銀行的資本要求、證券市場傳染效果與公司投資效率

Bank Capital Requirement, Financial Contagion and Corporate Investment Efficiency

高培儒(Pei-Ru Kao)

指導教授 ： 陳其美

國立臺灣大學/管理學院/財務金融學研究所/碩士(2010年)

https://doi.org/10.6342/NTU.2010.03453

摘要

在這篇論文之中，我探討了證券市場、銀行與公司投資三者之間的關聯。
Santos(2009)研究2008年，次級房貸金融危機時，與銀行借款的公司企業，發現其借款利率上升；並且與受創較深的銀行借款的公司，其借款利率上升的幅度顯著來得高。這也就是說銀行會依據自身的財務狀況(包括資本適足率)，調整其放款行為，而不只看貸款案的利潤與風險；但是難道銀行的行為，不會影響證券市場？
Thakor(1996)發現銀行對公司進行放款時，會使得這家公司的股價有正的異常報酬；並且銀行受到的資本限制越嚴重，異常報酬越大。這也就是說銀行的放款行為以及資本適足率，會影響證券市場上的價格；但是難道證券市場的價格波動沒有影響銀行的經營？
在我這篇論文之中，利用政府對銀行的資本要求，也就是資本適足率，連結了證券市場、銀行與公司投資三者；將這三個領域連結起來探討，是以往文獻沒有做到的。這篇文章的關鍵，也就是資本適足率的存在，使得銀行在放款時，將會考量三個因素；一是貸款案本身的利潤以及風險；二是銀行手中現有資產的風險；三是通過資本適足率的機率，以及無法通過時，政府懲罰的嚴重性。
所以銀行一方面從證券市場來獲取關於現有資產的風險，一方面面對企業客戶的貸款要求，作貸款決定，而這個決定是被部分扭曲的，可能會：
(一)過度保守
(二)承擔過多風險
當證券市場上的價格發生變動時，將會透過銀行的資本適足率，使得原本毫無關連的兩家公司，只因為跟同一家銀行來往，均衡時導致他們的股價不一定也是無關的，可能產生：
(一)正相關
(二)負相關
產生正相關的原因在於，當證券市場的股價上漲後，銀行接下來的放款決策，不效率的或扭曲的可能將因此而被排除；當證券市場的股價下跌後，銀行接下來的放款決策，將會是不效率的或扭曲的。
反之，產生負相關的原因則在於，當證券市場的股價上漲後，銀行接下來的放款決策，將會是不效率的或扭曲的；當證券市場的股價下跌後，銀行接下來的放款決策，不效率的或扭曲的可能將因此而被排除。
銀行的放款決策過度保守，不一定是產生證券市場股價正相關，也可能產生證券市場股價負相關；同樣地，銀行在放款時，承擔過多風險，也不一定是產生證券市場股價正相關，也可能產生證券市場股價負相關。
總而言之，銀行對通過資本適足率產生疑慮時，將會因此改變放款決策，造成證券市場的傳染效果。
以往的文獻，曾經探討過資本適足率如何扭曲銀行的放款行為；也有探討過證券市場的傳染效果。但是沒有探討過，由銀行資本適足率引起的傳染效果。
而這裡的這個傳染效果不僅僅是代表著銀行的貸款決策，因為證券市場股價下跌而趨向保守，也有可能是來自於銀行的道德風險；資本適足率的要求壓迫著銀行，使得銀行只好去壓迫他的放款對象，造成接受貸款的公司反而去進行更高風險的投資。
這樣的傳染效果，也不僅僅指出，證券市場上的傳染效果會使得投資人的投資組合，其分散風險的效果降低；在這裡的證券市場傳染效果，是因為銀行的資本適足率所產生，對公司的融資、營運以及產出造成影響。

關鍵字

銀行 ； 資本適足率 ； 資本要求 ； 道德風險 ； 代理問題 ； 市場微結構 ； 傳染效果 ； 公司投資

並列摘要

In this thesis, I examine the connections of stock market, banking and corporate investment.
Santos(2009) investigates the subprime crisis of 2008. He finds that firms borrowed from bank pay higher interest after the crisis happened. In addition, the increase is higher for those firms that have borrowed from banks which incurred much more losses in the crisis. Ihis implies that bank will change their loan policy accroding to the financial condition, including capital adequate ratio, of bank. However, won't bank's loan policy affect the prices of securities market?
Thakor(1996) finds that bank's decision to grant loan will cause a positive abnormal return of borrower's stock price. Also, this abnormal return will be larger if the bank's capital constrainted is severer. This implies that bank's loan decision and capital adequate ratio will affect the prices of securities market. However, won't the prices change of securities market affect the bank's loan decision?
In this thesis, I connect the stock market, banking and corporate investment by government's capital requirement on bank. Investigating the connections of these three areas is my main contribution.
The key of this thesis, capital adequate ratio, makes bank have to consider three factors when bank makes loan decision. The first one is the return and risk of the loan case. The second one is risk of bank's existing asset portfolio. Third is the possibility of passing capital reqiurement and the incurred government's penality if bank fail to pass.
Therefore, bank will recieve the information about the risk of bank's existing asset portfolio from securities market. Then bank will make its loan decision accroding to the information. However, this decision may be distorted.
(1)Over Conservation
(2)Risk Taking
When the prices in securities market change, it will make the prices of two firm to be correlative through bank's capital adequate ratio even if their cash flows are independent in equilibrium.
(1)positive correlative
(2)negative correlative
The reason for positive correlative is that bank's loan decision will not be distorted after the prices of securities market rise, but will be distorted after the prices fall.
On the contrary, the reason for negative correlative is that bank's loan decision will be distorted after the prices of securities market rise, but will not be distorted after the prices fall.
The overconservative loan decision of bank will not always lead to positive correlation among stock prices in the securities market, it might also lead to the negative correlation in the securities market. Similarly, taking too much risk while making loan decision will also lead to the same effect as the overconservative loan decision.
To sum up, when bank has concern about passing capital requirement, bank will change its loan decision, and this will cause the contagion effect in the securities market.
In the previous, there are many literatures about distorting bank's loan decision by capital requirement and contagion effect in securities market. But, there is no literature about contagion effect in securities market through bank's capital requirement.
This effect not only reduce the diversified-benefit of investor's portfolio in secondery market but also affect the operation of corporates and real outputs in the world.

並列關鍵字

Bank ； Capital Adequate Ratio ； Capital Requirement ； Moral Hazzard ； Market Microstructure ； Contagion Effect ； Corporate Investment

參考文獻

Acharya, V. V., 2003, Is the International Convergence of Capital Adequacy Regulation Desirable ?, Journal of Finance.

Allen, F., 2001, Do Financial InstitutionsMatter ?, Journal of Finance.

Ang, A. and Chen, J., 2002, Asymmetric correlations of equity portfolios, Journal of Financial Economics.

Blum, J. andHellwig, M., 1995, The Macroeconomic Implications of Capital Adequacy Requirements for Banks, European Economic Review.

Blum, J., 1999, Do Capital Adequacy Requirements Reduce Risks in Banking ?, Journal of Banking and Finance.