| Summary: | 碩士 === 逢甲大學 === 財務金融學所 === 93 === Abstract
In July 1989, the risk based capital regulation came in force in Taiwan. This regulation required banks to keep a certain minimum percentage of their total risk weighted assets to the capital. In order to meet the regulation, banks often allocate their assets by substituting assets with low risk weights for assets with high risk weights or increase their capital adequacy ratio by equity offering. No matter how banks made response to the regulation, we expect that implementation of the regulation will change the asset structure of the bank.
This study examines the time-series behavior of bank asset variables while considering a trend specification with structure break model that coincides with the implementation of the risk based capital regulation. Further, this study also examines variables are stationary fluctuations or not? Will the structure break exert a permanent effect or not? And how the risk based capital regulation influences the change of bank investment portfolio?
Our empirical results find most aggregate bank variables are nonstationary, this suggest that the risk based capital regulation can not structurally alter the level and trend of bank asset. Similar to aggregate variables, more than 90％ of individual banks’ asset variables are nonstationary processes. Thus, the banking system may be potentially influenced by a whole range of possible shocks and the risk based capital regulation was not an event of such importance to structurally alter bank portfolio composition.
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