風險趨避偏好、道德危機與金融網路

Risk-Averse Preference, Moral Hazard and Financial Network

廖尹禎(Yin-Chen Liao)

指導教授 ： 莊委桐

國立臺灣大學/社會科學院/經濟學研究所/碩士(2011年)

https://doi.org/10.6342/NTU.2011.02463

摘要

本文主要是考慮由銀行、存戶與投資決策者(例:C.E.O.) 所形成的金融網路。其中銀行乃提供一般民眾得到投資機會的平台，存戶決定是否要存款以及存款的量，投資決策者決定該銀行之投資決策。與先前文獻相同的是，給定存戶嚴格偏好無風險資產，道德危機源自於投資決策者可能會有動機採取風險性的投資行為。然而，本文考慮當投資決策者是以分紅制給薪，存戶不同的風險趨避行為對金融網路的影響。此外，本文考慮所有銀行自有資金量相等的情況時，道德危機的現象是否發生取決於一般民眾的風險趨避的不同。

關鍵字

金融網路 ； 感染 ； 道德危機 ； 風險趨避

並列摘要

We consider a nancial network consisting of depositors with risk-averse preference, banks and the decision maker of the bank (ex: C.E.O.). The depositor decides whether to deposit their endowment or not and the decision maker makes investment decision. Analogue to the former researches, Moral Hazard arises given safe asset always preferred by depositor though the decision maker have incentive to take risky investment. However, we consider the case where decision makers are paid by pro fit sharing and discuss the effect of consumers with di fferent degree risk-averse preference to the entire fi nancial network. In addition, we consider a case where each of the bank are equally capitalized but there may or may not be moral hazard problem
depending on how consumers behave under risk.

並列關鍵字

Contagion ； Financial Network ； Moral Hazard ； Risk Aversion

參考文獻

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[4] Brusco, S. and F. Castiglionesi (2007), `Liquidity Coinsurance, Moral Hazard, and Financial Contagion', Journal of Finance, 62:2275-2302.

[5] Castiglionesi, F. and N. Navarro(2008), `Optimal Fragile Financial Network', working paper, Tilburg University.

[6] Diamond, D. and P. Dybvig (1983), `Bank Runs, Deposit Insurance and Liquidity', Journal of Political Economy, 91:401-419.