金融危機與柏拉圖完美的金融管制協定

Financial Crisis and the Pareto Perfect Agreement of Financial Regulation

10.30087/APEMR.201203.0006

陳建華；王俊雄

金融管制 ； 柏拉圖完美均衡 ； 防再協商 ； 重複賽局 ； Financial Regulation ； Pareto-perfect Equilibrium ； Renegotiation-proof ； Repeated Game

亞太經濟管理評論

15卷2期（2012 / 03 / 01）

89 - 102

繁體中文

審慎的金融管制向來被認為對金融危機具有抑制效果，且金融市場的穩定有賴於對金融機構超額風險行為的處罰。然而，當金融危機發生且「處罰」金融機構將造成系統風險時，管制者與金融機構雙方有誘因提出對彼此有利的再協商。不幸的是，一旦進行再協商，原來的金融管制制度將變得不可置信，以致難以維持金融的穩定。在本文，我們建構了一個管制者與金融機構的無限重複賽局模型，說明金融管制的再協商將無法維持社會最適的子賽局完美均衡。本文發現，防再協商的管制制度特徵有三：（一）防再協商管制協定不會出現偏好循環；（二）管制協定將是誘因重於權衡；（三）管制措施應減輕未偏離者因處罰而承擔的成本。

The prudential financial regulations are widely perceived to have mitigation effect on financial crisis and the stability of financial market depends on the regulation punishment which imposed on banks' excessively risky behavior. However, when financial crisis occurs and the punishment leads to systemic risk, the regulator and financial institutes have incentive to propose a mutually preferable regulation agreement. Unfortunately, when such renegotiation takes place, the prudential regulation will lose credibility. And then the financial stability may no longer be sustainable. In this paper, we construct an infinitely-repeated game between the regulator and financial institutes to show that the renegotiation of regulation cannot maintain the sub-game perfect equilibrium. As a result, the renegotiation-proof regulation has three characters: (a) there is no preferences cycle; (b) the regulation is not discretionary but incentive; (c) it can reduce the punitive cost un-deviated agent loaded which caused by deviated agent.

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