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论文类型：会议论文

发表时间：2012-01-01

收录刊物：CPCI-SSH

页面范围：315-320

关键字：Commercial banks; Market discipline; Subordinated debts; Yield spreads model; Government implicit guarantee

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.