The Relationships among Capital Adequacy, Interest Rate Sensitivity, and Management Efficiency in Bank

• Main Authors: Ching-Yun Lu, 盧靖勻
• Other Authors: Andy Chein
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/12353738323085244869

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.