貨幣政策對金融危機的影響：次貸危機的案例研究

The Effect of Monetary Policy on the Financial Crisis of 2008

本研究探討金融危機期間銀行業和非銀行業投資者面對利率風險的行為。本文發現，在次貸危機後，銀行股指與各類利率之間的相關性發生了反轉。本文的主要研究發現如下：首先，銀行淨利差的波動性與期限溢價的波動性呈現相似的規律；其次，在2008年次貸危機前後，銀行面臨的利率風險對其收益的影響呈現相反的趨勢；最後，在特定時期內，銀行淨息差會隨著期限溢價的衝擊而上升，但會隨著未來預期短期利率的衝擊而下降。

This study investigates the behavior of investors in banking and non-banking industries in the face of interest rate risk during financial crises. This paper finds that the correlation between bank stock indexes and various interest rates has been inverted after the subprime mortgage crisis. The primary findings of this paper are as follows: Firstly, the volatility of banks’net interest margin follows a similar pattern to that of the term premium. Second, the interest rate risk that banks confront has the opposite effect on their returns before and after the subprime crisis of 2008. Finally, the net interest margins of banks increase in response to shocks to term premiums but decrease in response to shocks to future expected short-term interest rates in any given period.