次順位債券與間接金融監督

Subordinated Debt and Indirect Market Discipline

汪志勇(Chih-Yung Wang) ； 劉維琪(Victor W. Liu)

《風險管理學報》 5卷3期 (2003/11) Pp. 411-427

https://doi.org/10.30003/JRM.200311.0011

摘要

本研究建立一個有關銀行信用風險的逆選擇模型，探討銀行發行次順位債券的決策。結果顯示信用風險較低的銀行，其發行次順位債券的機率較高。因為在其發行後，債券市場反應的次順位債券孳息較低，一般存款戶依據較低的債券孳息，推論其為信用風險較低的銀行，便接受較低的存款利率。銀行便可降低其營運成本。因此研究模型說明發行次順位債券具間接金融監督效果。

關鍵字

次順位債券 ； 間接金融監督

並列摘要

Based on the banks' credit risks, we have built an adverse selection model to examine banks' policies when issuing subordinated debts. The result shows that banks with lower credit risks are more likely to issue subordinated debts, since after the issuance, the yields of these debts are lower. When depositors observe the lower yields of the subordinated debts, they would presume that these banks have lower credit risks. As a result, banks with lower credit risks can decrease their operational costs by issuing subordinated debts. This model has demonstrated that the market can discipline banks indirectly through the issuance of subordinated debts.

並列關鍵字

Subordinated Debts ； Indirect Market Discipline

參考文獻

存款保險條例

行政院金融重建基金設置及管理條例

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銀行發行金融債券辦法

Benston, G.,R. Eisenbeis, P.H.,Kane, E.,G. Kaufman(1986).Perspectives Safe and Sound Banking, Past, Present and Future.Cambridge:MIT Press.