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    题名: 存戶決策、銀行投資決策與系統性風險之分析
    作者: 張珮宸
    贡献者: 何靜□
    張珮宸
    关键词: 銀行擠兌
    系統性風險
    演化穩定策略
    演化賽局
    bank run
    systemic risk
    evolutionarily stable strategy
    evolutionary game
    日期: 2003
    上传时间: 2009-09-18 15:55:56 (UTC+8)
    摘要: 本文主要探討存戶決策對銀行投資組合決策之影響，及其可能引發之系統性風險的程度。以代表性銀行開始分析，假設銀行投資於安全性資產與風險性資產，而存戶依其決策可能會產生兩個均衡同時存在之情形。本文利用演化的力量，發展出以風險性資產報酬率作為均衡選擇之標準：當風險性資產報酬率低於某一水準時，擠兌的均衡會單獨發生。並比較銀行考慮擠兌發生可能性時，其投資組合承擔風險之程度，及可能引發的銀行倒閉機率大小。推廣至二家模型，發現愈多家銀行在作投資決策考慮存戶擠兌之可能性，愈會增加經濟體系中之系統性風險，顯示銀行與存戶之衝突與金融體系之脆弱性。最後討論資本適足性管制與央行最後貸款人角色能否有效降低銀行倒閉機率。
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    描述: 碩士
    國立政治大學
    經濟研究所
    91258029
    92
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    数据类型: thesis
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