本研究旨在實證探討台灣總體經濟衝擊對個體銀行風險的作用，以及銀行間的異質性如何影響銀行風險對總體經濟衝擊的反應。藉由在向量自我迴歸模型 (vector autoregressions model, VAR model) 中結合總體變數和個體銀行風險變數，我們得以分析個體銀行的風險反應行為。本研究的主要發現如下：第一，緊縮性貨幣政策衝擊雖然增加了銀行的後顧性風險，但也同時降低其前瞻性風險。第二，正向實質產出衝擊減少銀行的後顧性風險，但對前瞻性風險的影響並不明確。第三，正向實質房價衝擊會使後顧性風險上升。最後，銀行是否由信用合作社改制而來，以及銀行長期平均逾放比率的高低等銀行特性會顯著影響銀行風險對總體經濟衝擊的反應。

This research aims to investigate how bank risk is affected by macroeconomic shocks and how bank heterogeneity influences the responses of bank risk variables to macroeconomic shocks in Taiwan. By combining macro variables and micro bank risk variables into vector autoregressions (VAR) model, we are able to analyze the behavior of bank risk at the micro-level. Our main findings are as follows: (a) the contractionary monetary policy shock increases the backward-looking risk of the bank, however, it also decreases the forward-looking risk of the bank; (b) the positive real output shock reduces the backward-looking risk, but its impact on forward-looking risk is uncertain; (c) the positive real house price shock raises the backward-looking risk; and (d) the responses of bank risks to macroeconomic shocks are significantly influenced by characteristics of banks such as their long-run average non-performing loans (NPL) ratio and whether the banks originated from credit cooperatives.

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