| Summary: | 碩士 === 國立臺北大學 === 國際財務金融碩士在職專班 === 99 === This study aims to explore the non-linear relationship between capital adequacy ratio (hereinafter referred to as the “CAR”) and bank’s performance and loan-loss provision. This study adopts the empirical model of Gonza'lez, Teräsvirta and Dijk（2004, 2005） to verify whether the panel smooth transition effect exists in the above-mentioned variables by using a full quarterly data set from 26 banks in Taiwan, through 2007Q4 to 2010Q3.
The study has conclusions as follows:
The panel smooth transition effect indeed exists between the CAR and the bank’s loan-loss provision. The transition regimes provides a smooth transition process around the threshold where the value of CAR is 10.0046% and the transition speed is 2.2978.
Nevertheless, the panel smooth transition regression model results in a structural variance when applying for the effect between the CAR and the bank’s performance. The model is transformed into a leap model around the threshold where the value of CAR is 12.2871% and the transition speed is soaring as high as 1.5343e+003.
Moreover, when introducing other control variables into the model, considering the impact on bank’s performance and loan-loss provision, it suggests that the higher the total asset scale is, the higher the loan-loss provision is, but impair the performance of banks with higher CAR. The higher the ratio of liquidity reserves is, the higher the loan-loss provision and performance are, but not significantly influence the performance of banks with higher CAR. However, the ratio of NPL negatively influences both banks’ performance and loan-loss provision with no differences among banks.
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