論 文 摘 要


金融危機與銀行監理的議題涵蓋範圍甚廣，本論文討論的內容主要是針對監理者在面對金融危機及平日的銀行監理，如何決定最適的監理政策，分別從軟預算約束、高階經理報償及股權結構探究銀行治理等三個面向，各選出一個主題，在第三、四、五章中各以單獨一章的篇幅深入探討。惟各章對監理者與銀行極大化其目標函數的策略行為選擇、最適的銀行投資政策與監理政策的決定、及股權監理與銀行治理等議題的討論，均保持各議題的自足性與關聯性。本論文的主要內容摘要如下：

在開放型經濟體系中，金融體系提供流動性服務始終居於中介地位。金融危機時，若有很多銀行陷入無償債能力，則政府不能承諾不去承受或救援它們，監理者便處於軟預算約束下，與銀行進行一場策略選擇的賽局。本論文延續過去對金融危機與軟預算約束理論的研究，以不完全信息賽局模型假定：監理者的目標，一方面，要在最低成本下維持社會流動性而對受困銀行提供救援，避免危機擴大，同時要防止銀行的道德風險；另一方面，銀行為維持其高能類型的聲譽，會對監理政策作出策略選擇的反應，在衡量隱藏逾放會受罰而揭露會損及商譽的得失後，無論選擇隱藏或揭露，惟均盡力避免被政府承受而退出金融市場。
研究結果，發現：(1)金融危機中，監理者會受不同的軟預算約束，且危機愈高，軟預算約束愈大；(2)潛在的金融危機程度可以淨值對可獲得重資本化資金及處理不良資產資金和的比值來衡量，即增資與收回資金愈大，則比值愈小，則潛在的危機愈小；(3)危機升高時，若救援成本大於介入成本，政府會採取介入或承受的監理政策；反之，若受「太多不能倒」的軟預算約束則會採取救援的政策; 若當貝斯均衡的監理成本對危機是遞增的，則隨機選擇的模糊策略可消除對軟預算約束的預期是最適的監理策略；(4)金融危機中，若銀行的道德風險升高時，則危機也會升高；反之，則會降低。
當金融機構已邁入控股-綜合銀行的經營時代，銀行固可透過提供整合性的金融產品和服務而提升其經營效率，惟其組織也將日趨龐大，則隱藏的道德危機也相對地加重。若其規模過大，當危機發生而喪失償債能力時，監理者也將面臨「太大不能倒」的軟預算約束。是故，監理者面對的挑戰也將日益艱鉅。
當前監理政策仍仰賴兩大監理主軸─風險存保計費與資本適足監理。給定銀行的道德風險之下，監理者(局外人)難以評估銀行放款與複離的金融衍生性投資組合的風險，因此，實務上似乎可行的風險存保費制，仍有不足以控制道德風險的侷限。本論文延續並擴大過去公平存保計費模式中納入銀行經理報償的監理理論的研究，假定：在控股-綜合銀行多部門-兩期經營模型下，若引進高階代理者報償結構，股東對監理者揭露各部門不同的高階代理者的報償模式，等於預先承諾極大化其股東權益和經理的報償，使其報償的誘因一致。
研究結果，證明：(1)若存保費制不能公平反映銀行的風險承擔，綜合銀行部門間有監理套利的誘因；且會提高其整體的風險。(2)給定銀行部高階經理契約為{固定薪水,分紅,分股}，證券部則為{固定薪水,減薪,分股}，且資本化要求為存款及債券負債槓桿(資本化要求)均需大於投資投資最低報酬結果，則可實現經理報償契約；若分紅與減薪大於零，分股小於1，則因有分股的誘因，則經理利益與股東利益完全一致，則會採取風險較小且均更接近帕烈圖最適的投資政策，隱含道德風險減輕。(3)給定在公平存保計費及存款及債券負債槓桿(資本化要求)均需大於投資最低報酬結果下，最適高階經理報償結構，能內化各部門的道德風險成本；當道德風險升高，若提高分紅或減薪且降低分股，並維持最適且部門-均衡的關係結構，則能消弭因道德風險而扭曲投資政策的成本。

公營銀行、半民營銀行不論在資本規模或業務份額方面均仍佔有重要地位。惟其經營效率除受公營制度性誘發的無效率外，半民營銀行也受股權偏離的影響，績效也不彰；而股權偏離是可能造成利益輸送事件的誘因。本論文針對過去對公營銀行經營績效及股權結構對銀行治理等議題的實證研究，提出「高階代理者的報償模型」分析，假定：公營銀行給定道德風險之下，銀行採取一個資本化水準資本化要求大於投資最低報酬結果，其董監事與高階經理報償契約分別為董監事的{固定薪水,減薪,分股}及高階經理的{固定薪水,分紅,分股}，則可行的投資政策分別為[董監理事投資政策,高階經理投資政策]。
研究結果，證明：(1)若公營銀行的高階代理者的分股{董監事分股,偏階經理分股}大於0,{董監事減薪、高階經理分紅}大於0時，公營銀行高階代理者將採取一項投資政策，會比無分股時較有追求利潤而承擔更大風險的誘因，因而會提升其經營績效。(2)當公營銀行的股東(政府)、領導董監事與高階經理三者間對資本化水準資本化大於投資最低報酬結果的績效標準要求之下而達成共識時，則最適的董監事減薪、經理分紅與分股，可使高階代理者選擇最適的投資政策，將有助於消弭道德風險並提升其經營績效。(3)當高階代理者的報償模式引進半民營銀行的經營模型中，也獲得相同的結果。
另假定：在資訊不對稱及投資政策資本化水準資本化大於投資最低報酬要求的績效標準之下,當控制型股東有股權偏離情形而存在利益輸送的誘因時，會扭曲投資決策，可能發生銀行重大的道德風險成本。
研究結果，證明：(4)當銀行當權股東有股權偏離時,會存在利益輸送的誘因；股權偏離愈大，則誘因愈強；(5)當銀行有利益輸送的誘因，雖圖利事件未發生，惟其投資政策仍會受扭曲而偏離最適的投資決策，因而，影響其經營績效。

Abstract


This dissertation explores two interrelated aspects of banking crises and bank regulations in perspective of regulator’s soft budget constraints (SBCs in brief) and bank top management compensation.

First, this paper models, in a game of incomplete information, bank behavior during banking crises when asymmetric information exists between regulators and banks. Here, I show that the situation creates the incentives for banks to roll over their defaulting loans to disguise their financial statements. Although a prudential regulator may mitigate this incentive by offering a “slack” rescue packages, the bank’s reputational concern may cause them to reject rescue offers. In this instance, regulators may be forced to offer amounts of recapitalization that will meet the amount necessary to restore banks to solvency. Otherwise, banks may have to gamble for resurrection, or wait until the banking crises become severe, and then more banks become insolvent, regulators have to offer optimal rescue packages subject to SBCs.

New findings include (1) During banking crises, the optimal regulatory policies, on the one hand, may cause regulators have to offer rescue or bailout packages subject to different SBCs, on the other hand, mitigate banker’s moral hazard. The more severe the crises will be, the greater soft budget constrained to regulators. (2) The potential severity of banking crises can be measured by the ratios, getting from net worth over the total amount of recapitalization offered by regulators and recovered from nonperforming loans. (3) As banking crises become severe, the cost of rescue becomes larger than that of bailout, the best regulatory policy is to intervene; On the contrary, if a situation labeled “ too-many-to-fail” arises, the regulators may offer to rescue distressed banks subject to SBC. (4)As Bayesian equilibrium cost of regulator in crises is increasing, a random creative ambiguity for regulators to offer bailout or rescue plans may be the optimal policy to mitigate the expectation of SBC for banks .

Second, this paper also shows that in the circumstances of universal banking or bank holding company, concentrating bank regulation on bank capital ratios and risk-based deposit insurance may be ineffective in controlling banker’s risk-taking and moral hazard. Here, this paper follows, a more direct mechanism of influencing bank risk-taking incentives, in which the insurance premium scheme incorporate features of top management compensation. In a model of universal banking with two-periods and three-subsidiaries or departments, bank owner pre-commits to regulators to pick an optimal management compensation structure that induces the first-best value-maximizing investment choices by a bank’s management.

Findings include (1) If insurance premium is not fairly priced, the incentives are created for banks to have a “regulatory arbitrage” by segregating its nonperforming assets from the investment bank, and shift it to the commercial bank, that increases the deposit-insurer an additional risk liability, and aggravates the risk-shifting within the universal bank; and vice versa. (2) Given management contracts{ fixed salary, a bonus paid, a fraction of equity of the bank} and { fixed salary, a penalty , a fraction of equity}for bank and security investment department respectively ; and a capitalization level corresponding must exceed the lower risky investment outcome , here bonus paid larger than 0, a penalty larger than 0, a fraction of equity between 0 and 1, then the investment policies implemented by managers, is less risky than when manger’s interests are fully aligned with the equity interests. (3) Given a fairly priced insurance premium, and capitalization level corresponding must exceed the lower risky investment outcome, then the optimal management compensation structure can internalize the cost of moral hazard and induce the Pareto-optimal and department-equilibrium investment policies, thus mitigate moral hazard under universal banking.

Finally, the state-owned and half-state-owned banks have experienced the institution-induced ineffectiveness; and the latter suffer from poor business performance level, partially because of the issues of ownership structure. This paper shows the investment policy with moral hazard under these banks incorporated with optimal compensation structures, and given capitalization level corresponding must exceed the lower risky investment outcome, then the optimal policies induced, that will improve their business performance level.

This paper also shows that as the controlling shareholders have power over banks in excess of their cash flow rights, the incentives will be created for them to expropriate the minority shareholders. And, when the incentives for expropriation exists, the investment policy will be distorted with the managerial bias induced by their private benefits, and deteriorate morale of the banks. The regulatory mandatory requirements of one-share-one-vote principle may be proposed, instead.

目 錄
內 容 頁次

第一章 緒論……………………………………………………………1
第一節 研究動機與研究目的 …………………………………1
第二節 研究方法與研究架構 …………………………………5
第三節 研究限制 ………………………………………………7

第二章 文獻回顧……………………………………………………9
第一節 軟預算約束與金融危機理論 …………………………9
第二節 銀行高階經理報償與銀行監理理論…………………20
第三節 股權結構、高階經理報償與銀行治理………………32

第三章 軟預算約束、銀行危機與金融監理 ……………………37
第一節 前言 …………………………………………………37
第二節 金融危機、軟預算約束與賽局環境假設 …………38
第三節 賽局模型建構與分析 ………………………………46
第四節 精煉貝斯均衡策略分析………………………………55
第五節 監理政策與管理意涵 ………………………………71

第四章 銀行監理、經理報償與最適投資決策 …………………73
第一節 前言……………………………………………………73
第二節 綜合銀行投資決策與監理設計 ……………………74
第三節 綜合銀行經營模型 …………………………………77
第四節 綜合銀行投資決策與監理套利誘因 ………………81
第五節 綜合銀行高階經理報償結構分析……………………91
第六節 結論 ………………………………………………101

第五章 股權結構、高階經理報償與銀行治理 ………………103
第一節 前言 …………………………………………………103
第二節 銀行經營績效之比較 ………………………………104
第三節 股權結構與投資決策模型 …………………………106
第四節 股權分配、高階經理報償與經營績效 ……………113
第五節 半民營銀行高階報償與利益輸送 …………………116
第六節 股權結構與銀行治理 ………………………………119
第七節 股權偏離與利益輸送模型 …………………………122
第八節 結論 …………………………………………………133

第六章 結論與建議 ……………………………………………135

參考文獻 ……………………………………………………………143
附表 …………………………………………………………………154


表目錄
頁次
表2.1 軟預算理論重要文獻定位分類彙整表……………………..20
表2.2 對治風險移轉誘因與銀行監理理論定位分類表…………..31
表3.1 金融危機狀態與銀行能力屬型組合………………………..40
表4.1 中央存款保險公司存款風險費率一覽表 ………………..154
表5.1 金融機構分類一覽表 ……………………………………..154
表5.2 公營銀行民營化股權比率及民營化時間…………………155
表5.3 公營銀行營運概況 ………………………………………..156
表5.4 公營銀行與本國銀行比較 ………………………………..157

圖目錄

頁次
圖1.1 本論文研究架構………………………………………………7
圖3.1 監理者與銀行賽局時程……………………………………..49
圖3.2 金融危機中銀行與監理賽局模型…………………………..53
圖4.1 銀行監理、銀行經營二期時程圖…………………………..78
圖4.2 銀行部最終現金流量與高階經理償付……………………..92
圖4.3 證券投資部最終現金流量與高階經理償付………………..93

參考文獻

一、中文部分

(一)論著部分

丁碧慧、吳壽山、尹賢瑜、吳欽杉 (2000)，「存款保險與風險性資產導向資本管制」，存款保險季刊，第十三卷 第四期，頁31-50。
沈中華、吳孟紋 (2002)，「銀行治理、銀行失敗與銀行績效：以台灣為例」，亞太經濟管理評論，第六卷 第一期，頁27-46。
沈中華、張雲翔 (2002)，「金融機構跨業經營及轉投資之利潤與風險：全球實證分析」，經濟論文，30:3，頁275-310。
何憲章、邱顯比、葉銀華 (1994)，「股權結構與利益輸送之理論模型」，台大管理論叢，5(2)，頁1-22。
林維義 (2000)，「金融預警制度之建立對強化金融監理與存保機制功能之探討」，存款保險資訊季刊，第13卷第3期，頁1-31。
林維義 (2003)，「金融控股公司監理機制之探討」，存款保險資訊季刊，第16卷第3期，頁14-57。
翁永和、羅鈺珊、劉碧珍 (2003)，「市場結構與最適民營化政策」，經濟論文，31:2，頁149-169。
陳錦村、黃佩鈴 (2001)，「從股權結構與核心代理觀點評析公營銀行民營化的實際成效」，公營事業評論，第二卷 第三期，頁69-89。
陳勝源 (2000)，「從代理理論觀點檢視存款保險制度」，國家科學委員會研究彙刊：人文及社會科學，第十卷 第一期，頁127-141.
張清溪、徐敏鐘 (2002)，「台灣公營事業的民營化與半民營化」，金融投資與經濟發展─紀念梁國樹教授第六屆學術研討會論文集，頁89-112。
張維迎著，劉楚俊編校 (1999)，賽局理論與信息經濟，五南圖書出版公司。
許振明、劉完淳(2000)，「台灣銀行業的成長績效評比」，第五屆梁國樹紀念暨當代貨幣金融研討會文集。
許振明、劉完淳 (2002)，「近兩年我國銀行的財務績效評估」，存款保險季刊，第十六卷 第一期，頁28-43。
許振明、唐正儀 (2002)，「公營銀行民營化問題」，國政研究報告，財金(研)091-066號。
詹錦宏、曾勤峰 (2000)，「存款保險費率與銀行經營行為關係之研究」,存款保險季刊，第十四卷 第一期，頁80-96。
劉楚俊、張慶明 (1997)，「金融機構擠兌行為的賽局理論模型」，經社法制論叢，第19期，頁155-175。
蔡進財 (2001),「存款保險機構如何因應金融控制公司之成立」，存款保險季刊，第十四卷 第四期，頁1-6。

(二)重要金融改革及有關法規部分

信託業法 (2000.7.19公布)：健全信託業的經營與發展，保障委託人及受益人的權益
修正銀行法 (2000.11.1公布)：提高銀行經營效能，放寬銀行業務範圍，要求銀行強化公司治理
金融機構合併法 (2000.12.13公布)：提升金融機經營績效及競爭力
金融控股公司法 (2001.7.9公布)：發揮金融機構綜合經營效益

票券金融管理法 (2001.7.9公布)：強化票券金融的監督管理，促進貨幣市場的健全發展
金融重建基金設置及管理條例 (2001.7.9公布)：處理經營不善金融機構，穩定金融信用秩序，改善金融體質
金融資產證券化條例 (2002.7.24公布)：透過證券化提高金融資產的流動性，推動金融資產證券化
不動產證券化條例 (2003.7.23公布)
金融監督管理委員會組織法 (2003.7.23公布)
農業金融法 (2003.7.23公布)


二、英文部分

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Allen,Linda and Jagtiani,Julapa.(2000).“The Risk Effects of Combining Banking,Securities, and Insurance Activities”.Journal of Economics and Business,52,pp.485-497.
Allen,L.and Saunders,A.(1993).“Forbearance and Valuation of Deposit Insurance as a Callable Put”.Journal of Banking and Finance, 17, pp.629-643.
Bai,Chong-en and Wang,Yijiamg (1999).“The Myth of the East Asian Miracle: The Macroeconomic implications of Soft Budgets”.American Economic Review,May,1999.
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