銀行的放款緊縮決策分析

Cutting Losses or Holding Tight? Firm’s Investment Decision and Bank's Withdrawal Policy

林正峯(Jheng-Fong Lin)

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(2010年)

https://doi.org/10.6342/NTU.2010.10587

摘要

銀行擠兌所導致的金融危機傳染在近來的金融網路相關文獻當中被廣泛的討論。然而當金融風暴發生時，政府如何管制銀行對企業緊縮銀根的決策，這方面的問題被探討的較少。本文試圖藉由建構政府、銀行與企業三者在借貸市場的賽局架構，討論政府在景氣與投資環境驟變時介入銀行與企業的借貸關係是否能夠使得社會福利增加。結果發現當政府制定銀行抽銀根的資金折損率越高時，在景氣一般或是較佳的情況下對社會福利沒有影響。但是當投資環境變差，銀行在沒有政府管制的情況會撤回資金以求自保，倘若企業的投資案本身報酬率不算太差時，政府提高資金折損率不僅可以使企業免於銀行濫抽銀根，也可以使得整體社會福利提升。但假使企業的投資案報酬率不佳時，政府若是一味地制定較大的資金折損率以保護企業免於銀行抽銀根，整體社會福利反而會因此而降低。

關鍵字

政府管制 ； 抽銀根 ； 投資決策 ； 社會福利最適 ； 賽局理論

並列摘要

The topics of financial crisis spreading caused by bank runs have been widely discussed in the finance literature. However, how should the government regulate banks’ tightening policies on firms’ investment funds when the financial turmoil occurs? This problem is less referred to so far. We attempt to build a game theoretic model of a loan market between three players: the government, the bank and the firm, in order to discuss the following issue. When recession occurs or the economic environment suddenly turns bad, whether the government regulation in the loan market increases the social welfare. We assume an exogenous variable, discount ratio, which means the ratio the bank would lose when it withdraws funds from the firm, and this ratio is set by government. Our results show that in the case of normal or better economic environments, the level of the discount ratio has no effect on social welfare. When the economy deteriorates, without the government regulation, the bank tends to withdraw their funds to protect themselves. If the return rate of the firm’s investment is good enough, then a sufficiently high level of the discount ratio set by the government will improve social welfare. On the other hand, if the return rate of the firm’s investment is poor, although a high level of the discount ratio could protect the firm from the bank’s withdrawal, the social welfare would decline as government’s regulation mistakenly save a poor investment project that should otherwise be aborted.

並列關鍵字

Regulation ； Lending Crunch ； Investment Decision ； Pareto Optimality ； Game Theory

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