相机性市场约束与银行风险承担激励  

Contingent Market Discipline and Risk-taking Incentive of Banks

作　　者：许友传[1] 

机构地区：[1]复旦大学金融研究院,上海200433

出　　处：《财经论丛》2010年第4期53-58,共6页Collected Essays on Finance and Economics

基　　金：国家自然科学基金资助项目(70903012);教育部人文社会科学研究基金资助项目(09YJC790045);复旦大学"金苗"基金资助项目(09JM030)

摘　　要：本文研究了不完全隐性保险下债权人相机性的市场约束行动对银行风险承担激励的影响,发现事前静态的市场约束是一种低效率地限制银行风险承担行为的方式,而事中动态的市场约束却能相对有效地限制银行更大的风险承担倾向,但其作用的有效发挥取决于以下两个关键条件:第一,债权人必须是风险厌恶的,且有足够的激励来约束银行更大的风险承担行为;第二,债权人的债权必须是可重定价和可交易的。分析表明广大中小储户不是发挥事中约束的有效主体,而次级债债权人等面临较大银行违约或清偿风险的机构投资者有较大的事中约束激励,但我国银行次级债市场当前的一次性发行、事前定价、以及流动性匮乏等,使之难以发挥对银行更大风险承担行为的动态约束作用。The paper studies the effects of creditors＇ contingent market discipline actions on the risk-taking incentive of banks under the institution of partially implicit insurance. We find that the ex-static market discipline is an inefficient manner to restrict the risk-taking behavior of banks, but the midst dynamic market discipline is more efficient, and its effectiveness is largely depends on the two key conditions. Firstly, creditors must be risk averse, and have enough incentive to restrict the risk-taking behavior of banks. Secondly, the liabilities of banks must be re-pricing and transactional. The analysis shows that majority of middle and small depositors aren＇t effective market disciphne forces, while some institutional investors such as subordinated debtors who are faced with biggist default risk or solvency risk have bigger amidst market discipline incentive, but the characteristics such as one-off issue, liquidity limit et al. make subordinate debtors not effectively play a role of dynamic market disciple for risk-taking behavior of banks in China.

关 键 词：隐性保险 市场约束 风险承担行为 次级债 

分 类 号：F830[经济管理—金融学]