Bank Credit Risk and Monetary Policy

• Main Authors: HSUEH,YU-CHIN, 薛鈺錦
• Other Authors: ZENG,LI-HONG
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/61900729755417850691

碩士 === 國立高雄應用科技大學 === 金融系金融資訊碩士班 === 104 === A procedure is estimated that Taiwan's domestic bank optimal credit risk in 2006-2014, and research the relationship between credit risk and monetary policy. Using ordinary least squares (OLS) of Panel data, plus the fixed effect of cross-section and whether plus the fixed effect of time or not to estimate optimal credit risk when bank profit maximization. Consider the problem of endogeneity, using generalized method of moments (GMM) estimate Panel data again. Based on bank must risk-taking to obtain profits, but when banks take too much risk, causing bank have loss, it assumed the relationship between credit risk and profit is non-linear. The theory think about when bank profit maximization, there exists an optimal credit risk, therefore, the relationship between credit risk and bank profit as an inverted U-shape curve. This paper using vector error correction model (VECM) to estimate long-term relationship between credit risk and monetary policy. The result of empirical indicate that the model of generalized method of moments has fixed effect of cross-section and no the fixed effect of time is better. And show that credit risk is cyclical. Realized credit risk is pro-cyclical and optimal credit risk is leading cyclical. The optimal credit risk is higher than realized credit risk in good economic periods; in contrast, realized credit risk is higher than optimal credit risk in bad economic periods. In good economic periods, contractionary monetary policy would make optimal credit risk is higher than realized credit risk, decrease realized credit risk but increase optimal credit risk. Similarly, in bad economic periods, expansionary monetary policy would make optimal credit risk is lower than realized credit risk, increase realized credit risk but decrease optimal credit risk.