| Summary: | 碩士 === 國立中正大學 === 國際經濟研究所 === 99 === This paper applies a VAR Model methodology to stress test local banks in Taiwan. First, it estimates the macroeconomic variables changes between the U.S. and Taiwan. Then it estimates the changes in the risk factors on each bank’s capital. The impulse response functions also suggest that First Bank , Hua Nan Bank, Fubon Bank ,Cathay Bank ,Yuanta Bank, Bank SinoPac, Taiwan Cooperative Bank and Land Bank are sensitive to the impulse of the macroeconomic variables. After the stress test with the macroeconomic scenarios in the U.S., the results show that the capital adequacy ratios of these banks are above the standard ratio.
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