流動性衝擊、銀行風險、與放款市場競爭

LIQUIDITY SHOCKS, BANK RISKS, AND CREDIT MARKET COMPETITION

曾秉倫(Ping-Lun Tseng) ； 郭文忠(Wen-Chung Guo)

《經濟論文》 47卷3期 (2019/09) Pp. 339-394

摘要

本研究企圖建立一銀行風險模型，考慮銀行具備事後監督技術與存款融資下，探討銀行的流動性風險與信用風險之關係。結果顯示此兩項風險之關係取決於流動性衝擊之發生機率：若流動性衝擊機率低，銀行只投資長期風險性計畫案，此時銀行的流動性風險與信用風險呈現正向關係；若流動性衝擊機率高，銀行則傾向投資風險性計畫案並持有足夠的流動性準備，此時銀行的流動風險與信用風險兩者不具相關性。放款市場競爭與存款利率上升均提高銀行的流動性風險性與信用風險。若考慮法規強制銀行持有自有資本，提高資本適足法規將降低銀行的流動性風險與信用風險。本研究亦延伸模型架構討論存款保險、聯邦基金市場、存款準備率、及存款市場不完全競爭等影響。

關鍵字

流動性衝擊 ； 流動性風險 ； 事後監督 ； 信用風險 ； 放款市場競爭

並列摘要

We develop a model of bank risk-taking to explore the relationship between bank liquidity risk and credit risk, in which banks receive deposits as funding and may improve the likelihood of success of their long-term risky loans by devoting monitoring efforts. The results show that this relationship depends on the probability of liquidity shock. When the probability of liquidity shock is low, the banks invest only in long-term risky loans, and then the bank liquidity risk and credit risk are positively correlated; however, when the probability is high, they are inclined to hold long-term risky loans and full liquidity reserves, and then the bank liquidity risk and credit risk are uncorrelated. Moreover, more loan market competition and higher deposit rates increase both bank liquidity risk and credit risk. Both the bank liquidity risk and credit risk are decreasing in adequate capital requirements when imposing capital regulation that requires the banks to use equity capital. We also extend our model to discuss the roles of deposit insurance, the federal funds market, liquidity requirements, and the imperfect deposit market, respectively.

並列關鍵字

Liquidity shock ； Liquidity risk ； Monitoring ； Credit risk ； Credit market competition

參考文獻

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