金融中介與流動性

Abstract

為了解當資產或支付工具遭遇資訊不對稱問題時, 金融中介如何影響總體流動性與產出, 本論文的第二章提出一個銀行存款可作為支付工具的貨幣搜尋模型, 探討道德危險與支付工具的關聯。銀行對偽造支票者的懲罰為拒絕其未來的貸款,偽造者必須持有足夠的貨幣以融通自身消費需求。 因此,偽造成本與銀行的懲罰機制內生決定出存款的流動性限制。此流動性限制受偽造成本、通貨膨脹率、交易障礙等因素影響。 當偽造成本較低, 或交易障礙較低時, 存款流動性較差, 於是銀行支付較高的存款利息以彌補較差的流動性。較高的通貨膨脹提高了偽造者攜帶貨幣的自我融通成本, 降低了偽造的好處, 使人們較願意接受以存款作為支付工具, 存款流動性因而提高, 因此人們有更高的存款意願, 使銀行可提供較多的可貸資金以融通消費需求, 造成總體流動性與產出增加。 本文對於經濟體存在道德危險時, 銀行接受存款、提供貸款的雙重角色與流動性、總產出之間的關係提出了一個新的觀點。 人們經常需要流動性資產以融通預期外的消費、投資機會, 若經濟社會中的資產及支付工具的品質為私人訊息, 則可能阻礙交易的進行, 導致低產出與福利水準。在此情況下, 即使不具資訊優勢的金融中介有可能增進總體流動性與福利嗎? 第三章假設消費者的稟賦為實質資產, 根據其期末價值, 資產有好壞之分; 而資產的品質是持有者的私人訊息。銀行以接受存款發行股份的資金購買實質資產, 由於銀行提供的購買條件得以篩選資產品質, 使銀行不僅可以提供存款與股票等消費者可以辨識的資產作為支付工具, 更可能可以解決實質資產在交易中的資訊不對稱問題。 當銀行買進市場上所有的好資產, 如此一來, 即使賣方無法分辨實質資產的品質, 他們知道, 在非集中交易市場中作為支付工具的實質資產都是壞資產, 換言之, 銀行的投資策略完全消除了資產作為支付工具的資訊不對稱問題。 在此情況下, 實質資產作為支付工具的接受度不受限制。 若資產品質差異縮小, 銀行可能只買一部分的好資產與壞資產, 使得非集中交易市場上出現兩種實質資產作為交易媒介。 由於實質資產仍具有私人訊息的問題，擁有好資產的消費者會選擇先用銀行存款及股票換取消費財; 當這兩種可辨識的資產使用完畢時, 才會以部分的實質資產支應消費支出, 這是因為買方以保留一部分實質資產作為傳訊機制。 如此, 實質資產作為融通消費的角色便受到限制, 也就是所謂的「流動性限制」。我們發現, 當銀行購買所有好資產可增進總體流動性並使經濟體達到最高的福利水準。

This dissertation studies liquidity and financial intermediaries in economies with private information regarding means of payment. We first consider an economy with an explicit dual role of banks in providing credit and payment services. Agents can produce fraudulent checks at a positive cost, and sellers are not able to verify the authenticity of payments. Banks punish agents passing on fraudulent checks by not granting loans. Dishonest agents thus need to hold enough cash to insure themselves against the random consumption opportunities. The moral hazard problem results in an endogenous upper bound on the quantity of deposits that can be traded for consumption goods. Higher inflation can relax the endogenous liquidity constraint through raising the self-finance cost that prevents fraudulent activity. As the quantity of deposits that can be traded for consumption goods is raised by inflation, the aggregate liquidity and output rise. Our model offers new insights for the relationship between bank's dual role, aggregate liquidity and allocations under moral hazard. In Chapter 3, we consider an economy with a risky real asset which can be used as a means of payment in the decentralized market. The real asset may turn out to be good or bad, depending on their dividend processes. The quality of an asset is private information to the asset holder. By investing in real assets and conducting asset transformation, banks provide deposits and bank equity that are riskless and fully recognizable to serve as means of payment. In some equilibria, banks buy all of one type of real assets, which eliminates the private information problem regarding means of payment. In other equilibria, there are good assets and bad real assets in the decentralized market, and the payment arrangement displays a pecking order: buyers use real assets to make payments only if their deposits and bank equity holdings are depleted. The existence of banks is helpful to improve aggregate liquidity and welfare, even if banks are not able to discern the quality of real assets. Moreover, when equilibria coexist, the one in which banks buy all good assets achieves the highest welfare.