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  • 學位論文

同業存款與金融傳染

Interbank Deposit and Financial Contagion

指導教授 : 袁國芝

摘要


本篇文章延續Allen和Gale(2000)的模型,去討論同業存款與金融傳染之間的關係。本文提出了一個新的觀點去解釋同業存款與金融傳染之間的關係。第一,在均衡模型下,在原先Allen和Gale(2000)文章中對於同業存款決定的過程及原因並無詳細說明,在本文我們試著以賽局的方式去說明同業存款的決定過程。我們說明了同業存款選擇值應該是可以存在一個最適的選擇值,而非他們的文章中提到的最小風險分擔值。除此之外,我們也說明同業存款在他們的模型中是被低估的。真實的同業存款選擇值應該大於他們的模型中的選擇值。所以在新的同業存款選擇值下,金融傳染的外溢效果也大於他們的文章中的說明。第二,在非均衡模型下,我們探討當一家銀行發生風險估計錯誤時,該金融體系將會受到何種影響。在本文中,我們定義風險估計錯誤是代表該銀行高估了早期消費者的提領機率,因此該銀行存了過多的同業存款在其他銀行。首先,當銀行發生風險估計錯誤時,該銀行就一定會面臨違約(insolvent)。然而如果風險估計錯誤值夠大的話,該銀行就將面臨破產(bankrupt)。一旦該銀行面臨破產,該銀行產生的損失,將透過同業存款的途徑去傳染給其他合作銀行,我們稱此為外溢效果。當外溢效果很小的時候,只會導致其他銀行發生違約;但是當外溢效果很大的時候,就會導致其他銀行發生破產。除此之外,當該銀行發生風險估計錯誤發生損失時,其他銀行卻可能有多餘的存款,可以去進行長期投資賺取正的利潤。所以當某銀行發生風險估計錯誤時,其他銀行將有可能賺取利潤或者蒙受損失。

並列摘要


This article continues the model of Allen and Gale (2000) to discuss the relationship between interbank deposits and financial contagion. This paper presents a new perspective to explain the relationship between interbank deposits and financial contagion. First, in the equilibrium model, in the original article of Allen and Gale (2000), they do not detailed discuss the reasons for interbank deposits decision-making process. However, in this paper, we attempt to explain the decision process of interbank deposits by using game theory. We suggest that the value of interbank deposits should be able to exist an optimal choice, not mentioned in their article, the minimum risk-sharing value. In addition, we also show that the interbank deposits in their model are underestimated. The real interbank deposits selection should be greater than the value of choice in their model. Once selecting a new interbank deposits value, the spillover effects of financial contagion will significantly be enlarger than that in their article. Second, in non-equilibrium model, we explore what will the financial system change once a bank having a risk estimation error. In this article, we define the risk estimation error as that the bank overestimated the withdraw probability of early consumers and they deposit excessive interbank deposits at other banks. First, once a bank having a risk estimation error, the bank will be insolvent. However, if the error value is too large, the bank will be bankrupt. Once the bank is bankrupt, these losses will be spread to other cooperative banks through the interbank deposits (spillover effects). When the spillover effect is small, it will only lead other banks to be insolvent; but when the spillover effect is big, it will lead other banks to be bankrupt. In addition, when a bank having a risk estimation error, other banks may have excess deposits to invest the long-term investments and they can earn positive profits. So once a bank having a risk estimation error, other banks will likely earn profits or suffer losses.

參考文獻


Allen F., Carletti E. and Gale, D. (2009) “Interbank Market Liquidity and Central Bank Intervention,” Journal of Monetary Economics 56, 639–652.
Allen, F. and Gale, D. (1998). “Optimal Financial Crises,” Journal of Finance 53, 1245-1284.
Allen, F. and Gale, D. (2000). “Financial Contagion,” Journal of Political Economy 108, 1-33.
Allen, F. and Gale, D. (2004). “Competition and Financial Stability,” Journal of Money, Credit, and Banking 36, 453-480.
Bae K.H., Karolyi, G.A. and Stulz, R.M. (2003) “A New Approach to Measuring Financial Contagion,” Review of Financial studies 16, 717-763.

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