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題名 存戶決策、銀行投資決策與系統性風險之分析
作者 張珮宸
貢獻者 何靜□
張珮宸
關鍵詞 銀行擠兌
系統性風險
演化穩定策略
演化賽局
bank run
systemic risk
evolutionarily stable strategy
evolutionary game
日期 2003
上傳時間 18-Sep-2009 15:55:56 (UTC+8)
摘要 本文主要探討存戶決策對銀行投資組合決策之影響，及其可能引發之系統性風險的程度。以代表性銀行開始分析，假設銀行投資於安全性資產與風險性資產，而存戶依其決策可能會產生兩個均衡同時存在之情形。本文利用演化的力量，發展出以風險性資產報酬率作為均衡選擇之標準：當風險性資產報酬率低於某一水準時，擠兌的均衡會單獨發生。並比較銀行考慮擠兌發生可能性時，其投資組合承擔風險之程度，及可能引發的銀行倒閉機率大小。推廣至二家模型，發現愈多家銀行在作投資決策考慮存戶擠兌之可能性，愈會增加經濟體系中之系統性風險，顯示銀行與存戶之衝突與金融體系之脆弱性。最後討論資本適足性管制與央行最後貸款人角色能否有效降低銀行倒閉機率。
參考文獻 Acharya, V. (2000), A theory of systemic risk and design of
　prudential bank regulation, Unabridged version, Working
　Paper, Stern School of Business, New York University.
Barber, J. R., C. Chang, and D. C. Thurston (1996), Bank
　failure, risk, and capital regulation. Journal of Economics
　and Finance 120(3)：13-20.
Bencivenga, V. R., and B. D. Smith (1991), Financial
intermediation and endogenous growth. Review of Economic
Studies 58：195-09.
Bryant, J. (1980), A model of reserves, bank runs, and deposit
insurance, Journal of Banking and Finance 4：335-44.
Calomiris, C., and G., Gorton (1991), The origins of banking
panics, models, facts, and bank regulation, in Glenn Hubbard,
ed.: Financial Markets and Financial Crisis (University of
Chicago Press, Chicago, Ill.).
Campbell, T. S., Y. S. Chan, and A.M. Marino (1992), An
incentive-based theory of bank regulation.Journal of
Financial Intermediation 2：255-76.
Chan, Y., S. Greenbaum, and A. Thakor (1992), Is fairly priced
deposit insurance possible? Journal of Finance 4：227-45.
Chari, V.V., and R. Jagannathan (1988), Banking panics,
information, and rational expectations equilibrium, Journal
of Finance 43：749-60.
Chen, Y. (1999), Banking Panic：The role of the first-come,
first-served rule and information Externalities, The Journal
of Political Economy, 107（5）：946-68.
Cooper R., and T. W. Ross (1991), Bank runs: iquidity and
incentives, NBER Working Paper No.3921, National Bureau of
Economic Research.
Diamond, D., and P. Dybvig (1983), “Bank runs, deposit
insurance, and liquidity”, Journal of Political Economy 105：
928-56.
Freixas, X., B. Parigi and J. C. Rochet (1998), Lender of last
resort policy: a theoretical foundation, unpublished
manuscript, Universities Pompeu Fabra, Toulouse and Venice.
Furlong, F. T., and M. C. Keeley (1989), Capital requirement
and banking risk-taking：a note.Journal of Banking and
Finance 13(6)：883-91.
Gorton, G. (1985), Bank suspension of convertibility, Journal
of Monetary Economics 15, 177-193.
Gorton, G. (1988), Banking panics and business cycles. Oxford
Economic Papers 40.
Hellwig, M. (1995), Systemic aspects of risk management in
banking and finance. Swiss Journal of Economics and
Statistics 131(4/2)：723-37.
Herring, R. and P. Vankudre (1987), Growth opportunities and
risk-taking by financial intermediaries, The Journal of
Finance 42(3)：583-99.
Humphrey T. (1986), The Classical Concept of the Lender of Last
Resort in Essays on Inflation, 5th ed., edited by T.
Humphrey, Richmond, Va, Federal Reserve Bank of Richmond.
Jacklin, C. J. and S. Bhattacharya, (1988), Distinguishing
panics and information-based bank runs:welfare and policy
implications, Journal of Political Economy 96：568-92.
Kahane, Y. (1977), Capital adequacy and the regulation of
financial intermediaries. Journal of Banking and Finance 1
(2)：207-17.
Kandori, M., G. J. Mailath and R. Rafael (1993), Learning,
mutation, and long run equilibrium in games. Econometrica 61
(1)：29-56.
Klein, M. (1971), A theory of the banking firm. Journal of
Money, Credit, and Banking 3：205-18.
Koehn, M. and A. Santomero (1980), Regulation of bank capital
and portfolio risk. Journal of Finance 35(5)：1235-44.
Merton, R. C. (1977), An analytic derivation of the cost of
deposit insurance and loan guarantees. Journal of banking and
finance 1(1)：3-11.
Mishkin F. (1995), Comments on systemic risk, in G. Kaufman ed.
Banking Financial Markets and Systemic Risk, Research in
Financial Services, Private and Public Policy, Vol. 7,Hampton,
JAI press Inc.
Ringbom S., O. Shy, and R. Stenbacka (2004), Optimal liquidity
management and bail-out policy in the banking industry.
Journal of Banking and Finance 28(6)：1319-35.
Robert, A., (1984), The evolution of cooperation, New York.
Rochet, J. C. (1992), Capital requirement and the behavior of
commercial banks. European Economic Review 36：1137-78.
Rochet , J. C., and J. Tirole. (1996), Interbank lending and
systemic risk. Journal of Money, Credit and Banking 28(4)：
733-62.
Samuelson, L.(1997), Evolutionary games and equilibrium
selection, Cambridge, Mass.：MIT Press,
Santomero and Hoffman (1998), Problem Bank Resolution:
Evaluating the Options, D.P 98-05, Financial Institutions
Center, The Wharton School, University of Pennsylvania.
Schaffer, M. E. (1988), Evolutionarily stable strategies for a
finite population and a variable contest size. Journal of
Theoretical Biology 132：469-78.
Schwartz, A. (1995), Systemic Risk and the Macroeconomy, in G.
Kaufman ed. Banking Financial Markets and Systemic Risk,
Research in Financial Services, Private and Public Policy,
Vol. 7, Hampton, JAI press Inc.
Sharpe, W. (1964), Capital asset prices：A theory of market
equilibrium under condition s of risk. Journal of Finance 19：
425-42.
Smith, J., M., and G. R. Price (1973), The logic of animal
conflict. Nature 246：15-18.
Smith, J., M., (1982), Evolution and the theory of games.
Cambridge University Press, Cambridge.
Staub, M. (1998), Inter-banken-kredite und systemisches risiko.
Swiss Journal of Economics and Statistics 134(2)：193-230.
Tanaka, Y. (2000), A finite population ESS and a long run
equilibrium in an n players coordination game. Mathematical
Social Sciences 39：195-206.
Temzelides, T. (1997), Evolution, coordination, and banking
panics. Journal of monetary economics 40：163-83.
描述 碩士
國立政治大學
經濟研究所
91258029
92
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0091258029
資料類型 thesis
dc.contributor.advisor 何靜□zh_TW
dc.contributor.author (Authors) 張珮宸zh_TW
dc.creator (作者) 張珮宸zh_TW
dc.date (日期) 2003en_US
dc.date.accessioned 18-Sep-2009 15:55:56 (UTC+8)-
dc.date.available 18-Sep-2009 15:55:56 (UTC+8)-
dc.date.issued (上傳時間) 18-Sep-2009 15:55:56 (UTC+8)-
dc.identifier (Other Identifiers) G0091258029en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/35752-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟研究所zh_TW
dc.description (描述) 91258029zh_TW
dc.description (描述) 92zh_TW
dc.description.abstract (摘要) 本文主要探討存戶決策對銀行投資組合決策之影響，及其可能引發之系統性風險的程度。以代表性銀行開始分析，假設銀行投資於安全性資產與風險性資產，而存戶依其決策可能會產生兩個均衡同時存在之情形。本文利用演化的力量，發展出以風險性資產報酬率作為均衡選擇之標準：當風險性資產報酬率低於某一水準時，擠兌的均衡會單獨發生。並比較銀行考慮擠兌發生可能性時，其投資組合承擔風險之程度，及可能引發的銀行倒閉機率大小。推廣至二家模型，發現愈多家銀行在作投資決策考慮存戶擠兌之可能性，愈會增加經濟體系中之系統性風險，顯示銀行與存戶之衝突與金融體系之脆弱性。最後討論資本適足性管制與央行最後貸款人角色能否有效降低銀行倒閉機率。zh_TW
dc.description.tableofcontents 第一章 前言•••••••••••••••••••••••••••••••••• 1
第二章 代表性銀行模型•••••••••••••••••••••••• 8
第一節　經濟環境•••••••••••••••••••••••• 8
第二節　存戶與銀行決策•••••••••••••••••• 10
第三節　投資衝擊與存戶決策••••••••••••••• 11
第四節　存戶提款決策•••••••••••••••••••• 12
第五節　比較靜態分析•••••••••••••••••••• 20
第六節　政策分析•••••••••••••••••••••••• 22
第三章 二家銀行模型•••••••••••••••••••••••••• 28
第一節　經濟環境•••••••••••••••••••••••• 28
第二節　存戶與銀行決策•••••••••••••••••• 29
第三節　系統性風險•••••••••••••••••••••• 32
第四章 結論•••••••••••••••••••••••••••••••••• 34
參考文獻 •••••••••••••••••••••••••••••••••••••• 37		zh_TW
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dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0091258029en_US
dc.subject (關鍵詞) 銀行擠兌zh_TW
dc.subject (關鍵詞) 系統性風險zh_TW
dc.subject (關鍵詞) 演化穩定策略zh_TW
dc.subject (關鍵詞) 演化賽局zh_TW
dc.subject (關鍵詞) bank runen_US
dc.subject (關鍵詞) systemic risken_US
dc.subject (關鍵詞) evolutionarily stable strategyen_US
dc.subject (關鍵詞) evolutionary gameen_US
dc.title (題名) 存戶決策、銀行投資決策與系統性風險之分析zh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Acharya, V. (2000), A theory of systemic risk and design ofzh_TW
dc.relation.reference (參考文獻) 　prudential bank regulation, Unabridged version, Workingzh_TW
dc.relation.reference (參考文獻) 　Paper, Stern School of Business, New York University.zh_TW
dc.relation.reference (參考文獻) Barber, J. R., C. Chang, and D. C. Thurston (1996), Bankzh_TW
dc.relation.reference (參考文獻) 　failure, risk, and capital regulation. Journal of Economicszh_TW
dc.relation.reference (參考文獻) 　and Finance 120(3)：13-20.zh_TW
dc.relation.reference (參考文獻) Bencivenga, V. R., and B. D. Smith (1991), Financialzh_TW
dc.relation.reference (參考文獻) intermediation and endogenous growth. Review of Economiczh_TW
dc.relation.reference (參考文獻) Studies 58：195-09.zh_TW
dc.relation.reference (參考文獻) Bryant, J. (1980), A model of reserves, bank runs, and depositzh_TW
dc.relation.reference (參考文獻) insurance, Journal of Banking and Finance 4：335-44.zh_TW
dc.relation.reference (參考文獻) Calomiris, C., and G., Gorton (1991), The origins of bankingzh_TW
dc.relation.reference (參考文獻) panics, models, facts, and bank regulation, in Glenn Hubbard,zh_TW
dc.relation.reference (參考文獻) ed.: Financial Markets and Financial Crisis (University ofzh_TW
dc.relation.reference (參考文獻) Chicago Press, Chicago, Ill.).zh_TW
dc.relation.reference (參考文獻) Campbell, T. S., Y. S. Chan, and A.M. Marino (1992), Anzh_TW
dc.relation.reference (參考文獻) incentive-based theory of bank regulation.Journal ofzh_TW
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dc.relation.reference (參考文獻) Chan, Y., S. Greenbaum, and A. Thakor (1992), Is fairly pricedzh_TW
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dc.relation.reference (參考文獻) Chari, V.V., and R. Jagannathan (1988), Banking panics,zh_TW
dc.relation.reference (參考文獻) information, and rational expectations equilibrium, Journalzh_TW
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dc.relation.reference (參考文獻) Chen, Y. (1999), Banking Panic：The role of the first-come,zh_TW
dc.relation.reference (參考文獻) first-served rule and information Externalities, The Journalzh_TW
dc.relation.reference (參考文獻) of Political Economy, 107（5）：946-68.zh_TW
dc.relation.reference (參考文獻) Cooper R., and T. W. Ross (1991), Bank runs: iquidity andzh_TW
dc.relation.reference (參考文獻) incentives, NBER Working Paper No.3921, National Bureau ofzh_TW
dc.relation.reference (參考文獻) Economic Research.zh_TW
dc.relation.reference (參考文獻) Diamond, D., and P. Dybvig (1983), “Bank runs, depositzh_TW
dc.relation.reference (參考文獻) insurance, and liquidity”, Journal of Political Economy 105：zh_TW
dc.relation.reference (參考文獻) 928-56.zh_TW
dc.relation.reference (參考文獻) Freixas, X., B. Parigi and J. C. Rochet (1998), Lender of lastzh_TW
dc.relation.reference (參考文獻) resort policy: a theoretical foundation, unpublishedzh_TW
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dc.relation.reference (參考文獻) Koehn, M. and A. Santomero (1980), Regulation of bank capitalzh_TW
dc.relation.reference (參考文獻) and portfolio risk. Journal of Finance 35(5)：1235-44.zh_TW
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dc.relation.reference (參考文獻) Rochet , J. C., and J. Tirole. (1996), Interbank lending andzh_TW
dc.relation.reference (參考文獻) systemic risk. Journal of Money, Credit and Banking 28(4)：zh_TW
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dc.relation.reference (參考文獻) Santomero and Hoffman (1998), Problem Bank Resolution:zh_TW
dc.relation.reference (參考文獻) Evaluating the Options, D.P 98-05, Financial Institutionszh_TW
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dc.relation.reference (參考文獻) Schaffer, M. E. (1988), Evolutionarily stable strategies for azh_TW
dc.relation.reference (參考文獻) finite population and a variable contest size. Journal ofzh_TW
dc.relation.reference (參考文獻) Theoretical Biology 132：469-78.zh_TW
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dc.relation.reference (參考文獻) Kaufman ed. Banking Financial Markets and Systemic Risk,zh_TW
dc.relation.reference (參考文獻) Research in Financial Services, Private and Public Policy,zh_TW
dc.relation.reference (參考文獻) Vol. 7, Hampton, JAI press Inc.zh_TW
dc.relation.reference (參考文獻) Sharpe, W. (1964), Capital asset prices：A theory of marketzh_TW
dc.relation.reference (參考文獻) equilibrium under condition s of risk. Journal of Finance 19：zh_TW
dc.relation.reference (參考文獻) 425-42.zh_TW
dc.relation.reference (參考文獻) Smith, J., M., and G. R. Price (1973), The logic of animalzh_TW
dc.relation.reference (參考文獻) conflict. Nature 246：15-18.zh_TW
dc.relation.reference (參考文獻) Smith, J., M., (1982), Evolution and the theory of games.zh_TW
dc.relation.reference (參考文獻) Cambridge University Press, Cambridge.zh_TW
dc.relation.reference (參考文獻) Staub, M. (1998), Inter-banken-kredite und systemisches risiko.zh_TW
dc.relation.reference (參考文獻) Swiss Journal of Economics and Statistics 134(2)：193-230.zh_TW
dc.relation.reference (參考文獻) Tanaka, Y. (2000), A finite population ESS and a long runzh_TW
dc.relation.reference (參考文獻) equilibrium in an n players coordination game. Mathematicalzh_TW
dc.relation.reference (參考文獻) Social Sciences 39：195-206.zh_TW
dc.relation.reference (參考文獻) Temzelides, T. (1997), Evolution, coordination, and bankingzh_TW
dc.relation.reference (參考文獻) panics. Journal of monetary economics 40：163-83.zh_TW