The Determinants of Net Interest Margin and Net Non-Interest Margin: Evidence from Banking Industry in Taiwan

• Main Authors: LIN,SHU-HWA, 林淑華
• Other Authors: Wang, Shen
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/62098603663095702419

碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 105 === This thesis investigates the determinants of net interest margin and net non-interest margin of commercial banks in Taiwan. The empirical data are collected from 8 state-owned and 25 non-state-owned banks from 2000 to 2015. Because of homogeneity and high competition, the average of net interest margin of banks in Taiwan has been narrowly converged, especially that of non-state-owned banks. However, the rapid development of information technology has been widely applied in financial fields in recent years, such as retail banking, mobile payment, and wealth management business, so banks are actively engaging in those other than traditional funding function. Therefore, in addition to studying net interest margin, this thesis also studies the net non-interest margin of banks. The empirical models applied for analyzing determinants of net interest margin and of net non-interest margin are specified on the basis of CAMEL rating system and macroeconomic variables. The explanatory variables in CAMEL system include capital adequacy ratio, non-performing loans ratio, deposit loan ratio, ROE, and current ratio. Macroeconomic variables includes rediscount rate, exchange rate, CPI, unemployment rate, GDP growth rate, Industrial Production Index (IPI). The main findings of this thesis are as follows: 1. The determinants of the net interest margin and the net non-interest margin are not fully the same. The capital adequacy ratio and the deposit ratio will significantly affect the net interest margin while the capital adequacy ratio, non-performing loans ratio, the current ratio will significantly affect the net non-interest margin. Especially, the capital adequacy ratio has a negative effect onto the net interest margin, but positive effect onto net non-interest interest margin. 2. CPI, GDP growth rate and IPI are the common determinants for the net interest margin and the net non-interest margin. 3. The non-performing loan ratio and the deposit ratio of the state-owned banks have a significant positive impact on the net interest margin. However, the effect of non-performing loans ratio on the net interest margin is significantly negative for non-state-owned banks. Moreover, the effect of non-performing loan ratio on net non-interest margin is significantly negative for all banks. 4. During the financial tsunami of 2008-2009, the capital adequacy ratio showed significant positive effect onto the net interest margin, and negative effect onto net non-interest margin.