The Impacts of Capital Adequacy Requirement on Aggregate Credit Market of the Banking Industry in Taiwan

• Main Authors: Yen-chung Lai, 賴彥仲
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/76429481772341273872

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 92 === All banks of the major industrialized countries have currently used BASEL framework for evaluating their capital adequacy. It is believed that the capital adequacy requirement(CAR) could change the allocation of bank asset portfolio in order to lower credit risk of the portfolio. For example, banks may increasingly hold government loan with lower credit risk and decreasingly hold small and medium corporate loan with higher credit risk in order to increase the CAR value. This may cause a credit crunch effect due to the shortage of corporate loan . The main purpose of this paper is to examine whether the credit crunch effect appears in the banking industry of Taiwan when the CAR is executed there during the period 1993 to 2002. The panel data model is used. Except BIS, monetary policy and bank ownership structure are also considered in the model. Empirical results find that : (1) Generally, the CAR surely cause the domestic banks’ credit crunch. (2) During the period of tight monetary policy, the credit crunch effect is more significant. Even during the period of easen monetary policy, the credit crunch effect also exist, resulting from higher non-performance loan due to economic depression. (3) Compared to the banks with BIS higher than 8%, the banks with BIS lower than 8% have more significant credit crunch effect. (4) Compared to banks with ownership of government, banks without ownership of government have more significant credit crunch effect.