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題名 資本管制對銀行恐慌傳染現象之有效性探討
The Effectiveness of Capital Requirement in Preventing against Bank Panic and Contagion Phenomenon
作者 湯士俊
Tang, Shih Chun
貢獻者 胡聯國
湯士俊
Tang, Shih Chun
關鍵詞 金融危機傳染效果
資本適足率
銀行緩衝資本
Financial Contagion
Capital Requirement
Bank Buffer
日期 2010
上傳時間 5-Sep-2013 16:50:04 (UTC+8)
摘要 自1997亞洲金融風暴以來，區域性金融危機的傳染現象(Contagion, or Spillover Effect)便受到經濟學界高度重視，其重要性在2008年雷曼兄弟事件所引發的全球性金融海嘯後更加突顯，而相關的資本管制也陸續出籠，其中最引人注目的當屬2010年通過實行的三代巴賽爾條約(Basel III)。本文奠基於Allen and Gale(2000)所提出的銀行同業拆借市場(Interbank Market)模型，配合資本適足率的導入，試圖驗證在資本管制的設定之下，是否能有效預防銀行恐慌與其蔓延現象之發生。其結果證實提高資本適足率後，藉由銀行本身主動的提高緩衝性準備(Buffer)，銀行倒閉的發生機率將顯著降低，換言之，資本適足率管制有效提高了銀行倒閉門檻。同時，本文亦證實資本管制對於銀行同業拆借市場所衍生的傳染現象具有顯著的改善效果。

然而，資本適足率之管制雖具有穩定金融體系的作用，其對存款人消費之緊縮效果卻無可避免會降低其效用。本文在考慮銀行倒閉風險機率後，建立一兩期之社會福利涵數，並利用計算代表性個人(Representative Agent)預期效用極大化條件下的最適資本適足率。在特定參數之下，所得到最適資本適足率為6.375%。我們並且進一步證實，在權益資金報酬率小於長期資產報酬率之下，最適之資本適足率將同步增加，進而使社會福利最大，此符合一般的經濟直覺，同時再次突顯金融體系穩定性對於社會福利的重要性。
The financial contagion phenomenon, or the spillover effect, has become a crucial issue in recent years after the breakout of the financial crises in 2008. To deal with such problem, some regulations such as the capital requirement, has been introduced as a solution. In our paper, we develop a model based on Allen and Gale (2000) to testify whether the introduction of the capital requirement can successfully reduce the risks of bankruptcy and contagion phenomenon for the interbank system when suffering from the regional liquidity shock. We conclude that after the introduction of capital requirement, the bank will voluntarily hold more buffers to lower the bankruptcy risk and reduce the spillover effect. What’s more, we construct an optimal level of the capital requirement that maximize the social welfare utility and depends on the probability of bankruptcy, the percentage of early withdrawals, the relative cost of capital and other parameters. By simulation, we have the optimal capital requirement at 6.375% in our benchmark case, which is a reasonable one compared with the current Basel Accord. Finally, the paper shows that as the cost of capital is getting lower, bank uses more capital which enhances the social welfare significantly in equilibrium, indicating the great importance of financial stability.
參考文獻 Allen, Franklin, & Gale, Douglas. (1998). Optimal Financial Crises. Journal of Finance, 53(4), 1245-1284.

Allen, Franklin, & Gale, Douglas. (2000). Financial contagion. Journal of Political Economy, 108(1), 1.

Amil Dasgupta, “Financial Contagion through Capital Connections: A Model of the Origin and Spread of Bank Panics”, 2004, Journal of the European Economic Association, 2(6), pages 1049-1084.

Adrian Blundell-Wignall and Paul Atkinson, " Think beyond Basel III: Necessary Solution for Capital and Liquidity", 2010, OECD Journal: Financial Market Trends, Volume 2010, Issue 1

Basel Committee on Banking Supervision, "Basel III: A global regulatory framework for more resilient banks and banking systems", 2010, Bank for International Settlements.

Douglas W. Diamond; Philip H. Dybvig, "Bank Runs, Deposit Insurance, and Liquidity", 1983, The Journal of Political Economy, 91(3), page 401-419.

Hellman, Murdock and Stiglitz, “Liberalization, Moral Hazard in Banking, and Prudential Regulation: Are Capital Requirements Enough?”, 2000, The American Economic Review, 90(1), page 147 - 65.

Jean-Charles Rochet, “Why Are there So Many Banking Crises?”, 2007, chapter 8, page 227-259.

Patricia Jackon, “Capital Requirement and the Bank Behavior: The Impact of the Basel Accord”, 1999, Bank of International Settlement, Switzerland.

Rafael Repullo, CEMFI and CEPR, "Capital Requirements, Market Power, and Risk-Taking in Banking", 2002, Journal of Economic Literature.

Sangkyun Park, “The Bank Capital Requirement and Information Asymmetry”, 1994, Federal Reserve Bank of St. Louis.

Xavier Freixas, Jean-Charles Rochet, “Microeconomics of Banking” 2ed, 2000, chapter 9.4, page 319-328.

Viral V. Acharaya and Tanju Yorulmazer, “Information Contagion and Bank Herding”, Journal of Money, Credit, and Banking, 2008, 40(1), page 215-231.

Van den Heuvel, Skander J, "The welfare cost of bank capital requirements," 2008, Journal of Monetary Economics, Elsevier, vol. 55(2), pages 298-320
描述 碩士
國立政治大學
國際經營與貿易研究所
98351011
99
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0098351011
資料類型 thesis
dc.contributor.advisor 胡聯國zh_TW
dc.contributor.author (Authors) 湯士俊zh_TW
dc.contributor.author (Authors) Tang, Shih Chunen_US
dc.creator (作者) 湯士俊zh_TW
dc.creator (作者) Tang, Shih Chunen_US
dc.date (日期) 2010en_US
dc.date.accessioned 5-Sep-2013 16:50:04 (UTC+8)-
dc.date.available 5-Sep-2013 16:50:04 (UTC+8)-
dc.date.issued (上傳時間) 5-Sep-2013 16:50:04 (UTC+8)-
dc.identifier (Other Identifiers) G0098351011en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/60527-
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) 98351011zh_TW
dc.description (描述) 99zh_TW
dc.description.abstract (摘要) 自1997亞洲金融風暴以來，區域性金融危機的傳染現象(Contagion, or Spillover Effect)便受到經濟學界高度重視，其重要性在2008年雷曼兄弟事件所引發的全球性金融海嘯後更加突顯，而相關的資本管制也陸續出籠，其中最引人注目的當屬2010年通過實行的三代巴賽爾條約(Basel III)。本文奠基於Allen and Gale(2000)所提出的銀行同業拆借市場(Interbank Market)模型，配合資本適足率的導入，試圖驗證在資本管制的設定之下，是否能有效預防銀行恐慌與其蔓延現象之發生。其結果證實提高資本適足率後，藉由銀行本身主動的提高緩衝性準備(Buffer)，銀行倒閉的發生機率將顯著降低，換言之，資本適足率管制有效提高了銀行倒閉門檻。同時，本文亦證實資本管制對於銀行同業拆借市場所衍生的傳染現象具有顯著的改善效果。

然而，資本適足率之管制雖具有穩定金融體系的作用，其對存款人消費之緊縮效果卻無可避免會降低其效用。本文在考慮銀行倒閉風險機率後，建立一兩期之社會福利涵數，並利用計算代表性個人(Representative Agent)預期效用極大化條件下的最適資本適足率。在特定參數之下，所得到最適資本適足率為6.375%。我們並且進一步證實，在權益資金報酬率小於長期資產報酬率之下，最適之資本適足率將同步增加，進而使社會福利最大，此符合一般的經濟直覺，同時再次突顯金融體系穩定性對於社會福利的重要性。		zh_TW
dc.description.abstract (摘要) The financial contagion phenomenon, or the spillover effect, has become a crucial issue in recent years after the breakout of the financial crises in 2008. To deal with such problem, some regulations such as the capital requirement, has been introduced as a solution. In our paper, we develop a model based on Allen and Gale (2000) to testify whether the introduction of the capital requirement can successfully reduce the risks of bankruptcy and contagion phenomenon for the interbank system when suffering from the regional liquidity shock. We conclude that after the introduction of capital requirement, the bank will voluntarily hold more buffers to lower the bankruptcy risk and reduce the spillover effect. What’s more, we construct an optimal level of the capital requirement that maximize the social welfare utility and depends on the probability of bankruptcy, the percentage of early withdrawals, the relative cost of capital and other parameters. By simulation, we have the optimal capital requirement at 6.375% in our benchmark case, which is a reasonable one compared with the current Basel Accord. Finally, the paper shows that as the cost of capital is getting lower, bank uses more capital which enhances the social welfare significantly in equilibrium, indicating the great importance of financial stability.en_US
dc.description.tableofcontents 1. INTRODUCTION 1
2. LITERATURE REVIEW 5
3. THE MODEL 11
3.1 LIQUIDITY PREFERENCE 11
3.2 OPTIMAL RISK SHARING 12
3.3 THE INTERBANK MARKET STRUCTURE 16
4. FINANCIAL FRAGILITY 18
4.1 LIQUIDATION VALUE AND BANK BUFFER 19
4.2 BANK RUNS AND CONTAGIONS 22
5. THE SOCIAL WELFARE AND OPTIMAL CAPITAL REQUIREMENT 27
6. CONCLUSION 32
7. APPENDIX 35
APPENDIX A: OPTIMAL RISK SHARING WITH CAPITAL REQUIREMENT 35
APPENDIX B: EFFECTIVENESS OF K TO REDUCE BANKRUPTCY PROBABILIT 36
APPENDIX C: EFFECTIVENESS OF K TO REDUCE SPILLOVER EFFECT 37
APPENDIX D: DERIVATION OF OPTIMAL CAPITAL REQUIREMENT K* 38
8. REFERENCES 41		zh_TW
dc.format.extent 776339 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0098351011en_US
dc.subject (關鍵詞) 金融危機傳染效果zh_TW
dc.subject (關鍵詞) 資本適足率zh_TW
dc.subject (關鍵詞) 銀行緩衝資本zh_TW
dc.subject (關鍵詞) Financial Contagionen_US
dc.subject (關鍵詞) Capital Requirementen_US
dc.subject (關鍵詞) Bank Bufferen_US
dc.title (題名) 資本管制對銀行恐慌傳染現象之有效性探討zh_TW
dc.title (題名) The Effectiveness of Capital Requirement in Preventing against Bank Panic and Contagion Phenomenonen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Allen, Franklin, & Gale, Douglas. (1998). Optimal Financial Crises. Journal of Finance, 53(4), 1245-1284.

Allen, Franklin, & Gale, Douglas. (2000). Financial contagion. Journal of Political Economy, 108(1), 1.

Amil Dasgupta, “Financial Contagion through Capital Connections: A Model of the Origin and Spread of Bank Panics”, 2004, Journal of the European Economic Association, 2(6), pages 1049-1084.

Adrian Blundell-Wignall and Paul Atkinson, " Think beyond Basel III: Necessary Solution for Capital and Liquidity", 2010, OECD Journal: Financial Market Trends, Volume 2010, Issue 1

Basel Committee on Banking Supervision, "Basel III: A global regulatory framework for more resilient banks and banking systems", 2010, Bank for International Settlements.

Douglas W. Diamond; Philip H. Dybvig, "Bank Runs, Deposit Insurance, and Liquidity", 1983, The Journal of Political Economy, 91(3), page 401-419.

Hellman, Murdock and Stiglitz, “Liberalization, Moral Hazard in Banking, and Prudential Regulation: Are Capital Requirements Enough?”, 2000, The American Economic Review, 90(1), page 147 - 65.

Jean-Charles Rochet, “Why Are there So Many Banking Crises?”, 2007, chapter 8, page 227-259.

Patricia Jackon, “Capital Requirement and the Bank Behavior: The Impact of the Basel Accord”, 1999, Bank of International Settlement, Switzerland.

Rafael Repullo, CEMFI and CEPR, "Capital Requirements, Market Power, and Risk-Taking in Banking", 2002, Journal of Economic Literature.

Sangkyun Park, “The Bank Capital Requirement and Information Asymmetry”, 1994, Federal Reserve Bank of St. Louis.

Xavier Freixas, Jean-Charles Rochet, “Microeconomics of Banking” 2ed, 2000, chapter 9.4, page 319-328.

Viral V. Acharaya and Tanju Yorulmazer, “Information Contagion and Bank Herding”, Journal of Money, Credit, and Banking, 2008, 40(1), page 215-231.

Van den Heuvel, Skander J, "The welfare cost of bank capital requirements," 2008, Journal of Monetary Economics, Elsevier, vol. 55(2), pages 298-320		zh_TW