風險傳遞：跨國流動性與銀行多角化

Abstract

摘要 金融風險具有傳遞性,尤其在2007-2009 全球金融危機時期,美國的次級房貸風暴蔓延至其他外國市場並造成了嚴重的流動性問題。而這樣的風險傳遞導因於市場利率的巨大變動。雖然風險傳遞議題在文獻中已廣為討論,但是有關於全球金融市場環境下的利率風險傳遞值與衝擊程度仍未被具體衡量。除此之外,有關銀行產業的「大到不能倒閉」與「過度相互連結,致不能破產」的爭議,仍未有一致性的結論。因此,本篇論文同時分析了國家和企業層級的風險傳遞效果,前者是研究「信用危機所引爆的利率風險外溢效果」,後者則是探討「銀行規模,多角化策略下的風險承擔」。在國家層級分析方面,本研究量化了美國金融體系內的信用危機外溢至歐洲金融市場流動性風險的衝擊程度,並採用了CoVaR的模型，藉由利率變化的機率分配中的上方風險來量測歐洲國家的利率風險。除此之外,由於金融機構中的系統風險與相互聯結度是在金融市場遭受危機時發生風險傳遞的關鍵因素之一。相較於運用利率風險傳遞衡量跨國流動性風險的衝擊,本研究進一步地延伸並估算企業層級的下方風險傳遞效果,並且採用新的計量方法提出實證資料來檢測有關於「規模與多角化策略對銀行風險承擔」議題中具有爭議的一些理論模型。 根據國家層級分析實證結果顯示:當美國金融市場處於困境時,歐洲國家與美國之間的條件風險值呈現明顯的正差值。此一風險傳遞的影響效果從2007開始增加,並在2008-2009期間特別地顯著。另外,實證資料也顯示,利率風險對於某些遭受重大債務危機的歐元區國家衝擊也特別地嚴重。因此研究的結果除了預知了2010年開始蔓延的歐洲主權債務危機的惡化徵兆,並成功地提供了過去文獻甚少關注的利率傳遞效果(源自於外部風險)的量化數據。最後,企業層級分析的結果發現:銀行規模和多角化對非系統性風險,市場風險和體系性風險的增加具有顯著相關。再藉由銀行規模與多角化兩因素的交互效果檢測,本研究更發現銀行規模與互連度(interconnectedness),兩者在衡量銀行風險過程中扮演的是不同且獨立的角色。 關鍵字:風險傳遞、 條件風險值(CoVaR) 、流動性風險、信用風險、金融危機、銀行規模;多角化、體系性風險

ABSTRACT Financial risk is contagious. During the 2007–2009 financial crisis in particular, US subprime mortgage risk exposures led to severe liquidity problems in several other foreign markets. Such risk contagion was caused by enormous changes in interest rates. Although the literature has investigated risk contagion, the magnitude of propagated interest rate risk around global financial markets remains unexplored. In addition, the two main arguments related to the 2007–2009 credit crisis—too-big-to-fail and too-interconnected-to-fail—remain controversial. Therefore, this study quantifies the degree to which the increased credit risk within the US financial system propagated to the European markets’ liquidity risks. Using a conditional value-at-risk (CoVaR) model, we quantitatively measure interest rate risk of European countries by looking at the upside risk in distribution of changes in interest rate. This propagation risk measure considers additional value-at-risk conditional on the interest rate movements in the United States. In addition, we estimate the CoVaR as a measure of systemic risk, which focuses on the downside risk in distribution of change in stock price returns and offers empirical support to justify related theoretical models that argue that diversification and size may contribute to the systemic risk. Results of country-level analysis reveal significantly positive differences between European countries’ value-at-risk conditional on whether US financial markets are in a normal or distressed state. This propagating effect increased from 2007, was particularly pronounced in 2008–2009, and was especially severe for some countries in the Euro regions with greater sovereign debt problems. In contrast to prior studies that analyze risk contagion at the country level, this study empirically examines the effects of bank size and diversification on different types of risk: idiosyncratic risk, systematic risk, and propagated systemic risk. We adopt a new econometric method to estimate the CoVaR as a measure of systemic risk. Using data from US commercial banks from 2002 to 2010, we find that both bank size and diversification are significantly related to an increase in all three types of risk. The significant cross effects of size and diversification suggest that size and interconnectedness play different and independent roles in determining banking risks.

Keywords: Risk Contagion, CoVaR, Liquidity Risk, Credit Risk, Financial Crisis, Size, Diversification, Systematic Risk