銀行間市場風險傳染與金融不穩定－台灣實證研究

The Risk Contagion of Interbank Market and Financial Instability: An Empirical Study of Taiwan

蔡永順(Yung-Shun Tsai) ； 吳榮振(Roung-Jen Wu)

《台灣金融財務季刊》 8卷4期 (2007/12) Pp. 1-27

摘要

銀行為資金往來仲介，銀行風險會透過傳染影響實質經濟，進而形成全面性的金融不穩定。所以，本文以1997~2004年間台灣上市（櫃）銀行為樣本，運用Upper and Worms (2004)的方法，模擬銀行倒閉的傳染情形，以探討台灣銀行間市場的風險傳染，及其對金融市場不穩定的影響。結果發現：(1)當銀行間市場「連結結構」愈不完全（交互往來連結家數愈少），則風險傳染愈嚴重。但是，加入中央銀行（與所有銀行連結）後，可以降低風險傳染。(2)銀行「損失率」愈大，則風險傳染愈明顯。但是，當損失率小於某一水準時，風險傳染變的不明顯。(3)銀行間市場風險傳染對「銀行產業內」的影響大於對「銀行產業外」的影響。(4)若「銀行間市場」的風險傳染上升，則會使「金融市場」不穩定上升。

關鍵字

風險傳染 ； 金融不穩定 ； 連結結構 ； 損失率

並列摘要

Banking's crises are important because they raise the costs of intermediation and restrict credit, which in turn restrain the level of activity in the real sector and ultimately can lead to an economy-wide financial crisis. In this paper, we taking Taiwan's enlisted banks as sample, adopt Upper and Worms (2004)'s risk contagion simulation method, to investigate the risk contagion between interbank market and financial system. The results show: (1) When the pattern of inter-connectedness between banks is incomplete, each region's bank is connected with a small number of other regions, the risk contagion effect is more severe. But, such risk spillover could be controlled, when central bank cross holdings of deposits with all banks. (2) The larger of bank's loss ratio, the more substantial for bank risk spread to other banks through bank's linkage. (3) The contagious effects within banking industry were more severe than cross industries. (4) The degree of contagious effects in interbank market is positively related to financial market's fluctuation.

並列關鍵字

risk contagion ； financial instability ； linkage structure ； loss ratio

參考文獻

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