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題名 資本適足率對銀行流動性風險傳遞效果之研究
The Effect of Capital Requirement on the Transmission of Liquidity Preference Shock among Banks作者 蔡幸芳
Tsai, Hsing Fang貢獻者 胡聯國
Hu, Len Kuo
蔡幸芳
Tsai, Hsing Fang關鍵詞 金融市場傳染效果
資本適足率
銀行同業存款
銀行緩衝資本
Contagion
Capital requirement
Interbank deposit
Buffer日期 2015 上傳時間 27-Jul-2015 11:17:27 (UTC+8) 摘要 本研究旨在說明資本適足率對於銀行業資訊傳遞效果之影響，利用Allen and Gale (2000)模型討論在不完整市場結構下，銀行間因為持有銀行同業存款而形成相連的傳染途徑，進而影響整個系統，本研究擴展Allen and Gale (2000)的模型，加入資本適足率的考量，從而進一步探討透過資本適足要求能否有效提高銀行整體穩定性。模型假設因為不同區域對於早、晚期消費需求不同，可藉由區域間的資源移轉，來達到最適分配情況。隨著資本適足率的納入，將改變最適分配解，同時分析緩衝(buffer)、擴散效果(spillover effect)及傳染(contagion)的變化。文中傳染定義為擴散效果扣除緩衝力道的淨結果，並說明若有超額流動性消費需求衝擊時，一家銀行的倒閉將如何傳染至整個銀行體系。此研究發現，在資本適足規定下，若長期資產報酬率越大，會更有機會取得較大的緩衝能力，但將面對較大的擴散效果。關於傳染現象，則是發覺當銀行同業存款越小，在資本適足規定下的傳染機會越低；若長期資產的早期報酬率越大，同樣可降低發生傳染現象機率，即驗證資本適足率對於銀行穩定性的貢獻。
The objective of this study is to testify the effect of capital requirement with regard to information transmission among banks. We develop a model based on Allen and Gale (2000) to discuss that under incomplete market structure, contagion channel is built because of interbank deposits market. We also expand Allen and Gale’s model by putting new parameter, capital requirement, into this model to analyze the impact of capital requirement with respect to stability in banking system.Due to different liquidity demands at each date in different regions, banks can exchange resources in the system to reach the first-best allocation. With capital requirement, the first-best allocation varies and so does buffer, spillover effect and contagion. In this article, contagion is defined as the net result of spillover effect minus buffer. Besides, we explain how the bankruptcy in one region evolves into the bankruptcy in the whole system under excess demand for liquidity.We find out that with capital requirement, if return of long-term asset at final date is higher, there will be more chances to have more buffers but larger spillover effect. As for contagion, it shows that with lower interbank deposits or higher return of long-term asset at early date, the possibility of contagion will be reduced. As a result, we can conclude that capital requirement really improves the stability in banking system.參考文獻 Acharya, V. and T. Yorulmazer (2002). Information contagion and inter-bank correlation in a theory of systemic risk. Working paper, London Business School.Acharya, V. and T. Yorulmazer (2008). Information contagion and bank herding. Journal of Money, Credit and Banking, 40(1), 215-231.Acharya, V. (2009). A theory of systemic risk and design of prudential bank regulations. Journal of Financial Stability, 5(3), 224-255.Aharony, J. and I. Swary (1983). Contagion effects of bank failures: evidence from capital markets. Journal of Business, 56(3), 305-317.Allen, F. and D. Gale (1998). Optimal financial crises. Journal of Finance, 53(4), 1245-1284.Allen, F. and D. Gale (2005). From cash-in-the-market pricing to financial fragility. Journal of the European Economic Association, 3(2-3), 535-546.Alonso, I. (1996). On avoiding bank runs. Journal of Monetary Economics, 37(1), 73-87.Calomiris, C. and J. Mason (1997). Contagion and bank failures during the Great Depression: The June 1932 Chicago banking panic. American Economic Review, 87(5), 863-883.Chen, Y. (1999). Banking panics: the role of the first-come, first-served rule and information externalities. Journal of Political Economy, 107(5), 946–968.Cooper, R. and T. Ross (2002). Bank runs: deposit insurance and capital requirements. International Economic Review, 43(1), 55.Dasgupta, A. (2004). Financial contagion through capital connections: a model of the origin and spread of banking panics. Journal of the European Economic Association, 2(6), 1049-1084.Diamond, D. and P. Dybvig (1983). Bank runs, deposit insurance, and liquidity. Journal of Political Economy, 91(3), 401-419.Diamond, D. and P. Dybvig (1986). Banking theory, deposit insurance and bank regulation. Journal of Business, 59(1), 55-68.Freixas, X. and B. Parigi (1998). Contagion and efficiency in gross and net interbank payment systems. Journal of Financial Intermediation, 7, 3-31Freixas, X., B. Parigi, and J. Rochet (1999). Systemic risk, interbank relations and liquidity provision by the central bank. Journal of Money, 32, 611-638.Gay, G., S. Timme and K. Yung (1991). Bank failure and contagion effects: evidence from Hong Kong. Journal of Financial Services Research, 14(2), 153-165.Gorton, G. (1988). Banking panics and business cycles. Oxford Economic Papers, 40(4), 751-781.Hellman, T., K. Murdock and J. Stiglitz (2000). Liberalization, moral hazard in banking, and prudential regulation: Are capital requirements enough? The American Economic Review, 90(1), 147-165.Jackon, P. (1999). Capital Requirement and the Bank Behavior: The Impact of the Basel Accord. Bank of International Settlement, Switzerland.Kaufman, G. (1994). Bank contagion: A review of the theory and evidence. Journal of Financial Services Research, 8(2), 123-150.Park, S. (1994). The bank capital requirement and information asymmetry. Federal Reserve Bank of St. Louis.Repullo, R. (2004). Capital requirements, market power, and risk-taking in banking. Journal of Financial Intermediation, 13(2), 156-182.Upper, C. and A. Worms (2004). Estimating bilateral exposures in the German interbank market: is there a danger of contagion? European Economic Review, 48(4), 827-849. 描述 碩士
國立政治大學
國際經營與貿易研究所
102351005資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102351005 資料類型 thesis dc.contributor.advisor 胡聯國 zh_TW dc.contributor.advisor Hu, Len Kuo en_US dc.contributor.author (Authors) 蔡幸芳 zh_TW dc.contributor.author (Authors) Tsai, Hsing Fang en_US dc.creator (作者) 蔡幸芳 zh_TW dc.creator (作者) Tsai, Hsing Fang en_US dc.date (日期) 2015 en_US dc.date.accessioned 27-Jul-2015 11:17:27 (UTC+8) - dc.date.available 27-Jul-2015 11:17:27 (UTC+8) - dc.date.issued (上傳時間) 27-Jul-2015 11:17:27 (UTC+8) - dc.identifier (Other Identifiers) G0102351005 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76835 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易研究所 zh_TW dc.description (描述) 102351005 zh_TW dc.description.abstract (摘要) 本研究旨在說明資本適足率對於銀行業資訊傳遞效果之影響，利用Allen and Gale (2000)模型討論在不完整市場結構下，銀行間因為持有銀行同業存款而形成相連的傳染途徑，進而影響整個系統，本研究擴展Allen and Gale (2000)的模型，加入資本適足率的考量，從而進一步探討透過資本適足要求能否有效提高銀行整體穩定性。模型假設因為不同區域對於早、晚期消費需求不同，可藉由區域間的資源移轉，來達到最適分配情況。隨著資本適足率的納入，將改變最適分配解，同時分析緩衝(buffer)、擴散效果(spillover effect)及傳染(contagion)的變化。文中傳染定義為擴散效果扣除緩衝力道的淨結果，並說明若有超額流動性消費需求衝擊時，一家銀行的倒閉將如何傳染至整個銀行體系。此研究發現，在資本適足規定下，若長期資產報酬率越大，會更有機會取得較大的緩衝能力，但將面對較大的擴散效果。關於傳染現象，則是發覺當銀行同業存款越小，在資本適足規定下的傳染機會越低；若長期資產的早期報酬率越大，同樣可降低發生傳染現象機率，即驗證資本適足率對於銀行穩定性的貢獻。 zh_TW dc.description.abstract (摘要) The objective of this study is to testify the effect of capital requirement with regard to information transmission among banks. We develop a model based on Allen and Gale (2000) to discuss that under incomplete market structure, contagion channel is built because of interbank deposits market. We also expand Allen and Gale’s model by putting new parameter, capital requirement, into this model to analyze the impact of capital requirement with respect to stability in banking system.Due to different liquidity demands at each date in different regions, banks can exchange resources in the system to reach the first-best allocation. With capital requirement, the first-best allocation varies and so does buffer, spillover effect and contagion. In this article, contagion is defined as the net result of spillover effect minus buffer. Besides, we explain how the bankruptcy in one region evolves into the bankruptcy in the whole system under excess demand for liquidity.We find out that with capital requirement, if return of long-term asset at final date is higher, there will be more chances to have more buffers but larger spillover effect. As for contagion, it shows that with lower interbank deposits or higher return of long-term asset at early date, the possibility of contagion will be reduced. As a result, we can conclude that capital requirement really improves the stability in banking system. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究動機與目的 1第二節 研究架構 4第二章 文獻回顧 5第一節 銀行資訊傳遞途徑 5第二節 銀行恐慌實證分析 8第三節 銀行擠兌 9第四節 政策介入提升銀行穩定性 12第三章 研究方法 16第一節 模型架構 16第二節 比較分析 33第四章 結論與建議 40第一節 結論 40第二節 未來研究建議 41參考文獻 42附錄一 44 zh_TW dc.format.extent 806743 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102351005 en_US dc.subject (關鍵詞) 金融市場傳染效果 zh_TW dc.subject (關鍵詞) 資本適足率 zh_TW dc.subject (關鍵詞) 銀行同業存款 zh_TW dc.subject (關鍵詞) 銀行緩衝資本 zh_TW dc.subject (關鍵詞) Contagion en_US dc.subject (關鍵詞) Capital requirement en_US dc.subject (關鍵詞) Interbank deposit en_US dc.subject (關鍵詞) Buffer en_US dc.title (題名) 資本適足率對銀行流動性風險傳遞效果之研究 zh_TW dc.title (題名) The Effect of Capital Requirement on the Transmission of Liquidity Preference Shock among Banks en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Acharya, V. and T. Yorulmazer (2002). Information contagion and inter-bank correlation in a theory of systemic risk. Working paper, London Business School.Acharya, V. and T. Yorulmazer (2008). Information contagion and bank herding. Journal of Money, Credit and Banking, 40(1), 215-231.Acharya, V. (2009). A theory of systemic risk and design of prudential bank regulations. Journal of Financial Stability, 5(3), 224-255.Aharony, J. and I. Swary (1983). Contagion effects of bank failures: evidence from capital markets. Journal of Business, 56(3), 305-317.Allen, F. and D. Gale (1998). Optimal financial crises. Journal of Finance, 53(4), 1245-1284.Allen, F. and D. Gale (2005). From cash-in-the-market pricing to financial fragility. Journal of the European Economic Association, 3(2-3), 535-546.Alonso, I. (1996). On avoiding bank runs. Journal of Monetary Economics, 37(1), 73-87.Calomiris, C. and J. Mason (1997). Contagion and bank failures during the Great Depression: The June 1932 Chicago banking panic. American Economic Review, 87(5), 863-883.Chen, Y. (1999). Banking panics: the role of the first-come, first-served rule and information externalities. Journal of Political Economy, 107(5), 946–968.Cooper, R. and T. Ross (2002). Bank runs: deposit insurance and capital requirements. International Economic Review, 43(1), 55.Dasgupta, A. (2004). Financial contagion through capital connections: a model of the origin and spread of banking panics. Journal of the European Economic Association, 2(6), 1049-1084.Diamond, D. and P. Dybvig (1983). Bank runs, deposit insurance, and liquidity. Journal of Political Economy, 91(3), 401-419.Diamond, D. and P. Dybvig (1986). Banking theory, deposit insurance and bank regulation. Journal of Business, 59(1), 55-68.Freixas, X. and B. Parigi (1998). Contagion and efficiency in gross and net interbank payment systems. Journal of Financial Intermediation, 7, 3-31Freixas, X., B. Parigi, and J. Rochet (1999). Systemic risk, interbank relations and liquidity provision by the central bank. Journal of Money, 32, 611-638.Gay, G., S. Timme and K. Yung (1991). Bank failure and contagion effects: evidence from Hong Kong. Journal of Financial Services Research, 14(2), 153-165.Gorton, G. (1988). Banking panics and business cycles. Oxford Economic Papers, 40(4), 751-781.Hellman, T., K. Murdock and J. Stiglitz (2000). Liberalization, moral hazard in banking, and prudential regulation: Are capital requirements enough? The American Economic Review, 90(1), 147-165.Jackon, P. (1999). Capital Requirement and the Bank Behavior: The Impact of the Basel Accord. Bank of International Settlement, Switzerland.Kaufman, G. (1994). Bank contagion: A review of the theory and evidence. Journal of Financial Services Research, 8(2), 123-150.Park, S. (1994). The bank capital requirement and information asymmetry. Federal Reserve Bank of St. Louis.Repullo, R. (2004). Capital requirements, market power, and risk-taking in banking. Journal of Financial Intermediation, 13(2), 156-182.Upper, C. and A. Worms (2004). Estimating bilateral exposures in the German interbank market: is there a danger of contagion? European Economic Review, 48(4), 827-849. zh_TW
