銀行監理、高階經理報償與最適投資決策

Bank Regulations、Top Management Compensation and the Optimal Investment Policy

10.30087/APEMR.200409.0003

張慶明；王鳳生

風險移轉 ； 高階經理報償 ； 銀行監理 ； Risk-Shifting ； Top-Management Compensation ； Bank Regulations

亞太經濟管理評論

8卷1期（2004 / 09 / 01）

27 - 47

繁體中文

本文假定在控股－綜合銀行經營模型下，引進高階代理者報償結構，並對監理者揭露其報償模式，預先承諾極大化其股東權益和經理的報償，則可證明：(l)若存保費制不能公平反映銀行部門的風險承擔，則部門間有「監理套利」的誘因並會提高其整體風險。(2)給定資本化要求部門負債槓桿均需大於投資最低報酬下，銀行部高階經理報償契約為｛固定薪水，分紅，分股｝，證券部為｛固定薪水，減薪，分股｝,若分紅與減薪大於零且分股小於1，則經理與股東利益一致，經理會採取風險較小且更接近帕烈圖最適的投資政策，隱含道德危險減輕。(3)給定公平存保計費及前項資本化要求下，則最適經理報償結構能內化各部門的道德危險成本；若道德風險昇高，則提高分紅與減薪且降低分股並維持最適且部門－均衡的報價結構，則能消弭因道德危險而扭曲投資政策的成本。

In a model of bank-holding company, this paper shows: (1) If deposit insurance premium is not fairly priced, then the incentives are created for banks or departments to have a ”regulatory arbitrage”, that aggravates the risk-taking within the bank. (2) Given a capitalization level required must exceed the lower risky investment outcome, and the compensation contracts {salary, bonus/a penalty, a fraction of equity} for bank/investment departments, then the investment policies implemented by managers, is less risky. (3) Given a same capitalization level required and a fairly priced insurance premium, then the optimal compensation structure can internalize the cost of moral hazard and induce the optimal and department-equilibrium investment policies, thus mitigate moral hazard of the bank.

1. 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)，275-310。
   連結：
2. Allen, L.,A. Saunders(1993).Forbearance and Valuation of Deposit Insurance as a Callable Put.Journal of Banking and Finance,17,629-643.
3. Allen, L.,J. Jagtiani(2000).The Risk Effects of Combining Banking, Securities, and Insurance Activities.Journal of Economics and Business,52,45-497.
4. Benston, G.,G. Kaufman(1997).FDICIA after Five Years: A Review and Evaluation.Journal of Economic Perspective,11,139-159.
5. Boyd, J.H.,Chang C.,Smith B.D.(1998).Moral Hazard under Commercial and Universal Banking.Journal of Money, Credit and Banking,30(3)
6. Boyd, J.H.,Graham S.L.(1988).The Profitability and Risk Effects of Allowing Bank Holding Companies to Merge with Other Financial Firms: A Simulation Study.Federal Reserve Bank of Minneapolis Quarterly Review,12(2),3-20.
7. Boyd, J.H.,Graham, S.L.,Hewitt, R.S.(1993).Bank Holding Company Mergers with Non-bank Financial Firms.Journal of Banking and Finance,17,43-63.
8. Chen, A.H.,Mazumdar, S.C.(1994).Impact of Regulation Interaction.Journal of Financial Services Research,8,283-300.
9. Cummins, J.D.(1988).Risk-Based Premium for Insurance Guaranty.Journal of Finance,823-839.
10. Damodaran, Aswath(1996).Investment Valuation: Tools and Techniques for Determining the Value of Any Asset.New York:John Wiley & Sons.
11. Dewatripont, M.,Tirole J.(1994).The Prudential Regulation of Banks.Cambridge, MA:MIT Press.
12. Diamond, D.W.,Dybvig P.(1983).Bank Runs, Liquidity, and Deposit Insurance.Journal of Political Economy,91,401-419.
13. Diamond, D.W.,Rajan, R.G.(2001).Liquidity Risk, Liquidity Creation, and Financial Fragility: A Theory of Banking.Journal of Political Economics,106,287-327.
14. Dreyfus, J.F.,Saunders, A.,Allen, L.(1994).Deposit Insurance and Regulatory Forbearance: Are Caps on Insured Deposits Optimal?.Journal of Money, Credit, and Banking,26(3),412-438.
15. Hellmann, T.F,Murdock, K.C.,Stiglitz, J.E.(2000).Liberalization, Moral Hazard in Banking, and Prudential Regulation: Are Capital Requirements Enough?.American Economic Review,90(1),147-165.
16. John, K.,John, T.A.,Senbet, L.W.(1991).Risk-Shifting Incentives of Depository Institutions: A New Perspective on Federal Deposit Insurance Reform.Journal of Banking and Finance,15,895-915.
17. John, K.,Saunders, A.,Senbet, L.W.(2000).A Theory of Bank Regulation and Management Compensation.The Review of Financial Studies,13(1),95-125.
18. John, T.A.,John, Kose(1993).Top-management Compensation and Capital Structure.The Journal of Finance,48(3),949-974.
19. Kwast, M.L.(1989).The Impact of Underwriting and Dealing on Bank Returns and Risk.Journal of Banking and Finance,13(1),101-125.
20. Lepetit, L.(2002).Universal Banking and Equity Investment: Consequences on Bank Risk and Investment.Edgbaston, UK:University of Birmingham.
21. Merton, R.C.(1977).An Analytic Derivation of the Cost of Deposit Insurance and Loan Gua rantees: An Application of Modem Option Pricing Theory.Journal of Banking and Finance,1,3-11.
22. Mishkin, F.,Kaufman, G. (ed.)(1995).Banking Financial Markets and Systemic Risk, Research in Financial Services, Private and Public Policy.Hampton:JAI Press.
23. Modigliani, F.,Miller, M(1958).The Cost of Capital, Corporation Finance, and the Theory of Investment.American Economic Review,48,261-297.
24. Nicolo, GianniDe,Kwast, Myron L.(2002).Systemic Risk and Financial Consolidation: Are They Related?.Journal of Banking & Finance,26,861-880.
25. Prescott, E.S.(2002).Can Risk-based Deposit Insurance Premiums Control Moral Hazard?.Federal Reserve Bank of Richmond Economic Quarterly,88,87-100.
26. Rochet, J.C.,Tirole J.(1996).Interbank Lending and Systemic Risk.Journal of Money, Credit and Banking,28(4),733-762.
27. Ronn, E.I.,Verma, A.K.(1986).Pricing Risk-Adjusted Deposit Insurance: An Option-Based Model.The Journal of Finance,19(4),871-896.
28. Rosen, R.J.,Davies, P.L.,Kwast, M.L.,Humphrey, D.B.(1989).New Banking Powers: A Portfolio Analysis of Bank Investment in Real Estate.Journal of Banking and Finance,13(3),355-366.
29. Stiroh, K.J.(2000).How Did Bank Holding Companies Prosper in the 1990s?.Journal of Banking & Finance,24,1703-1745.
30. Wall, L.(1993).Too-Big-to-Fail after FDICIA.Federal Reserve Bank of Atlanta Economic Review,Jan-Feb
31. 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，13(4)，31-50。
32. 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，6(1)，27-46。
33. 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，16(3)，14-57。
34. 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，13(3)，1-31。
35. 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，10(1)，127-141。
36. 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。存款保險資訊季刊，14(1)，80-96。
37. 蔡進財(2001)。存款保險機構如何因應金融控制公司之成立。存款保險資訊季刊，14(4)，1-6。