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標題: | 越危險越好——銀行聯盟單一清算機制的得利者 The Riskier the Better—Beneficiaries of the Single Resolution Mechanism in the Banking Union |
作者: | Bing-Chieh Tsai 蔡秉杰 |
指導教授: | 李賢源(Shyan-Yuan Lee) |
關鍵字: | 歐元危機,歐洲銀行聯盟,單一清算機制,金融穩定,違約機率, Euro Crisis,European Banking Union,Single Resolution Mechanism,Financial Stability,Probability of Default, |
出版年 : | 2015 |
學位: | 碩士 |
摘要: | 歐洲銀行聯盟有兩大支柱:單一監理機制 (Single Supervisory Mechanism, SSM) 與單一清算機制 (Single Resolution Mechanism, SRM)。SRM為超國家之架構,不只在清算的成本上由全體共同承擔,考量清算時的利益時也將對整體銀行聯盟會員國所帶來的外部效果納入考量,以做出對整體最有效率之清算決策。本研究分析各國在SRM中之成本與利益,採用Schoenmaker and Siegmann (2013)的模型,並加入各大銀行之倒閉機率(Probability of Default, PD),且將資料更新至2014。我們的分析指出,PD的確是不可忽略的重要因素,其中西班牙受益於PD的引入最多。另一方面,我們也發現不同年度間各銀行業務重心之轉移,對於此模型之影響更為巨大,西班牙與法國即因此成為銀行聯盟前兩大受惠國,而原模型中最大受益國英國則跌至第三。最後,丹麥今年加入銀行聯盟的決定與我們的分析相符。 The European Banking Union consists of two pillars, the Single Supervisory Mechanism (SSM) and the Single Resolution Mechanism (SRM). The SRM follows a supranational setting where not only the costs of resolution, but the benefits of it, both domestic ones and externalities across the Europe, are shared at a banking union level. This study analyzes the economic costs and benefits for individual nations in SRM. We follow a model of Schoenmaker and Siegmann (2013) and incorporate the probabilities of default (PD) for banks into it, with updated 2014 data. Our analysis suggests that PD does matter, and Spain becomes the biggest beneficiary of the introduction of PD. We also find that the shift of the distribution of loans for banks plays a larger role than PD in this model. By updating the data from 2011 to 2014, Spain and France become the top two beneficiaries, while the original top beneficiary UK drops to the 3rd. Finally, recent participation of Denmark matches our analysis. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/54392 |
全文授權: | 有償授權 |
顯示於系所單位: | 財務金融學系 |
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ntu-104-1.pdf 目前未授權公開取用 | 1.07 MB | Adobe PDF |
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