More loans more risk-taking? The case of the U S banks

論文翻譯標題: 貸款越多銀行承受風險越高?以美國銀行為例
  • 蔡 采吟

學生論文: Master's Thesis


The paper uses the commercial banks in the U S that joined the Federal Deposit Insurance Corporation (FDIC) as the samples during the 1984Q1-2015Q3 The structure of the thesis involves the use of time series data and a multiple regression is built to assess a time series model and analyze whether macroeconomic conditions can contribute significantly to the level of non-performing loans to total loans in the U S banking system Further we want to explore whether the non-performing loans fluctuate in accordance with the macroeconomic condition along with in boom or in recession Finally we examine whether the non-performing loans have an indirect influence on banks’ asset quality and to check whether lending decisions of U S banks exhibit moral hazard Our results show that the non-performing loans actually fluctuate associated with business cycle When the economy is in bust the ratio of the non-performing loans raises up Through the time series model it can be proved that there are significantly positive correlation between non-performing loans and the ratio of risk weighted assets It represents the non-performing loans affect the asset quality indirectly Moreover we can find the non-performing loans versus risk weighted assets risk weighted assets versus banks’ loans and the banks’ loans versus non-performing loans have significant Granger-cause relations The phenomenon explains that a bank’ managers have an incentive to lend more loans when the bank’s risk enhances The result of the thesis is consistent with the moral hazard hypothesis
獎項日期2016 6月 27
監督員Tse-Shih Wang (Supervisor)