系統風險：從眾行為、銀行紓困政策與利率政策

Systemic Risk: Herd Behavior, Bailout Policy, and Interest Rate Policy

李秉恆(Ping-Heng Lee)

指導教授 ： 陳業寧

國立臺灣大學/管理學院/財務金融學研究所/碩士(2011年)

https://doi.org/10.6342/NTU.2011.02136

摘要

本文分析不當的紓困政策加上利率政策如何導致自我實現的系統經濟危機，不當的紓困政策會誘使投資人從眾投資相似的衍生性金融商品並且提高系統風險，如果接受到足夠的紓困資金的話，銀行投資時就不會考慮系統風險所帶來的影響，除此之外，因為降息會使得市場流動性降低，所以會進而促使主管機關對更多的銀行進行紓困，這接著會助長高風險的投資行為。

關鍵字

系統風險 ； 從眾行為 ； 利率政策 ； 紓困政策

並列摘要

I analyze how the improper bailout policy, together with the low-interest rates, can lead to a self-fulfilling systemic banking crisis. An improper bailout policy induces banks to herd by investing in similar financial derivatives and increases exposure to systemic risks in the banking industry. Banks will never take systemic risks into account if they do not suffer much due to the bailout. Moreover, a decrease in interest rates causes the regulator to bail out more banks by decreasing liquidity of the entire market. In turn, this encourages excessive risk-taking by increasing the probability of being bailed out.

並列關鍵字

Systemic Risk ； Herd Behavior ； Bailout Policy ； Interest Rate Policy ； Too-many-to-fail ； financial crisis

參考文獻

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