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題名 流動性危機與銀行資本適足率策略探討─以歐債危機為例
Rethinking on Liquidity Shock and Capital Requirement Strategies under European Debt Crisis作者 周均亭
Chun-Ting Chou貢獻者 胡聯國
Len-Kuo Hu
周均亭
Chun-Ting Chou關鍵詞 資本適足率
歐債危機
巴賽爾協定
流動性危機
Capital Requirement
European Sovereign Debt Crisis
The Basel Accord
Liquidity shock日期 2011 上傳時間 1-Mar-2013 09:24:27 (UTC+8) 摘要 銀行資本適足率為確保整個銀行與經濟體系穩定與完善的重要指標之一，而近年來隨著新巴塞爾協定之推行，經濟學家間掀起關於現行資本適足率的適切性的討論。本篇論文以流動性危機、道德風險建構模型，在此基礎下推導出最適資本適足率策略，模型主要論點為資本適足率需根據各國經濟情勢而有所調整，當一國的GDP與利率呈現正向關係時，意味資本適足於經濟成長時緊縮(提高)，而於經濟衰退時放寬(下降)；而當一國GDP與利率呈現負相關時，則資本適足率於經濟成長時放寬(下降)，而於經濟衰退時緊縮(提升)。 在此模型理論基礎下，本篇論文以歐元區十七國之資料來深入探討歐債危機之下資本適足率的策略。實證結果顯示，在2005Q2到2011Q3大部份的國家GDP與利率呈現正向關係，亦即資本適足率與所得之反向循環策略是較適當的，追蹤資料分析更指出貿易程度開放的國家需要相對較嚴格的資本適足率策略，而較傾向實行財政政策之國家需要更寬鬆的資本適足率策略。本篇論文亦對2012年各國應有的資本適足率策略做預測，結果證實歐洲各國應採行資本適足率與所得之正向循環策略，其中，希臘、義大利、西班牙、法國，在經濟衰退之時需要寬鬆的資本適足率策略，但寬鬆(下降)幅度必需有所限制。
Capital requirement serve as an important key for ensuring the stability and effectiveness of the overall economy. As the new Basel Accord has announced, debates over how capital requirement should be implemented, especially in the times of crisis, are heated among economist. In this paper, based on liquidity shock and moral hazard problem, we derive the optimal capital requirement strategies, which depend on general economic condition. We argue that counter-cyclical capital requirement, which adopts looser capital requirement when GDP decreases and increases capital requirement when GDP increases, should be adopted when GDP and interest rate is positively correlated while pro-cyclical capital requirement are appropriate when GDP and interest rate is negatively related. To further characterize the problem under European Debt Crisis, we use 17 countries in Euro Zone to conduct empirical test and panel estimation. We conclude that most countries should adopt counter-cyclical capital requirement during 2005Q2 to 2011Q3. Besides, our panel estimation indicate that countries with more trade openness should adopt more flexible capital requirement policies, while countries who focus more on fiscal policy weight should have larger adjustment on their capital requirement. Finally, our forecast result suggests that in 2012, all the countries in Euro Zone should adopt counter-cyclical capital requirement policies. In particular, Greece, Italy, Spain, Portugal and France should have looser capital requirement compared to other countries. Keywords: Capital Requirement, European Sovereign Debt Crisis, The Basel Accord, Liquidity shock參考文獻 Ayuso, J., Perez, D., & Saurina, J. (2004). Are capital buffers pro-cyclical?: Evidence from Spanish panel data. Journal of Financial Intermediation, 13(2), 249-264.Arghyrou, M. G., & Tsoukalas, J. D. (2011). The Greek Debt Crisis: Likely Causes, Mechanics and Outcomes. The World Economy, 34(2), 173-191.Bayoumi, T. & Vitek, F. (2011). Spillovers from the Euro Area Sovereign Debt Crisis: A Macroeconometric Model Based Analysis. CEPR Discussion Paper no. 8497. Borio, C., & Zhu, H. (2011) Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? Journal of Financial Stability, Forthcoming.Catarineu-Rabell, E, Jackson P & Tsomocos D.P. (2005). Procyclicality and the new Basel Accord – Banks’ choice of loan rating systems. Economic Theory, 26(3): 537-57.Diamond, D. W., & Dybvig, P. H. (1983). Bank Runs, Deposit Insurance, and Liquidity. Journal of Political Economy, 91(3), 401-419.Farhi, E., & Tirole, J. (2012). Collective Moral Hazard, Maturity Mismatch and Systemic Bailouts. American Economic Review, 102(1), 60–93.Heid, F. (2007). The cyclical effects of the Basel II capital requirements. Journal of Banking & Finance, 31(12),3885-3900.Kashyap, A. K., & Stein, J. C. (2004). Cyclical implications of the Basel II capital standards. Federal Reserve Bank of Chicago Economic Perspectives, no 1, 18-31.8Len-Kuo Hu. (2012). Liquidity Shock, Bank Capital Requirement and Economic Cycle. Unpublished Working Paper, National ChengChi University, Taipei. Holmstrom, B., & Tirole, J.(2011). Inside and outside liquidity. Cambridge, MA: The MIT Press.Obstfeld, M. (1996). Models of currency crises with self-fulfilling features. European Economic Review, 40(3-5),1037-1047.Rochet, J. C., & Tirole, J. (1996). Interbank lending and systemic risk. Journal of Money, Credit & Banking, 28(4), 733-762.Reinhart, C. M., & Rogoff, K. S. (2010). From financial crash to debt crisis. National Bureau of Economic Research Working Paper Series, No. 15795.Stolz, S., & Wedow, M. (2011). Banks’ regulatory capital buffer and the business cycle: Evidence for Germany. Journal of Financial Stability, 7(2), 98-110.Zhu, H (2007). Capital regulation and banks’ financial decisions. International Journal of Central Banking, 4(1), 165-211. 描述 碩士
國立政治大學
國際經營與貿易研究所
99351014
100資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099351014 資料類型 thesis dc.contributor.advisor 胡聯國 zh_TW dc.contributor.advisor Len-Kuo Hu en_US dc.contributor.author (Authors) 周均亭 zh_TW dc.contributor.author (Authors) Chun-Ting Chou en_US dc.creator (作者) 周均亭 zh_TW dc.creator (作者) Chun-Ting Chou en_US dc.date (日期) 2011 en_US dc.date.accessioned 1-Mar-2013 09:24:27 (UTC+8) - dc.date.available 1-Mar-2013 09:24:27 (UTC+8) - dc.date.issued (上傳時間) 1-Mar-2013 09:24:27 (UTC+8) - dc.identifier (Other Identifiers) G0099351014 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/57036 - 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) 99351014 zh_TW dc.description (描述) 100 zh_TW dc.description.abstract (摘要) 銀行資本適足率為確保整個銀行與經濟體系穩定與完善的重要指標之一，而近年來隨著新巴塞爾協定之推行，經濟學家間掀起關於現行資本適足率的適切性的討論。本篇論文以流動性危機、道德風險建構模型，在此基礎下推導出最適資本適足率策略，模型主要論點為資本適足率需根據各國經濟情勢而有所調整，當一國的GDP與利率呈現正向關係時，意味資本適足於經濟成長時緊縮(提高)，而於經濟衰退時放寬(下降)；而當一國GDP與利率呈現負相關時，則資本適足率於經濟成長時放寬(下降)，而於經濟衰退時緊縮(提升)。 在此模型理論基礎下，本篇論文以歐元區十七國之資料來深入探討歐債危機之下資本適足率的策略。實證結果顯示，在2005Q2到2011Q3大部份的國家GDP與利率呈現正向關係，亦即資本適足率與所得之反向循環策略是較適當的，追蹤資料分析更指出貿易程度開放的國家需要相對較嚴格的資本適足率策略，而較傾向實行財政政策之國家需要更寬鬆的資本適足率策略。本篇論文亦對2012年各國應有的資本適足率策略做預測，結果證實歐洲各國應採行資本適足率與所得之正向循環策略，其中，希臘、義大利、西班牙、法國，在經濟衰退之時需要寬鬆的資本適足率策略，但寬鬆(下降)幅度必需有所限制。 zh_TW dc.description.abstract (摘要) Capital requirement serve as an important key for ensuring the stability and effectiveness of the overall economy. As the new Basel Accord has announced, debates over how capital requirement should be implemented, especially in the times of crisis, are heated among economist. In this paper, based on liquidity shock and moral hazard problem, we derive the optimal capital requirement strategies, which depend on general economic condition. We argue that counter-cyclical capital requirement, which adopts looser capital requirement when GDP decreases and increases capital requirement when GDP increases, should be adopted when GDP and interest rate is positively correlated while pro-cyclical capital requirement are appropriate when GDP and interest rate is negatively related. To further characterize the problem under European Debt Crisis, we use 17 countries in Euro Zone to conduct empirical test and panel estimation. We conclude that most countries should adopt counter-cyclical capital requirement during 2005Q2 to 2011Q3. Besides, our panel estimation indicate that countries with more trade openness should adopt more flexible capital requirement policies, while countries who focus more on fiscal policy weight should have larger adjustment on their capital requirement. Finally, our forecast result suggests that in 2012, all the countries in Euro Zone should adopt counter-cyclical capital requirement policies. In particular, Greece, Italy, Spain, Portugal and France should have looser capital requirement compared to other countries. Keywords: Capital Requirement, European Sovereign Debt Crisis, The Basel Accord, Liquidity shock en_US dc.description.tableofcontents 摘要 iAbstract ii1. Introduction 11.1 European Sovereign Debt Crisis 11.2 Basel Accord and Capital Requirement 22. Literature Review 53 The Model 103.1 The Set Up 103.2 Loan-Equity Ratio and Bankruptcy Threshold 113.3 Bankruptcy Threshold from Consumer`s Approach 144 Optimal Capital Requirement 174.1 GDP and Interest Rate 174.2 Keynesian Model and the Specific Form 195 The Estimation and Result 225.1 The Data 225.2 Simple Regression 225.3 The Result 25摘要 iAbstract ii1. Introduction 11.1 European Sovereign Debt Crisis 11.2 Basel Accord and Capital Requirement 22. Literature Review 53 The Model 103.1 The Set Up 103.2 Loan-Equity Ratio and Bankruptcy Threshold 113.3 Bankruptcy Threshold from Consumer`s Approach 144 Optimal Capital Requirement 174.1 GDP and Interest Rate 174.2 Keynesian Model and the Specific Form 195 The Estimation and Result 225.1 The Data 225.2 Simple Regression 225.3 The Result 256 Panel Data Estimation 296.1 The Unit Root Test 296.2 Panel Data Analysis 306.3 Forecasting and Future Policy Suggestion 337 Conclusion 36Appendix A: Detail Definition of Variables 38Appendix B: Value of Interest-Rate-to-Income Effect in 17 Euro Zone Country 41Appendix C: Descriptive Analysis of Raw Data 43C.1 GDP . 43C.2 Cumulative Debt Level to GDP ratio 44C.3 Trade Openness (Trade flow/GDP) 46C.4 Monetary and Fiscal Policy: Weight and Effectiveness 48Reference 52 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099351014 en_US dc.subject (關鍵詞) 資本適足率 zh_TW dc.subject (關鍵詞) 歐債危機 zh_TW dc.subject (關鍵詞) 巴賽爾協定 zh_TW dc.subject (關鍵詞) 流動性危機 zh_TW dc.subject (關鍵詞) Capital Requirement en_US dc.subject (關鍵詞) European Sovereign Debt Crisis en_US dc.subject (關鍵詞) The Basel Accord en_US dc.subject (關鍵詞) Liquidity shock en_US dc.title (題名) 流動性危機與銀行資本適足率策略探討─以歐債危機為例 zh_TW dc.title (題名) Rethinking on Liquidity Shock and Capital Requirement Strategies under European Debt Crisis en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Ayuso, J., Perez, D., & Saurina, J. (2004). Are capital buffers pro-cyclical?: Evidence from Spanish panel data. Journal of Financial Intermediation, 13(2), 249-264.Arghyrou, M. G., & Tsoukalas, J. D. (2011). The Greek Debt Crisis: Likely Causes, Mechanics and Outcomes. The World Economy, 34(2), 173-191.Bayoumi, T. & Vitek, F. (2011). Spillovers from the Euro Area Sovereign Debt Crisis: A Macroeconometric Model Based Analysis. CEPR Discussion Paper no. 8497. Borio, C., & Zhu, H. (2011) Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? Journal of Financial Stability, Forthcoming.Catarineu-Rabell, E, Jackson P & Tsomocos D.P. (2005). Procyclicality and the new Basel Accord – Banks’ choice of loan rating systems. Economic Theory, 26(3): 537-57.Diamond, D. W., & Dybvig, P. H. (1983). Bank Runs, Deposit Insurance, and Liquidity. Journal of Political Economy, 91(3), 401-419.Farhi, E., & Tirole, J. (2012). Collective Moral Hazard, Maturity Mismatch and Systemic Bailouts. American Economic Review, 102(1), 60–93.Heid, F. (2007). The cyclical effects of the Basel II capital requirements. Journal of Banking & Finance, 31(12),3885-3900.Kashyap, A. K., & Stein, J. C. (2004). Cyclical implications of the Basel II capital standards. Federal Reserve Bank of Chicago Economic Perspectives, no 1, 18-31.8Len-Kuo Hu. (2012). Liquidity Shock, Bank Capital Requirement and Economic Cycle. Unpublished Working Paper, National ChengChi University, Taipei. Holmstrom, B., & Tirole, J.(2011). Inside and outside liquidity. Cambridge, MA: The MIT Press.Obstfeld, M. (1996). Models of currency crises with self-fulfilling features. European Economic Review, 40(3-5),1037-1047.Rochet, J. C., & Tirole, J. (1996). Interbank lending and systemic risk. Journal of Money, Credit & Banking, 28(4), 733-762.Reinhart, C. M., & Rogoff, K. S. (2010). From financial crash to debt crisis. National Bureau of Economic Research Working Paper Series, No. 15795.Stolz, S., & Wedow, M. (2011). Banks’ regulatory capital buffer and the business cycle: Evidence for Germany. Journal of Financial Stability, 7(2), 98-110.Zhu, H (2007). Capital regulation and banks’ financial decisions. International Journal of Central Banking, 4(1), 165-211. zh_TW
