === The effects of the capital ratio policy still remain controversial. While the
State Preference Model ( SPM) and the Option Pricing Model (OPM) hold a positive
attitude toward this policy,the Mean-Variance Analysis(M-V)questions may increase the risks of banks. The present research is conducted to:1) identify the relationship between the capital ratio and capital decision in domestic commercial banks before and after their establishment;2)investigate a bank CEO''s expense preference behavior, risk management quality, and selection of asset portfolios in the face of capital ratio policy.
Based on the data collected from forty-one banks during the period between 1991 and 1999, the present study presumes a significant difference between capital ratio and capital decision before and after the opening of a bank to identify the effects of capital ratio policy. Risky -base personal capital (風險性自有資本) and the sum of the Tier 1 capital in risky assets (風險性資產) are the agent variables(代理變數) of capital adequacy ratio assessment. Then through the three-stage least square(3SLS), the portfolios of high risky investment and off-Balance assets, the percentage of poor debts and the annul growth rates of loaning and capital involved in the capital decision are analyzed to investigate the relationship between the standard of capital ratio and privatization before and after a bank''s establishment.
The findings of this study include:1) Fewer banks adopted the high risky portfolio after the announcement of the risk-base capital ratio(RBCR) policy in 1993. Capital ratio did decrease the bank''s default risks; 2) Data of the percentage of the Tier 1 capital in risky assets should be more detailed than that of Risky -base personal capital in risky assets(風險性資自有資本);3)In accordance with Risk Aversion Hypothesis, the guarantee and the investment growth rates in public banks should be lower than those in private ones. Besides, public banks invest more liquid assets, such as bonds, faced lower risks of asset portfolio. The growth of high risky assets, such as loaning in public banks slows down dramatically;4) The higher risky asset portfolios of the commercial banks with capital ratio above 8% , the more guarantee growth rates would they obtain. On the other hand, private commercial banks with capital ratio above 8% are more likely to take the high risky asset portfolio.
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