本研究針對銀行監理規範《巴塞爾資本協定第三版》和《國際財務報導準則第九號》在臺灣銀行業的實施進行實證研究，並試圖研究其與銀行資本與流動性的關聯。主要實證研究結果如下：(1)銀行資本增加僅動態降低長期流動性，並未降低短期流動性，此結果與文獻中的風險吸收假說一致；(2)透過資本適足率所衡量的銀行資本僅在靜態水準正向影響短期流動性，此結果呼應文獻中的金融脆弱性排擠假說；(3)國際財務報導準則第九號的實施，透過權益和債務工具重分類，對資本適足率產生動態效果影響；(4)重分類效果僅透過債務工具，在靜態水準影響巴塞爾資本協定第三版定義的短期與長期流動性。未來研究方向可以延伸至其他金融服務業或加入非銀行變數的跨國分析。 This paper empirically examines implementation of Basel 3 and IFRS 9 in Taiwan’s banking industry and attempts to study its linkages with bank capital and liquidity. Major empirical findings are as follows. (1) An increase in bank capital dynamically reduces long-term liquidity rather than short-term liquidity, which is consistent with the risk absorption hypothesis in literature. (2) Bank capital gauged by CAR defined by Basel 3 only positively affects short-term liquidity at the static level, which echoes the financial-fragility-crowding-out hypothesis in past literature. (3) Reclassification for both equity and debt instruments following the implementation of IFRS 9 dynamically creates an impact on CAR. (4) There appears a significant reclassification effect on both short-term and long-term liquidity defined by Basel 3 only for debt instruments and only at the static level. Future research may extend to other financial services or cross-country analysis with non-bank variables over time.
