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題名：銀行間系統風險的研究
作者：蔡永順
作者(外文)：Yung-Shun Tsai
校院名稱：國立雲林科技大學
系所名稱：管理研究所博士班
指導教授：吳榮振
學位類別：博士
出版日期：2009
主題關鍵詞：系統風險；金融不穩定；風險傳染；銀行間市場；金融合併；Systemic Risk；Financial Consolidation；Interbank Market；Financial Instability；Risk Contagion
原始連結：連回原系統網址new window
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銀行發生危機後，風險透過傳染會進一步影響其他金融機構，並可能將風險擴散至其他市場，形成全面性的系統風險。所以本文以台灣銀行業為樣本，從二個方面探討銀行業的風險傳染問題。一、銀行的流動性短缺，可透過銀行間的連結調節，但是也可能藉由連結傳遞風險。因此我們以台灣上市(櫃)銀行為樣本，運用Upper and Worms (2004) 的方法，模擬銀行倒閉的傳染，探討銀行間市場的風險傳染。結果發現：(1)當銀行間市場「連結結構」愈不完全(交互往來連結家數愈少)，則風險傳染愈嚴重。但是，加入中央銀行與所有銀行連結後，有降低風險傳染效果。(2)銀行「損失率」愈大，則風險傳染愈明顯。(3)若銀行間市場的風險傳染上升，則會使金融市場不穩定上升。二、金控的跨業整合會增加資產與業務的分散程度，使合併機構的風險條件改變。因此我們以台灣金控與銀行為例，運用Diebold and Yilmaz (2007)的方法，衡量風險外溢效果，比較金控之間與銀行之間，在不同「風險分散條件」與「金融複雜度」之下的風險傳染效果。結果發現: (1)金控之間的風險傳染大於銀行之間的風險傳染。(2)金融複雜度對風險傳染的影響大於風險分散對風險傳染的影響。(3)金控對市場風險影響大於銀行對市場風險的影響。綜合以上二個方面的結果，政府應該對金融機構，進行嚴格的風險控管，以避免金融危機的發生。
Banking’s crises are important because they raise the costs of intermediation and restrict credit, which in turn restrain the level of activity in the real sector and ultimately can lead to an economy-wide financial crisis. In this paper, we taking Taiwan’s banks as sample, to measuring risk contagion in two ways. First, we adopt Upper and Worms (2004)’s risk contagion simulation method, to investigate the risk contagion between interbank market and financial system. The results show: (A) When the pattern of inter-connectedness between banks is incomplete, each region’s bank is connected with a small number of other regions, the risk contagion effect is more severe. (B) The larger of bank’s loss ratio, the more substantial for bank risk spread to other banks through bank’s linkage. (C) The degree of contagious effects in interbank market is positively related to financial market’s fluctuation. Second, we use the method of Diebold and Yilmaz (2007) to examine the risk diversification effect and financial complex effect for risk contagion. The key findings are as follows. (A)the risk contagion between financial holding companies is larger than the risk contagion between listed banks (B)the financial complex has an larger influence on risk contagion than the risk diversification (C)the financial holding company has an larger influence on market risk than listed banks. Hence, government should monitor the risk of financial institutions to prevent systemic risk.
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