商業銀行與投資銀行之產業競爭均衡分析─兼論金融危機之成因

Credit Market Competition, Efficient Banking, and Causes of Financial Crisis

林詠喬(Yung-Chiao Lin)

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(2007年)

https://doi.org/10.6342/NTU.2007.00565

摘要

首先，本論文從商業銀行可能存在之資產替代問題出發，針對銀行運作與金融風暴之成因提出一關連性理論。當新銀行加入或外國貨幣升值時，既存銀行必須提高存款利率吸引資金以維持生存，均衡時該銀行之負債面額上升，使得銀行有誘因透過改變對融資企業之監督強度，提高銀行自身資產之風險性，其結果卻導致企業倒帳機率與銀行壞帳機率皆因而提升。對於技術相依(各產業報酬呈現高度正相關)的經濟體系而言，急遽提高的存款利率可能導致銀行在均衡時減少監督動作，因此事後許多融資企業同時倒帳之可能性大幅提升，導致銀行體系與證券價格兩方面的崩盤。另一方面，對於技術互補(各產業報酬呈現高度負相關)的經濟體系而言，存款利率的提升卻可能鼓勵商業銀行進行更多的監督動作。
其次，本論文亦針對銀行運作效率提出嶄新見解，並為目前證券承銷商的定價行為與證券發行公司對承銷商之選擇趨勢提供合理解釋。本文考慮銀行三種主要功能：監督、審查與承銷，並得到以下結果：1. 資本市場開放可能使得銀行借貸增加，此預測與Boot and Thakor (2000)所得之結論相反 2. 即使銀行之間提供完全差異化的服務，新銀行之加入仍然可能使監督銀行降低監督意願 3. 當商業銀行得以與投資銀行競爭承銷業務時(此時前者即為綜合銀行)，均衡時小公司與大公司分別傾向以商業銀行與投資銀行購買承銷服務 4. 由綜合銀行承銷之證券相對於由投資銀行承銷者，有更好的品質 5. 品質較高、規模較大的承銷商在證券初次公開發行時，價格低估較嚴重

關鍵字

資本市場競爭均衡 ； 資產替代 ； 銀行監督 ； 計畫審查 ； 承銷 ； 金融風暴 ； 價格低估

並列摘要

This paper develops a theory of banking and financial crisis based on commercial banks' asset substitution problem which may take place when the residual supply of loanable funds facing each bank drops because of entry of new banks or a rise of interest rates in other countries. The latter results in an increase in the deposit rate that commercial banks must offer to households in equilibrium, and given a higher face value of debt, commercial banks would like to raise the riskiness of its loans by altering its monitoring intensity, which may lead to a higher probability of default and bank distress.
For an economy which is technologically narrow in the sense that loan applicants tend to have risky projects yielding highly positively correlated cash flows, a drastic rise in the deposit rate tends to result in less bank monitoring, which raises the likelihood of the event that ex-post many loan applicants default simultaneously, creating a collapse in both the banking system and prices of securities. At the other extreme, where an economy is technologically complementary in the sense that loan applicants' risky projects yield highly negatively correlated cash flows, a rise in the deposit rate may induce commercial banks to monitor more.
Besides the results regarding financial crisis, this paper also derives new insights regarding banking efficiency and provides rationales for the recently documented patterns in underwriters' pricing behavior and issuing firms' choices of underwriters. We consider three major functions of banks, screening, monitoring, and underwriting, and obtain the following results: (i) Unlike in Boot and Thakor (2000), where it is predicted that bank lending shrinks when loan applicants gain access to capital markets, we show that the opposite may actually happen to screening banks. (ii) Even if banks provide totally
differentiated services, entry of new banks may induce monitoring banks to monitor less. (iii) When commercial banks are allowed to compete with investment houses for the underwriting of securities, in equilibrium small firms and large firms tend to be served by respectively commercial banks and investment houses. (iv) The issues underwritten by universal banks tend to have a higher quality than those underwritten by investment houses. (v) When underwriters are different in size, in equilibrium we show that the higher quality underwriters, which are larger in size, have the more severe mispricing problem of underwritten securities.

並列關鍵字

credit market competition ； asset substitution ； bank monitoring ； project screening ； underwriting ； financial crisis ； underpricing ； size effect

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