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研究生： 蔣景畯
CHIANG, CHING-CHUN
論文名稱： 貨幣政策與銀行獲利能力：銀行導向與市場導向金融體系之比較
Monetary Policy and Bank Profitability: Bank-Based vs. Market-Based Financial Systems
指導教授： 林常青
Lin, Chang-Ching
學位類別： 碩士
Master
系所名稱： 社會科學院 - 經濟學系
Department of Economics
論文出版年： 2026
畢業學年度： 114
語文別： 英文
論文頁數： 68
中文關鍵詞： 銀行淨利差 、資產報酬率 、政策利率 、銀行型與市場型金融體系 、景氣循環
外文關鍵詞： Bank net interest margins, return on assets, policy interest rates, bank-based and market-based financial systems, business cycles
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    • 本研究使用《TheBanker》全球一千大銀行排名中的200家商業銀行，探討不同制度與總體經濟環境下，貨幣政策如何影響以淨利差（netinterestmargin,NIM）和資產報酬（return on assets, ROA）衡量的銀行獲利。結果顯示，NIM與政策利率呈正向但凹形的關係，且銀行型金融體系中的凹形關係更為明顯；相較之下，市場型金融體系的ROA與政策利率呈負向且凸形的關係。銀行獲利與通膨和GDP成長呈正向關係，與失業率則呈負向關係，其中ROA與GDP成長的正向關係比NIM更強，顯示ROA的順景氣循環特徵較為顯。貸款損失準備是解釋ROA與政策利率呈負向關係，以及ROA相較於NIM更具順景氣循環特徵的重要管道。銀行規模異質性方面，NIM的差異只出現在市場型金融體系，ROA則同時出現在銀行型與市場型金融體系。

    This paper examines how monetary policy affects bank profitability, measured by net interest margin (NIM) and return on assets (ROA), across different institutional and macroeconomic environments, using a sample of 200 commercial banks drawn from The Banker’s Top 1000 World Banks ranking. We find that NIM exhibits a positive but concave relationship with the policy interest rate, with stronger evidence of concavity in bank-based financial systems. By contrast, ROA is negatively and convexly related to the policy rate in market-based systems. Bank profitability is positively associated with inflation and GDP growth and negatively associated with unemployment. In particular, ROA appears more procyclical than NIM, exhibiting a stronger positive association with GDP growth. The loan-loss provision channel plays a key role in explaining both the negative relationship between ROA and the policy rate and the stronger procyclicality of ROA relative to NIM. We also document bank-size heterogeneity: it appears only in market-based financial systems for NIM, but in both bank-based and market-based financial systems for ROA.

    中文摘要 i Abstract ii 誌謝 iii Contents iv List of Tables vi List of Figures vii 1 Introduction 1 1.1 Background and Motivation 1 1.2 Motivating Evidence 2 1.3 Overview of Results 4 1.4 Related Literature 5 1.4.1 Literature on Institutional Differences in Financial Systems 5 1.4.2 Literature on Interest Rate Environments and Bank Profitability 6 1.4.3 Literature on the Cyclicality of Bank Profitability 7 1.4.4 Literature on Macroeconomic Determinants of Bank Profitability 7 2 Data Description and Variable Construction 8 2.1 Data Sources and Sample Construction 8 2.2 Definitions of NIM and ROA and Summary Statistics 9 2.2.1 Definitions of NIM and ROA 9 2.2.2 Summary Statistics 10 2.2.3 NIM and ROA in the Bank-Based vs. Market-Based Systems 11 2.2.4 Correlation between NIM and ROA 12 3 Regression Model 13 3.1 Baseline Model and Extensions 13 3.2 Estimation and Robustness 16 4 Main Findings 17 4.1 Results for Net Interest Margin (NIM) 17 4.2 Results for Return on Assets (ROA) 20 5 Discussions 24 5.1 Bank Size Heterogeneity 24 5.2 Interactions between the Policy Interest Rate and the Macroeconomic Environment 25 5.3 Policy-Path Persistence 27 6 Concluding Remarks 29 References 30 Appendix A Bank Sample 33 Appendix B Binned Scatter Plots without Macroeconomic Controls 36 Appendix C Data Construction, Policy-Rate Measurement, and Country-Specific Treatments 37 Appendix C.1 Profitability Measures and Components 37 Appendix C.2 Country-Specific Treatments 37 Appendix D Additional Summary Statistics 39 Appendix E Time Fixed Effects 43 Appendix F Fixed-Effects, Random-Effects, and Correlated Random-Effects Diagnostics 45 Appendix G Policy-Path Persistence Model 46 Appendix G.1 Definition and Specification 46 Appendix G.2 Persistence-Threshold Sensitivity 47 Appendix G.3 Sensitivity to the Clustering Level 48 Appendix H Variance Inflation Factors 50 Appendix I Longer Profitability Lags and System GMM 51 Appendix I.1 Directly Including the Second through Fourth NIM Lags 51 Appendix I.2 System GMM Robustness Analysis 51 Appendix J Wald Tests of Slope Equality for Bank Profitability 57 Appendix K Robustness Results Using Total Assets as the Denominator 58 Appendix L Bank Size Control 59

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