[[alternative]]A study of the relationship between financial structure and bank loan pricing for Taiwanese firms investing in China

碩士[[abstract]]本研究旨在探討大陸台商財務結構與銀行放款訂價之門檻效果（Threshold effect）。研究運用縱橫門檻自我迴歸模型，檢測是否存在一最適負債門檻值，使授信利率受到負債比率之影響而呈現非線性上下不一致關係。 研究結果顯示，非電子業台商之負債比率存在門檻效果，並具有雙重門檻值。當負債比率低於36.19%時，負債比率雖與銀行授信利率呈現正相關，但其係數相當不顯著，表示當銀行以風險為放款訂價因子，借款企業之負債比率尚低時，判斷其財務風險低，為爭取此類客戶，削價競爭，致負債比率提高，並不一定調高授信利率，故非電子業台商之負債比率低於第一門檻值（36.19%）時，可向銀行融資，獲得較低之籌資成本。然當負債比率高於第一門檻值時，銀行判斷其財務風險將隨著負債比率增加而提升；當負債比率高於第二門檻值（58.79%）時，銀行判斷財務風險將大幅上升，要求的風險貼水亦大幅提升，故非電子業台商之負債比率高於第二門檻值時，於銀行業之融資成本大幅提升，應考慮以其他方式籌資。 然電子業台商之負債比率與銀行授信利率之間不存在上下不對稱之非線性關係，推論主要原因可能係銀行業者考量電子產業之產品及技術世代轉換快速，除財務風險因素外，更需考量企業營業及投資風險等因素。[[abstract]]This paper aims at studying the relationship between financial structure and loan pricing of bank for Taiwanese firms investing in China. The observed “balanced panel data” are tested by the panel threshold regression model to see if there exists an optimal Debt/Total Assets ration (D/TA ration) that may result in threshold effect and asymmetrical responses of the loan rates to the D/TA ration. The results indicate that a “double” threshold effect in the non-electronics industry does exist. The D/TA ration is positively related to the bank loan rate if the D/TA ration is below 36.19%, the first threshold; the coefficients do not reach a significant level. It implies that banks price the loan rate by the risk factors—banks shoot for those firms with low D/TA ration (i.e. low risks). For this reason, the non-electronics firms investing in China may obtain lower fund cost from bank when their D/TA ration is less than the first threshold value (36.19%). Financial risks increase with D/TA ration. Therefore, when the D/TA ration of the firms is above the first threshold, their financial risks increase. Banks reasonably require more risk premium from such firms with the D/TA ration above 58.79%, the second threshold value. Such being the case, the non-electronics firms investing in China may be forced to seek their funds from elsewhere instead of a bank loan. With the rapid development of technology and the ephemeral product life cycle, banks may consider other factors such as operation and investing risks as well. An asymmetrical and nonlinear relationship between the D/TA ration and the loan rate is thus not observed for the electronics industry in the present study.[[tableofcontents]]內文目錄 第一章 緒論 第一節 研究動機...........................................1 第二節 研究目的...........................................3 第三節 研究架構...........................................3 第二章 文獻探討 第一節 台商之資金來源、融資需求及融資模式.................5 第二節 銀行授信基本原理及台灣銀行業對大陸台商的授信評估..13 第三節 銀行授信訂價原理..................................16 第四節 企業集團財務風險評估..............................22 第五節 文獻回顧..........................................25 第三章 研究方法 第一節 門檻自我迴歸模型..................................32 第二節 縱橫門檻模型設定..................................33 第四章 實證結果與分析 第一節 研究對象..........................................42 第二節 變數的定義與衡量..................................42 第三節 實證結果..........................................43 第五章 結論與建議 第一節 結論..............................................50 第二節 研究建議..........................................51 第三節 研究限制..........................................52 參考文獻.................................................53 圖目錄 圖1 獨資企業資金來源及進入模式...........................7 圖2 合資雙方共同集資資金來源及進入模式...................8 圖3 混合模式資金來源及進入模式...........................9 圖4 大陸台商融資管道....................................12 圖5 企業金融風險評估流程圖..............................16 圖6 台商授信風險評估項目................................16 圖7 銀行授信訂價架構圖..................................17 圖8 作業活動如何銜接個別客戶的訂價......................20 圖9 非電子業雙重門檻之第一門檻參數值....................46 圖10 非電子業雙重門檻之第二門檻參數值....................46 表目錄 表1 大陸台商營運及融資模式相關文獻彙整表................26 表2 企業金融授信訂價、財務結構與企業融資相關文獻彙整表..27 表3 基本統計敘述........................................42 表4 門檻變數及控制變數之定義及說明......................43 表5 負債比率與銀行授信利率單一門檻效果檢定..............45 表6 非電子業負債比率與銀行授信利率雙重門檻效果檢定......45 表7 非電子業雙重門檻模型下的門檻變數及控制變數係數估計結果..47[[note]]學號: 796530235, 學年度: 9