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首页> 外文会议>Proceedings of ninth international forum - international trade and investment >Study on Market Discipline Effect of Subordinated Debts of Commercial Banks Under the Government Implicit Guarantee
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Study on Market Discipline Effect of Subordinated Debts of Commercial Banks Under the Government Implicit Guarantee

机译：政府隐性担保下商业银行次级债务市场约束效应研究。

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摘要

Both the Basel Ⅱ and Basel Ⅲ strengthen the importance of three pillars of bank supervision. Because of the subordinated debts property of repayment order, no guarantee and a long duration, subordinated debts have unique and strong market discipline effect and have been extensive concern. In this paper, we use Black-Sholes Option Pricing, introducing the government implicit guarantee into the yield spreads model and study on how risk-taking of commercial bank to alter yield spread of subordinated debts in order to cause market discipline effect. The results show that only when commercial banks' capital adequacy ratio is high that the market discipline effect of subordinated debts are very strong, but government implicit guarantee has weakened the effect. Otherwise, when bank capital is insufficient, subordinated debts do not cause market discipline but increase the risk of commercial banks and moral hazard.
机译：巴塞尔协议Ⅱ和巴塞尔协议Ⅲ都加强了银行监管三大支柱的重要性。由于偿还令的次级债务性质，无担保，期限长，次级债务具有独特而强大的市场纪律作用，受到了广泛的关注。本文采用黑洞期权定价法，将政府隐性担保引入收益率利差模型，研究商业银行如何冒险改变次级债的收益率利差以引起市场纪律作用。结果表明，只有当商业银行的资本充足率较高时，次级债的市场纪律作用才很强，而政府的隐性担保却削弱了这种作用。否则，当银行资本不足时，次级债务不会引起市场纪律，反而会增加商业银行的风险和道德风险。

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