抵押品對銀行風險之影響

The Effects of Collateral on the Risk of Banks

蕭浩彬(Shiau, Hobin Smart)

指導教授 ： 王瑜琳

國立中正大學/管理學院/經濟系國際經濟研究所/碩士(2012年)

摘要

自2007年以來由美國次貸問題所引發的全球性金融危機，至今仍餘波盪漾。探究其根本，我們可發現是由於作為貸款保證之抵押品的不動產價格崩跌所引起。由於抵押品本身未來價值上升之可能性，會驅使銀行為獲利而選擇不監督借款者，這樣的投機心理則造成了銀行本身發生道德危機之問題，反而使銀行的風險上升；如此由於銀行本身發生道德危機所引發之風險問題，是過去所較少討論的。本文以Bester（1985）與Niinimäki（2009）兩篇文章為基礎，討論借貸契約中抵押品作為貸款條件的設置，對銀行之風險所造成的影響。我們發現除了如傳統觀念一般可以降低由於借款者引起之逆向選擇問題的風險，亦會因抵押品價格波動而使銀行自身發生道德危機之問題，反而使銀行的風險上升；而在抵押品性質為外部抵押品或內部抵押品時，對銀行風險之影響亦會有大小不同的效果。

關鍵字

道德危機 ； 逆向選擇 ； 銀行風險 ； 抵押品

並列摘要

The global financial crisis caused by the U.S. subprime mortgage crisis since 2007 is still not over yet. Probing the causes, we will find out that the problem is depreciation of real estates which are the collaterals to secure the loans. The possibility of appreciation to the future value of collaterals makes banks choose not to monitor borrowers to make positive profit, and such of the risky attitudes cause moral hazard happened to the banks, raise the risk of banks. There is few discussions about such issue in the past. This article is based on Bester (1985) and Niinimäki (2009), probing how does collateral for the request of loan contract affects the risk of banks. The results show that besides collateral can solve the adverse selection problem caused by borrowers just like everybody knows, it also leads to moral hazard to banks themself, and raises the risk of banks. We find out that the effects of collateral to the risk of banks are various depend on the type of collateral is outside or inside, too.

並列關鍵字

moral hazard ； adverse selection ； the risk of banks ； collateral

參考文獻

Barro, Robert J. (1976), “The Loan Market, Collateral, and Rates of Interest,” Journal

　　of Money, Credit and Banking, 8(4), 439-456.

Berger, Allen N. and Gregory F. Udell (1990), “Collateral, Loan Quality and Bank Risk,”

　　Journal of Monetary Economics, 25(1), 21-42.

Besanko, David and Anjan V. Thakor (1987), “Collateral and Rationing: Sorting