次順位債券與市場規範

Subordinated Debt and Market Discipline

本研究首先建立一個道德危險模型，說明銀行發行次順位債券可帶來直接規範效果以及間接規範效果，以降低銀行放款風險。直接金融規範效果是指專業債券投資人會評量銀行的放款風險，而根據銀行的放款風險要求適當的次順位債券孳息。銀行為了降低次順位債券成本，會設法降低放款風險。間接金融規範是指一般存款戶將次順位債券孳息，視為銀行對其放款風險程度所放射的訊號。若是一般存款戶察覺到銀行放款風險高，則會提前撤出存款。反之則會將存款繼續留在銀行。為了避免一般存款戶提前撤出存款，銀行會設法降低放款風險。本研究透過模型推導，證明發行次順位債券，會帶來這兩種規範效果，更進一步證明，金融監督機關若能有效利用次順位債券的資訊，將更能達到金融監督的目的。

We build a moral hazard model to show that issuing of subordinated debts by banks can bring direct market discipline and indirect market discipline to make their loans less risk. The direct market discipline means that the risk level of bank will be evaluated by professional investors. The investors will require the yields according to the banks risk. For lowering the cost of issuing subordinated debts, banks will make their loans less risk. The indirect market discipline means that the depositors would take the yields of these debts as a significant signal about banks` risk level. The deposits will decide to withdraw their savings when the bank signals a higher risk, and keep their saving when the bank signals a lower risk. We prove that issuing of subordinated debts by banks can bring these two kinds of market discipline. The model has also demonstrated that if the banking supervisor can utilize the information of issuing subordinated debts effectively, they will achieve further supervisory goal.