銀行手数料ビジネスの動向と経営安定性

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1 * ** No.06-J * **

2 * * BIS ( keiichirou.inaba@boj.or.jp) ( masazumi.haori@boj.or.jp)

3 CPI ROA reurn on asse ROA ROA 1

4 ROA De Young and Roland (1999) Siroh (2004) De Young and Roland (1999) Siroh (2004) Graham and Hewi (1993) 2 De Young and Roland (1999) Siroh (2004) Boyd and Graham (1986) Wall (1987) Kwan and Laderman (1999) 2

5 (1) (2) 1990 (3) 2001 (4)

6 ROA (5) 2001 (6) (7)

7 3 ROA ROA II UFJ II II II % 5

8 = + + = 6 = = T T S T S T S 1 T S T S 6 6

9 2001 T S T S Siroh (2004) 7

10 (%) 0.43 * 0.87 * CPI 2 * 10%

11 CPI 1 2 CPI ** CPI 3 ** 5%

13 (%) CPI GDP GDP GDP (%) 0.65 *** CPI 2GDP SNA SNA 3 *** 1% 7 GDP 11

14 CPI 8 7 GDP (%) 0.45 ** 0.75 ** GDP SNA SNA 3 GDP 1 4 ** 5% (%) GDP % % 12

15 (%) 0.51 ** (%) ** 5% GDP

16 % 8.8% % % 8.3% 10 9 % %p ,872 NA 5,195 NA ,270 (66.1%) 25,047 (382.1%) ,547 (68.0%) 74,131 (196.0%) ,188 (48.3%) 128,561 (73.4%) ,139 (69.2%) 152,630 (18.7%) 1 2 1/

17 GDP GDP 2001 GDP 11 GDP GDP (%) 0.53 ** CPI 2GDP SNA SNA 3 ** 5% (%)

18 GDP 2002 GDP GDP GDP 2005 ROA 16

19 2 (1) (2)

20 1 I 1 F F II 1 2 F F III

21 (1) VAR _ GARARI τ = ( T + ( S + ( M + 2T + 2S + 2M 2 ) ( VAR _ GEKIMU τ 2 ) ( VAR _ GSHIKIN τ 2 ) ( VAR _ GMARKET S M T VAR _ GEKIMU τ τ VAR _ GSHIKIN τ VAR _ GMARKET ) ) ) τ VAR _ GSHIKIN τ VAR _ GMARKET VAR _ GEKIMU ρ[ GEKIMU, GSHIKIN ] τ τ τ ρ[ GSHIKIN, GMARKET ] ρ[ GMARKET, GEKIMU ] τ τ (1) VAR_X (X=GARARI,,GMARKET) X ρ[ ] 2 i GARARI GEKIMU GSHIKIN GMARKET CPI T S M (1) (%) (%)

22 ROA ROA ROA (1) ROA ROA ROA (2) VOLA _ ROA = c + η + β + β + β + u GCC KEIHI GA i + D + β GARARI VOLA _ GCC VOLA _ GKEIHI VOLA _ GASSET VOLA _ GARARI (2) i =1, 2, 3 70 =1996,, ,, 2005c η i D β k k GARARI,, GASSET u η i D 20

23 VOLA 4 5 ROA 16 GARARI 17 GCC GKEIHI 3 ROA ROA GASSET GARARI β GARARI 1% ROA c i D I p I 1 F(4, 279) *** II 1 2 F(4, 275) *** III p I 1 F(4, 279) *** II 1 2 F(4, 275) 0.95 III * ** *** p 5% 10%p 1% 5%p 0% 1% CPI

24 ROA 14 VOLA_GARARI 14 I VOLA_ROA N 70 T 5 1 N 70 T p p VOLA_GARARI *** VOLA_GCC * *** VOLA_GKEIHI * VOLA_GASSET D *** D *** D *** D *** D *** * ** *** p 5% 10%p 1% 5%p 0% 1% VOLA_GKEIHI VOLA_GCC ROA

25 1 ROA Z = c + η + β + β i KEIHI AROA + D + β AROA GARARI VOLA _ GKEIHI + β VOLA _ GARARI ACOA + β ACOA GA + u + β GCC VOLA _ GASSET VOLA _ GCC (3) i =1996,, ,, 2005 c η i D β k (k GARARI,,ACOA) u η i D Z Z AROA + ACOA VOLA _ ROA AROA ACOA 4 ROA COA VOLA_ROA 4 ROA Z Z Lown, Osler, Srahan, and Sufi 2000 Siroh

26 Z AROA ACOA VOLA_ROA Z Z AROA ACOA VOLA_ROA 3 (2) VOLA_ROA VOLA_GARARI VOLA_GCC VOLA_GKEIHI VOLA_GASSET VOLA_GARARI VOLA_GARARI ROA AROA ACOA VOLA_ROA 4 VOLA_GARARI VOLA_GCC VOLA_GKEIHI VOLA_GASSET AROA ACOA Snee and Marquard (1984) 4 AROA ACOA VIF VIF x y VIF x, y 1 {1 (ρ xy ) 2 } ρ xy x y 24

27 II p I 1 F(4, 171) 5.75 *** II 1 2 F(4, 167) 4.68 *** III ** p I 1 F(4, 155) 6.34 *** II 1 2 F(4, 151) 2.72 ** III *** * ** *** p 5% 10%p 1% 5%p 0% 1% 16 VOLA_GARARI II Z N 43 T 5 2N 39 T DW DW p p VOLA_GARARI VOLA_GCC VOLA_GKEIHI * VOLA_GASSET AROA *** ACOA D 1996 /D * * D 1997 /D *** * D *** 1 Balagi and Li (1991) PW 2 * ** *** p 5% 10%p 1% 5%p 0% 1% 25

28 AROA ACOA ROA

29 GDP ROA

30 2005 ROA ROA ROA 28

31 GDP

32 S&P (2005a) 2005 S&P (2005b) : a b Balag B.H., and L Q A Transformaion ha will Circumven he Problem of Auocorrelaion in an Error Componen Model. Journal of Economerics 48: Belsley, D.A Demeaning Condiioning Diagnosic hrough Cenering. The American Saisics 38: Boyd, J.H., and Graham, S.L Risk, Regulaion, and Bank Holding Company Expansion ino Nonbanking. Federal Reserve Bank of Minneapolis Quarerly Review 10 Spring: De Young, R., and Roland, K.P Produc Mix and Earnings Volailiy a Commercial Banks: Evidence from a Degree of Leverage Model. Journal of Financial Inermediaion 10: Graham, S.L., and Hewi, R.S Bank Holding Company Mergers wih Nonbank Financial Firms. Journal of Banking and Finance 17: Greene, W.H Economeric Analysis (Third Ediion). Prenice Hall. Kwan, S.H., and Laderman, E.S On he Porfolio Effecs of Financial Convergence A Review of he Lieraure. Federal Reserve Bank of San 30

33 Francisco Economic Review 1999 Number 2: Laeven, L., and Majnon G Loan Loss Provisioning and Economic Slow Down: Too Much, Too Lae? Journal of Financial Inermediaion 12: Lown C.S., Osler, C.L., Srahan, P.E., and Suf A The Changing Landscape of he Financial Services Indusry: Wha Lies Ahead? Federal Reserve Bank of New York Economic Policy Review 2000 Ocober: Okina, K., and Shirasuka, S Policy Commimen and Expecaion Formaion: Japan s Experience under Zero Ineres Raes. The Norh American Journal of Economics and Finance 15: Smih, R., Saikouras, C., and Wood, G Non-Ineres Income and Toal Sabiliy. Bank of England Working Paper No.198. Snee, R.D., and Marquard, D.W Collieariy Diagnosics Depend on he Domain of Predicion, he Model, and he Daa. The American Saisics 38: Sewar, G.W Colineariy and Leas Squares Regression. Saisical Science 2: Siroh, K.J Diversificaion in Banking: Is Nonineres Income he Answer? Journal of Money, Credi, and Banking 36: Wall, L.D Has Bank Holding Companies Diversificaion Affeced Their Risk of Failure? Journal of Economics and Business 39: Wall, L.D., Reicher, A.K., and Mohany, S Deregulaion and he Opporuniies for Commercial Bank Diversificaion. Federal Reserve Bank of Alana, Economic Review Sepember/Ocober:

34 1 ROA ROA VOLA_ROA ROA AROA CPI GARARI CPI GEKIMU CPI GSHIKIN CPI GMARKET CPI GKEIHI CPI GCC COA COA ACOA Z AROA ACOA VOLA_ROA Z CPI GASSET VOLA_ROA 0.50% 0.58% 0.35% 6.84% 0.02% VOLA_GARARI % % 14.10% % 1.23% VOLA_GCC % % % % 7.57% VOLA_GKEIHI 3.94% 6.24% 3.00% 71.80% 0.52% VOLA_GASSET 3.13% 6.27% 1.83% 66.19% 0.49% Z AROA 0.01% 0.45% 0.14% 1.03% -3.25% ACOA 4.30% 1.22% 4.25% 10.60% -6.27%

35 2-1 (3) VIF VIF ACOA, VOLA_GARARI VIF ACOA, VOLA_GCC VIF ACOA, VOLA_GKEIHI VIF ACOA, VOLA_GASSETI VIF AROA, VOLA_GARARI VIF AROA, VOLA_GCC VIF AROA, VOLA_GKEIHI VIF AROA, VOLA_GASSETI

36 2-2 (3) VIF VIF ACOA, VOLA_GARARI VIF ACOA, VOLA_GCC VIF ACOA, VOLA_GKEIHI VIF ACOA, VOLA_GASSETI VIF AROA, VOLA_GARARI VIF AROA, VOLA_GCC VIF AROA, VOLA_GKEIHI VIF AROA, VOLA_GASSETI

インフレの不確実性とインフレ率水準の関係

インフレの不確実性とインフレ率水準の関係 * ** Working Paper 00-0 00-863003 * ** * ** 3 4 5 96 8 ; How will we cenral bankers know when we have achieved price sabiliy? Cerainly we would deem our policies successful if we removed unproducive price-expecaion-driven