銀行競爭對銀行風險的實質影響效果長久以來在過去研究文獻中極具爭論性且被持續廣泛討論，然而關於銀行相關性風險承擔的系統性風險上，過去的研究則缺乏認定是否銀行競爭可以減緩或提升個別銀行的系統性風險水準的全球銀行實證分析。本研究計畫擬針對在2000年至2014年間全球上市商業銀行，進行實證檢驗銀行競爭與系統性風險的關係，不同於過去多數研究僅考慮銀行個別風險指標，本研究則特別考量銀行系統性風險具共同相依性(Co-dependence)的特性以反映出銀行的脆弱性。再者，本研究計畫擬進一步探討公司治理品質與内部風險管理機制對系統風險的影響角色，同時也探討跨國間國家治理品質與金融監理對銀行系統性風險的影響，尤其是驗證銀行競爭透過國家治理與金融監理的管道如何交互影響銀行系統性風險。本計畫預期銀行在較弱金融監理與私人監督下具有較高的系統性風險水準；反之，較佳的國家品質與業務限制規範會有效降低銀行的系統性風險。此外，預期較低的銀行競爭可能會提升銀行的系統性風險，特別是在較弱的投資人保護、較穩健的金融安全網下、以及金融管理當局對銀行資產多角化設定較嚴格指導方針的國家 It has been debatable and wide discussed that the real effect of banking competition on bank risk documented in previous literature, However, regarding the systemic risk with respect to bank's correlated risk taking, whether banking competition could mitigate or enhance bank systemic risk from bank-level evidence is still little known for either academics or policymakers. This paper empirically investigate the relationship between banking competition and systemic risk based on bank-level measure with the co-dependence. Even though there are number of literature focused on the relationship between banking competition and the absolute level of risk in individual banks, this paper however examine the correlation in bank's risk taking behavior to measure systemic fragility. This paper also examine the impact of bank's corporate governance, internal risk management, national governance, and banking regulation on bank systemic risk. It is expected that bank systemic risk would be higher wit better quality of corporate governance and internal risk management, specifically in countries with weak supervision and private monitoring, better national governances, and restrictive competition. Besides, lower degree of banking competition has a greater opposite effect on systemic risk in countries with weak investor protections, better safety nets and where the authorities posted limited guidance for bank asset diversification.
