| Summary: | 碩士 === 國立高雄第一科技大學 === 金融營運所 === 94 === Abstract
The study aims to understand the causal relationships among capital
adequacy, interest rate sensitivity, and management efficiency in banking
industry. Based on the concept of intermediation approach, we treated banks as
the intermediate institution of financial service.
First, we utilized the BCC model, one of the DEA (data envelopment
analysis), to evaluate the management efficiency in bank by taking interest
expense, fixed assets, numbers of employees as input variables, and interest
income, other interest income as output variables. Then, by applying
Granger-causality, we analyze the causal relationships among capital adequacy,
interest rate sensitivity, and management efficiency for 29 domestic banks from
1996 to 2004.
The main study findings are concluded as follows: 1. The relationships
between management efficiency and capital adequacy are negative. In order to
maximize shareholder value and to meet the legal provision, managers will
engage in investing other risky asset and not pursue to raise the capital
adequacy. Therefore, it would make the capital adequacy decline. 2. The
interest rate sensitivity had significant negative effect on capital adequacy.
Higher interest rate sensitivity implied higher risk for banks, so it will lower the capital adequacy.
|
|---|
