A Simulationof the Impact of Basel Ⅲ New Capital Requirement on the Cost Efficiency of Taiwan’s and China’s Banking

• Main Authors: Cang-Han Wang, 王蒼瀚
• Other Authors: Cheng-Ping Cheng
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/57142616991789006552

碩士 === 國立雲林科技大學 === 財務金融系 === 104 === The Subprime mortgage crisis made a terrible Financial crisis in 2008. To avoid the crisis in the future, Basel Committee on Banking Supervision have been released The Basel Ⅲ Accord between 2009 to 2011. Beside the New Capital Accord of banks' equity capital ratio, it also adds the Core equity ratio, Risk coverage, Leverage ratio, Liquidity ratio, Countercyclical capital, Excessive reliance on external credit rating agencies and other norms. It results in a considerable degree of influence on the financial industry, or even change the Bank of ecology. This paper will introduce and discuss Basel Ⅲ in the implementation of Basel Ⅲ, a Capital requirement impact of cost efficiency bank. We explore the impact of Basel Ⅲ New Capital Requirement on the efficiency of Taiwan’s and China’s banking by the stochastic cost frontier model of Battese and Coelli (1995). The first step is to estimate the bank individual stochastic frontier cost efficiency of Taiwan’s and China’s banking. Then according to the stochastic meta frontier approach (SMF) of Huang et al. (2014), we try to compare the different technology gap ratio and common cost efficiency between Taiwan’s and China’s banking. This paper took 29 Taiwan banks and 89 China banks during the 2009-2013. The empirical study found that (1) After use the Basel Ⅲ Capital Requirement in Taiwan’s and China’s banking industry, it should be subject to the provision of common stock of capital, all banks will reduce the efficiency; (2) Regarding the Basel Ⅲ measurements, the Capital Adequacy Ratio will increase Taiwan’s band efficiency but China will reduce. (3) In the Stochastic Metafrontier, we find the bank of Taiwan’s Technical Gap Ratio and Metafrontier Cost Efficiency is better than China’s, but the Chinese mainland banks have gradually improving trend which will surpass Taiwan.