本研究主旨在考慮個體及總體因子之下，探討市場利率變動對美國銀行業獲利能力的影響，近而提供銀行業資產負債管理決策的參考。本研究主要透過三個層面探討市場利率變動的效果，分別是收入面(gross operating income)、成本面(total operating expenses)、淨收益面(net current operating earnings)。本文以北美所有銀行為樣本，樣本期間為2003-2014年，共2,681筆資料，研究模型主要參考Flannery (1981)的部分調整模型(partial adjustment model)，實證結果發現面對市場利率變動對於成本面的衝擊較收入面強烈，且美國銀行業近年來傾向借短貸長政策，意味著面臨較高的流動性風險，所幸美國整體銀行業對於資產負債調整速度快，且資產負債的平均到期日較為一致，應可以有效避免流動性風險，此外，當市場利率下降時，美國銀行業不論長期或短期情況下都會有較佳的表現。透過本篇研究，希望可以提供銀行業在面對市場利率變動時資產負債管理決策的參考。

This paper examines the relation between market interest rates and banks’ profitability by using America banking samples and tests whether the banks’ strategies are different from the past. I investigate the impact of different market yield rates on banks’ performances via three aspects including revenue, cost, and net income. The evidences show that market interest rate do have more impacts on the costs aspect than on the income aspect. Furthermore, the result also indicates that America banks have a tendency to “borrow short lend long”, which would put themselves into a high liquidity risk. However, this risk can be weakened by asset liability management. Finally, the finding shows that America banks have better profitability either in the short run or long run when market interest rate goes down.

Albertazzi, U., and Gambacorta, L.. Bank profitability and the business cycle. Journal of Financial Stability, 5(4), 393-409, 2009.
Aharony, J., Saunders, A., and Swary, I.. The Effects of a Shift in Monetary Policy Regime on the Profitability and Risk of Commercial Banks. Journal of Monetary Economics, 17(3), 363-377, 1986.
Athanasoglou, P. P., Brissimis, S. N., and Delis, M. D.. Bank-specific, Industry-specific and Macroeconomic Determinants of Bank Profitability. Journal of International Financial Markets, Institutions and Money, 18(2), 121-136, 2008.
Basel Committee on Banking Supervision. Principles for the Management and Supervision of Interest Rate Risk. July, 2004.
Bhuyan, R. and Kosmidou, D.L.. Operating Performance of the US Commercial Banks after IPOs: An Empirical Evidence, Journal of Commercial Banking and Finance 5(1-2), 68-95, 2006.
Bikker, J.A. and Hu, H.. Cyclical Patterns in Profits, Provisioning and Lending of Banks and Procyclicality of the New Basel Capital Requirements. BNL Quarterly Review, 55(221), 143-175, 2002.
Bolt, W., Haan, L. D., Hoeberichts, M., van Oordt, M. R., and Swank, J.. Bank profitability during recessions. Journal of Banking and Finance, 36(9), 2552-2564, 2012.
Bourke, P.. Concentration and Other Determinants of Bank Profitability in Europe, North America and Australia. Journal of Banking and Finance, 13(1), 65-79, 1989.
Claeys, S., and Vennet, R. V.. Determinants of bank interest margins in Central and Eastern Europe: A comparison with the West. Economic Systems, 32(2), 197-216, 2008.
DeYoung, R. and Rice, T.. Non-interest Income and Financial Performance at US Commercial Banks. Financial Review, 39(1), 101-127, 2004.
Dietrich, A., and Wanzenried, G.. Determinants of Bank Profitability Before and during the Crisis: Evidence from Switzerland. Journal of International Financial Markets, Institutions and Money, 21(3), 307-327, 2011.
García-Herrero, A., Gavilá, S., and Santabárbara, D.. What Explains the Low Profitability of Chinese Banks. Journal of Banking and Finance, 33(11), 2080-2092, 2009.
Demirgüҫ-Kunt, A., and Huizinga, H.. Determinants of Commercial Bank Interest Margins and Profitability: Some International Evidence. The World Bank Economic Review, 13(2), 379-408, 1999.
Flannery, M.J.. Market Interest Rates and Commercial Bank Profitability: An Empirical Investigation. The Journal of Finance, 36(5), 1085-1101, 1981.
Flannery, M.J.. Interest Rates and Bank Profitability: Additional Evidence: Note. Journal of Money, Credit and Banking, 15(3), 355-362, 1983.
Flannery, M. J., and James, C. M.. Market Evidence on the Effective Maturity of Bank Assets and Liabilities. Journal of Money, Credit and Banking, 16(4), 435-445, 1984.
Guru, B. K., Staunton, J., and Balashanmugam, B.. Determinants of commercial bank profitability in Malaysia. Working Paper, Multimedia University, 2002.
Hancock, D.. Bank Profitability, Interest Rates, and Monetary Policy. Journal of Money, Credit and Banking, 17(2), 189-202, 1985.
Hasan, I., and Sarkar, S.. Banks’ Option to Lend, Interest Rate Sensitivity, and Credit Availability. Review of Derivatives Research, 5(3), 213-250, 2002.
Heggestad, A. A., and Mingo, J. J.. Prices, Nonprices, and Concentration in Commercial Banking. Journal of Money, Credit and Banking, 8(1), 107-117, 1976.
Kosmidou, K.. The determinants of banks' profits in Greece during the period of EU financial integration. Managerial Finance, 34(3), 146-159, 2008.
Kwast, M. L., and Rose, J. T.. Pricing, Operating Efficiency, and Profitability among Large Commercial Banks. Journal of Banking and Finance, 6(2), 233-254, 1982.
Louzis, D. P., Vouldis, A. T., and Metaxas, V. L.. Macroeconomic and Bank-specific Determinants of Non-performing Loans in Greece: a Comparative Study of Mortgage, Business and Consumer Loan Portfolios. Journal of Banking and Finance, 36(4), 1012-1027, 2012.
Luo, X.. Evaluating the Profitability and Marketability Efficiency of Large Banks an Application of Data Envelopment Analysis. Journal of Business Research, 56(8), 627-635, 2003.
Molyneux, P., and Thornton, J.. Determinants of European Bank Profitability: A note. Journal of Banking and Finance, 16(6), 1173-1178, 1992.
Naceur, S. B. and Goaied M.. The Determinants of Commercial Bank Interest Margin and Profitability: Evidence from Tunisia. Frontiers in Finance and Economics, 5(1), 106-130, 2008.
Pasiouras, F., and Kosmidou, K.. Factors Influencing the Profitability of Domestic and Foreign Commercial Banks in the European Union. Research in International Business and Finance, 21(2), 222-237, 2007.
Scannella, E., and Bennardo, D.. Interest Rate Risk in Banking: a Theoretical and Empirical Investigation through a Systemic Approach (Asset & Liability Management). Business Systems Review, (2)1, 59-79, 2013.
Short, B. K.. The Relation between Commercial Bank Profit Rates and Banking Concentration in Canada, Western Europe, and Japan. Journal of Banking and Finance, 3(3), 209-219, 1979.
Smirlock, M.. Evidence on the (Non) Relationship between Concentration and Profitability in Banking. Journal of Money, Credit, and Banking, 17(1), 69-83, 1985.
Staikouras, C. K. and Wood, G. E.. The Determinants of European bank Profitability. International Business and Economic Research Journal, 3(6), 57 – 68, 2004.
Stiroh, K. and Rumble, A.. The dark side of diversification: The case of US financial holding companies. Journal of Banking and Finance, 30(8), 2131-2161, 2006.
Sufian, F.. Determinants of Bank Profitability in a Developing Economy: Empirical Evidence from the China Banking Sector. Journal of Asia-Pacific Business, 10(4), 281-307, 2009.
Sufian, F., and Chong, R. R.. Determinants of Bank Profitability in a Developing Economy: Empirical Evidence from the Philippines. Asian Academy of Management Journal of Accounting and Finance, 4(2), 91-112, 2008.
Wong, K.P.. On the Determinants of Bank Interest Margins under Credit and Interest Rate Risks. Journal of Banking and Finance, 21(2), 251-271, 1997.