The effect of the Basel Accord on bank portfolios in Taiwan

• Main Authors: Chiung-Yun Chang, 張瓊云
• Other Authors: Li-Hom Tsung
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/18595404149617069770

碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 95 === This study investigates the hypothesis that the capital adequacy requirements introduced under the Basel Accord causes Taiwanese banks to alter their portfolios away from heavily weighted risk assets such as loans and corporate bonds and into unweighted assets such as government bonds. Using a panel data set of 24 Taiwanese listed banks from the third quarter of 1997 to the third quarter of 2006, this study finds that bank asset portfolios are affected by the capital ratio. The evidences indicate that, in order to adhere to the capital adequacy requirements, the relatively poorly capitalized banks tend to cut back their bank loans significantly. They also incline to issue more subordinated debt, to compensating for their low tier Ⅰ capital by increasing tier Ⅱ capital. However, this phenomenon is not statistically significant.