政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/106399

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113392/144379 (79%)
Visitors : 51228110 Online Users : 867

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Scope

please add "double quotation mark" for query phrases to get precise results

please goto advance search for comprehansive author search

Adv. Search

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

Goto mobile version

政大機構典藏 > 商學院 > 金融學系 > 學位論文 > Item 140.119/106399

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/106399

Title:	系統重要性金融機構及金融脆弱性 : GSV影子銀行模型的應用 Systemically Important Financial Institutions and Financial Fragility：an Application of GSV’s Model of Shadow Banking
Authors:	蔡岳志 Cai, Yue-Jhih
Contributors:	江永裕張興華 Chiang, Yeong-Yuh Chang, Hsing-Hua 蔡岳志 Cai, Yue-Jhih
Keywords:	影子銀行系統重要性金融機構證券化金融脆弱性 Shadow banking system Systemically important financial institutions Securitization Financial fragility
Date:	2016
Issue Date:	2017-02-08 16:35:10 (UTC+8)
Abstract:	2007-2008的金融大海嘯中，影子銀行及系統重要性金融機構(systemically important financial institutions, SIFIs)扮演重要角色。金融機構證券化移轉資產的個別風險，以資產池最低報酬作為擔保品，發行高品質債權證券。隨投資人財富愈多，對安全資產需求愈大，金融機構擴大槓桿及風險資產投資。SIFIs數量少但規模大，相對於其他小型金融機構有較好的投資效率，其投資、證券化及其他業務與經濟體系具有複雜而規模大的關係，具有太大、太複雜以致不能倒的性質。SIFIs透過證券化移轉個別風險，在景氣蕭條及經濟個體普遍忽略尾端風險下，金融體系具有脆弱性。在已經存在SIFIs的金融體系下，金融脆弱性隨SIFIs及其他小型金融機構投資效率差距愈大愈加增強。 The shadow banking system and systemically important financial institutions (SIFIs) play important roles in recent financial crisis. Financial institutions (FIs) securitize risky assets and use the lowest payoffs of the securitized assets as collateral to issue riskless debts. As the demand for riskless assets increases, FIs initiate more risky assets and increase leverage. SIFIs are large and advantageous to invest in risky assets compared to small FIs. The complex connection between SIFIs and economy make them too big or complex to fail. SIFIs transfer idiosyncratic risk and undertake systemic risk via securitization. Financial system is fragile to recession when entities neglect tail risks. In the financial system in which SIFIs exist,the financial fragility is severer when the gap of the investment ability between SIFIs and other small FIs becomes larger.
Reference:	[1] Allen, F., & Gale, D. (2000). Financial contagion. Journal of political economy, 108(1), 1–33. [2] Diamond, D. W., & Dybvig, P. H. (1983). Bank runs, deposit insurance, and liquidity. The journal of political economy, 401–419. [3] Gennaioli, N., Shleifer, A., & Vishny, R. (2012). Neglected risks, financial innovation, and financial fragility. Journal of Financial Economics, 104(3), 452–468. [4] Gennaioli, N., Shleifer, A., & Vishny, R. W. (2013). A model of shadow banking. The Journal of Finance, 68(4), 1331–1363. [5] Gorton, G., & Metrick, A. (2012). Securitized banking and the run on repo. Journal of Financial economics, 104(3), 425–451. [6] Luttrell, D., Rosenblum, H., Thies, J., & others. (2012). Understanding the risks inherent in shadow banking: A primer and practical lessons learned. Staff Papers, (Nov). [7] Minsky, H. P. (1992). The financial instability hypothesis. The Jerome Levy Economics Institute Working Paper, (74). [8] Wilmarth Jr, A. E. (2010). Dodd-Frank Act: A Flawed and Inadequate Response to the Too-Big-to-Fail Problem. Or. L. Rev., 89, 951.
Description:	碩士國立政治大學金融學系 103352021
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G1033520211
Data Type:	thesis
Appears in Collections:	[金融學系] 學位論文

Files in This Item:

File	Size	Format
021101.pdf	1705Kb	Adobe PDF2	257	View/Open

All items in 政大典藏 are protected by copyright, with all rights reserved.

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

DSpace Software Copyright © 2002-2004 MIT & Hewlett-Packard / Enhanced by NTU Library IR team Copyright © - Feedback