Mishkin_02_C10

1、Copyright 2010 Pearson Addison-Wesley. All rights reserved.Chapter 10Banking and the Management of Financial Institutions銀行業(yè)和金融機(jī)構(gòu)管銀行業(yè)和金融機(jī)構(gòu)管理理Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-2The Bank Balance Sheet銀行的資產(chǎn)負(fù)債表銀行的資產(chǎn)負(fù)債表 Liabilities 負(fù)債負(fù)債 Checkable deposits 支票存款支票存款 Nontransacti

2、on deposits 非交易性存款非交易性存款 Borrowings 借款借款 Bank capital 銀行資本銀行資本Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-3The Bank Balance Sheet銀行的資產(chǎn)負(fù)債表銀行的資產(chǎn)負(fù)債表 Assets 資產(chǎn)資產(chǎn) Reserves 準(zhǔn)備金準(zhǔn)備金 Cash items in process of collection 應(yīng)收現(xiàn)金項(xiàng)應(yīng)收現(xiàn)金項(xiàng)目目 Deposits at other banks 銀行同業(yè)存款銀行同業(yè)存款 Securities 證券證券 Loans

3、貸款貸款 Other assets 其他資產(chǎn)其他資產(chǎn)Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-4Table 1 Balance Sheet of All Commercial Banks (items as a percentage of the total, December 2008) 表表1 1 全部商業(yè)銀行資全部商業(yè)銀行資產(chǎn)負(fù)債表（各項(xiàng)占總額的百分比，產(chǎn)負(fù)債表（各項(xiàng)占總額的百分比，20082008年年1212月）月）Copyright 2010 Pearson Addison-Wesley. All ri

4、ghts reserved.10-5Basic Banking: Cash Deposit銀行的基本業(yè)務(wù)：現(xiàn)金存款銀行的基本業(yè)務(wù)：現(xiàn)金存款 Opening of a checking account leads to an increase in the banks reserves equal to the increase in checkable deposits 開立支票帳戶將會(huì)導(dǎo)致銀行準(zhǔn)備金的增加，其增加的金額開立支票帳戶將會(huì)導(dǎo)致銀行準(zhǔn)備金的增加，其增加的金額等于支票存款增加的數(shù)額等于支票存款增加的數(shù)額First National Bank 第一國民銀行第一國民銀行First Nat

5、ional Bank 第一國民銀行第一國民銀行Assets 資產(chǎn)資產(chǎn)Liabilities 負(fù)債負(fù)債Assets 資產(chǎn)資產(chǎn)Liabilities 負(fù)債負(fù)債Vault Cash庫存庫存現(xiàn)金現(xiàn)金+$100Checkable deposits支票存款支票存款+$100Reserves準(zhǔn)備金準(zhǔn)備金+$100Checkable deposits支票存款支票存款+$100Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-6Basic Banking: Check Deposit銀行基本業(yè)務(wù)：支票存款銀行基本業(yè)務(wù)：支票存款 When

6、a bank receives additional deposits, it gains an equal amount of reserves;when it loses deposits, it loses an equal amount of reservesFirst National Bank 第一國民銀行第一國民銀行Second National Bank 第二國民銀行第二國民銀行Assets 資產(chǎn)資產(chǎn)Liabilities 負(fù)債負(fù)債Assets 資產(chǎn)資產(chǎn)Liabilities 負(fù)債負(fù)債Reserves準(zhǔn)備金準(zhǔn)備金+$100Checkable deposits支票存款支票存款+$

7、100Reserves-$100Checkable deposits支票存款支票存款-$100First National Bank 第一國民銀行第一國民銀行Assets 資產(chǎn)資產(chǎn)Liabilities 負(fù)債負(fù)債Cash items in process of collection應(yīng)收現(xiàn)金項(xiàng)應(yīng)收現(xiàn)金項(xiàng)目目+$100CheckableDeposits支票存款支票存款+$100Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-7Basic Banking: Making a Profit 銀行基本業(yè)務(wù)：盈利方式銀行基本業(yè)務(wù)：

8、盈利方式 Asset transformation: selling liabilities with one set of characteristics and using the proceeds to buy assets with a different set of characteristics 資產(chǎn)轉(zhuǎn)換：出售具有一組特征（的負(fù)債，資產(chǎn)轉(zhuǎn)換：出售具有一組特征（的負(fù)債，然后運(yùn)用所籌到的資金去購買具有不同特征的資產(chǎn)然后運(yùn)用所籌到的資金去購買具有不同特征的資產(chǎn) The bank borrows short and lends long 銀行借短貸長銀行借短貸長First Nationa

9、l BankFirst National BankAssetsLiabilitiesAssetsLiabilitiesRequired reserves法定準(zhǔn)備法定準(zhǔn)備金金+$10 Checkable deposits支票存款支票存款+$100Required reserves法定準(zhǔn)備法定準(zhǔn)備金金+$10Checkable deposits支票存款支票存款+$100Excess reserves超額準(zhǔn)備超額準(zhǔn)備金金+$90Loans貸款貸款+$90Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-8Bank Manage

10、ment銀行管理的主要內(nèi)容銀行管理的主要內(nèi)容 Liquidity Management 流動(dòng)性管理流動(dòng)性管理 Asset Management 資產(chǎn)管理資產(chǎn)管理 Liability Management 負(fù)債管理負(fù)債管理 Capital Adequacy Management 資本充足資本充足性管理性管理 Credit Risk 信用風(fēng)險(xiǎn)管理信用風(fēng)險(xiǎn)管理 Interest-rate Risk 利率風(fēng)險(xiǎn)管理利率風(fēng)險(xiǎn)管理Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-9Liquidity Management: Ample

11、 Excess Reserves流動(dòng)性管理：足夠的超額準(zhǔn)備金流動(dòng)性管理：足夠的超額準(zhǔn)備金 Suppose banks required reserves are 10% 假設(shè)銀行的法定準(zhǔn)備金率為假設(shè)銀行的法定準(zhǔn)備金率為10% If a bank has ample excess reserves, a deposit outflow does not necessitate changes in other parts of its balance sheet 只要銀行擁有只要銀行擁有足夠的超額準(zhǔn)備金，存款外流就不會(huì)迫使銀行調(diào)整其資產(chǎn)負(fù)足夠的超額準(zhǔn)備金，存款外流就不會(huì)迫使銀行調(diào)整其資產(chǎn)負(fù)債表的

12、其他部分債表的其他部分 AssetsLiabilitiesAssetsLiabilitiesReserves$20MDeposits$100MReserves$10MDeposits$90MLoans$80MBank Capital$10MLoans$80MBank Capital$10MSecurities$10MSecurities$10MCopyright 2010 Pearson Addison-Wesley. All rights reserved.10-10Liquidity Management: Shortfall in Reserves流動(dòng)性管理：準(zhǔn)備金不足流動(dòng)性管理：準(zhǔn)備金

13、不足 Reserves are a legal requirement and the shortfall must be eliminated 準(zhǔn)備金制度是一項(xiàng)法律準(zhǔn)備金制度是一項(xiàng)法律規(guī)定，而其缺口必須得以彌補(bǔ)規(guī)定，而其缺口必須得以彌補(bǔ) Excess reserves are insurance against the costs associated with deposit outflows 超額準(zhǔn)備超額準(zhǔn)備金是對(duì)于存款外流所引致的各種成本的保險(xiǎn)金是對(duì)于存款外流所引致的各種成本的保險(xiǎn) AssetsLiabilitiesAssetsLiabilitiesReserves$10MDeposi

14、ts$100MReserves$0 Deposits$90MLoans$90MBank Capital$10MLoans$90MBank Capital$10MSecurities$10MSecurities$10MCopyright 2010 Pearson Addison-Wesley. All rights reserved.10-11Liquidity Management: Borrowing 流動(dòng)性管理：借款流動(dòng)性管理：借款 Cost incurred is the interest rate paid on the borrowed funds 這種行為蒙受的成本就是借款利息這種

15、行為蒙受的成本就是借款利息AssetsLiabilitiesReserves$9M Deposits$90MLoans$90M Borrowing$9MSecurities$10M Bank Capital$10MCopyright 2010 Pearson Addison-Wesley. All rights reserved.10-12Liquidity Management: Securities Sale流動(dòng)性管理：出售證券流動(dòng)性管理：出售證券 The cost of selling securities is the brokerage and other transaction c

16、osts 出售證券的成本是經(jīng)紀(jì)出售證券的成本是經(jīng)紀(jì)人手續(xù)費(fèi)（傭金）和其他交易費(fèi)用人手續(xù)費(fèi)（傭金）和其他交易費(fèi)用 AssetsLiabilitiesReserves$9M Deposits$90MLoans$90M Bank Capital$10MSecurities$1MCopyright 2010 Pearson Addison-Wesley. All rights reserved.10-13Liquidity Management: Federal Reserve流動(dòng)性管理：聯(lián)邦儲(chǔ)備體系流動(dòng)性管理：聯(lián)邦儲(chǔ)備體系 Borrowing from the Fed also incurs int

17、erest payments based on the discount rate 必須向聯(lián)邦必須向聯(lián)邦儲(chǔ)備體系支付的利息是基于貼現(xiàn)率形成的儲(chǔ)備體系支付的利息是基于貼現(xiàn)率形成的AssetsLiabilitiesReserves$9M Deposits$90MLoans$90M Borrow from Fed$9MSecurities$10M Bank Capital$10MCopyright 2010 Pearson Addison-Wesley. All rights reserved.10-14Liquidity Management: Reduce Loans流動(dòng)性管理：減少貸款流動(dòng)性管

18、理：減少貸款 Reduction of loans is the most costly way of acquiring reserves 在獲取準(zhǔn)備金的各種方式中，削減貸款在獲取準(zhǔn)備金的各種方式中，削減貸款的代價(jià)是最高的的代價(jià)是最高的 Calling in loans antagonizes customers 收回貸款的活收回貸款的活動(dòng)會(huì)招致客戶的對(duì)立情緒動(dòng)會(huì)招致客戶的對(duì)立情緒 Other banks may only agree to purchase loans at a substantial discount 其他銀行只有在貼現(xiàn)率很高的情況下其他銀行只有在貼現(xiàn)率很高的情況下才會(huì)同

19、意購買這些貸款才會(huì)同意購買這些貸款 AssetsLiabilitiesReserves$9M Deposits$90MLoans$81M Bank Capital$10MSecurities$10MCopyright 2010 Pearson Addison-Wesley. All rights reserved.10-15Asset Management: Three Goals 資產(chǎn)管理：三個(gè)目標(biāo)資產(chǎn)管理：三個(gè)目標(biāo) Seek the highest possible returns on loans and securities 力圖尋找那些回報(bào)率最力圖尋找那些回報(bào)率最高的可能投資的貸款和

20、證券高的可能投資的貸款和證券 Reduce risk 降低風(fēng)險(xiǎn)降低風(fēng)險(xiǎn) Have adequate liquidity 保持足夠的流動(dòng)性保持足夠的流動(dòng)性Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-16Asset Management: Four Tools 資產(chǎn)管理：四種方法資產(chǎn)管理：四種方法 Find borrowers who will pay high interest rates and have low possibility of defaulting 試圖找到愿意支付高利率同時(shí)又不大試圖找到愿意支付高

21、利率同時(shí)又不大可能出現(xiàn)違約行為的借款者可能出現(xiàn)違約行為的借款者 Purchase securities with high returns and low risk 力圖購買回報(bào)率較高而風(fēng)險(xiǎn)較低的證券力圖購買回報(bào)率較高而風(fēng)險(xiǎn)較低的證券 Lower risk by diversifying 通過資產(chǎn)多樣化來降通過資產(chǎn)多樣化來降低風(fēng)險(xiǎn)水平低風(fēng)險(xiǎn)水平 Balance need for liquidity against increased returns from less liquid assets 在在流動(dòng)性需求和來自低流動(dòng)性資產(chǎn)的更高回報(bào)之間進(jìn)行平流動(dòng)性需求和來自低流動(dòng)性資產(chǎn)的更高回報(bào)之間進(jìn)行

22、平衡衡Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-17Liability Management 負(fù)債管理負(fù)債管理 Recent phenomenon due to rise of money center banks 近期由于貨幣中心銀行近期由于貨幣中心銀行的興起而出現(xiàn)的一些情況的興起而出現(xiàn)的一些情況 Expansion of overnight loan markets and new financial instruments (such as negotiable CDs) 隔夜拆借市場(chǎng)和新型金融工具隔夜拆借

23、市場(chǎng)和新型金融工具（諸如：大額可轉(zhuǎn)讓定期存單）的擴(kuò)展（諸如：大額可轉(zhuǎn)讓定期存單）的擴(kuò)展 Checkable deposits have decreased in importance as source of bank funds 在銀在銀行資金來源之中，支票存款的重要性下降行資金來源之中，支票存款的重要性下降Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-18Capital Adequacy Management 資本充足性管理資本充足性管理 Bank capital helps prevent bank failu

24、re銀行資本有助于防止銀行倒閉情況的出現(xiàn)銀行資本有助于防止銀行倒閉情況的出現(xiàn) The amount of capital affects return for the owners (equity holders) of the bank 資本的數(shù)量將會(huì)對(duì)于銀行所有者（持股人）的回報(bào)資本的數(shù)量將會(huì)對(duì)于銀行所有者（持股人）的回報(bào)產(chǎn)生影響產(chǎn)生影響 Regulatory requirement 它是制度性的要求它是制度性的要求Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-19Capital Adequacy Managem

25、ent: Preventing Bank Failure 資本充足資本充足性管理：防范銀行倒閉性管理：防范銀行倒閉 High Bank Capital資本規(guī)模較大的銀行資本規(guī)模較大的銀行 Low Bank Capital資本規(guī)模較小的銀行資本規(guī)模較小的銀行AssetsLiabilitiesAssetsLiabilitiesReserves$10MDeposits$90MReserves$10MDeposits$96MLoans$90MBank Capital$10MLoans$90MBank Capital$4MHigh Bank Capital資本規(guī)模較大的銀行資本規(guī)模較大的銀行 Low B

26、ank Capital資本規(guī)模較小的銀行資本規(guī)模較小的銀行AssetsLiabilitiesAssetsLiabilitiesReserves$10MDeposits$90MReserves$10MDeposits$96MLoans$85MBank Capital$5MLoans$85MBank Capital-$1MCopyright 2010 Pearson Addison-Wesley. All rights reserved.10-20Capital Adequacy Management: Returns to Equity Holders資本充足性管理：股票持有者的收益資本充足性管

27、理：股票持有者的收益 R etu rn o n A ssets: n et p ro fit after tax es p er d o llar o f assetsR O A = n et p ro fit after tax esassetsR etu rn o n E q u ity : n et p ro fit after tax es p er d o llar o f eq u ity cap italR O E = n et p ro fit after tax eseq u ity cap italR elatio n sh ip b etw een R O A an d

28、R O E is ex p ressed b y th eE q u ity M u ltip lier: th e am o u n t o f assets p er d o llar o f eq u ity cap italE M =A ssetsE q u ity C ap italn et p ro fit after tax eseq u ity cap italn et p ro fit after tax esassetsassetseq u ity cap italR O E = R O A E M資產(chǎn)回報(bào)率資產(chǎn)回報(bào)率ROA：每一美元資產(chǎn)的稅后凈利潤每一美元資產(chǎn)的稅后凈利潤

29、股權(quán)回報(bào)率股權(quán)回報(bào)率ROE：每一美元股權(quán)（銀行）資本的稅后凈利潤每一美元股權(quán)（銀行）資本的稅后凈利潤股本乘數(shù)股本乘數(shù)EM：每一美元股權(quán)資本所對(duì)應(yīng)的資產(chǎn)數(shù)額每一美元股權(quán)資本所對(duì)應(yīng)的資產(chǎn)數(shù)額Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-21Capital Adequacy Management: Safety 資本充足性管理：安全性資本充足性管理：安全性 Benefits the owners of a bank by making their investment safe 銀行資本使銀行資本使得銀行股東們的投資更為安

30、全，從而使他們由此受得銀行股東們的投資更為安全，從而使他們由此受益益 Costly to owners of a bank because the higher the bank capital, the lower the return on equity 由于銀行資本越多，股權(quán)回由于銀行資本越多，股權(quán)回報(bào)率就越低，所以銀行資本金也是有代價(jià)的報(bào)率就越低，所以銀行資本金也是有代價(jià)的 Choice depends on the state of the economy and levels of confidence兩者之兩者之間的選擇取決于整體經(jīng)濟(jì)的狀態(tài)和市場(chǎng)信心的水平間的選擇取決于整體經(jīng)濟(jì)的

31、狀態(tài)和市場(chǎng)信心的水平Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-22Application: How a Capital Crunch Caused a Credit Crunch in 2008 應(yīng)用：應(yīng)用： 20082008年由資本緊縮導(dǎo)致信貸緊縮的發(fā)展過程年由資本緊縮導(dǎo)致信貸緊縮的發(fā)展過程 Shortfalls of bank capital led to slower credit growth 銀行資本的短缺導(dǎo)致信貸增長速度的銀行資本的短缺導(dǎo)致信貸增長速度的下降下降 Huge losses for ban

32、ks from their holdings of securities backed by residential mortgages 銀行由于持有住房抵押貸款支持證券而蒙銀行由于持有住房抵押貸款支持證券而蒙受了巨額損失受了巨額損失 Losses reduced bank capital 這一損失導(dǎo)致銀行這一損失導(dǎo)致銀行資本的下降資本的下降 Banks could not raise much capital on a weak economy, and had to tighten their lending standards and reduce lending 在整在整體經(jīng)濟(jì)情況不佳

33、的情況下，銀行難以籌集大量的資本，體經(jīng)濟(jì)情況不佳的情況下，銀行難以籌集大量的資本，進(jìn)而被迫提高貸款標(biāo)準(zhǔn)和削減信貸規(guī)模進(jìn)而被迫提高貸款標(biāo)準(zhǔn)和削減信貸規(guī)模 Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-23Credit Risk: Overcoming Adverse Selection and Moral Hazard 信用風(fēng)險(xiǎn)管理：克服逆向選擇和道德風(fēng)險(xiǎn)信用風(fēng)險(xiǎn)管理：克服逆向選擇和道德風(fēng)險(xiǎn) Screening and Monitoring甄別和監(jiān)督甄別和監(jiān)督 Screening 甄別甄別Specialization

34、in lending 貸款專業(yè)化貸款專業(yè)化Monitoring and enforcement of restrictive covenants 限制性條款的監(jiān)督限制性條款的監(jiān)督和執(zhí)行和執(zhí)行 Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-24Credit Risk: Overcoming Adverse Selection and Moral Hazard 信用風(fēng)險(xiǎn)管理：克服逆向選擇和道德風(fēng)險(xiǎn)信用風(fēng)險(xiǎn)管理：克服逆向選擇和道德風(fēng)險(xiǎn) Long-term customer relationships 長期客戶聯(lián)系長期客戶聯(lián)

35、系 Loan commitments 貸款承諾貸款承諾 Collateral and compensating balances 抵押品和補(bǔ)償性余額抵押品和補(bǔ)償性余額 Credit rationing 信貸配給信貸配給Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-25Interest-Rate Risk 利率風(fēng)險(xiǎn)管理利率風(fēng)險(xiǎn)管理If a bank has more rate-sensitive liabilities than assets, a rise in interest rates will reduce

36、bank profits and a decline in interest rates will raise bank profits 如果銀行擁有的利率敏感型負(fù)債多于利率敏感型資產(chǎn)，那么利率的提高如果銀行擁有的利率敏感型負(fù)債多于利率敏感型資產(chǎn)，那么利率的提高將會(huì)導(dǎo)致其利潤下降，而利率的下降將會(huì)導(dǎo)致其利潤增加將會(huì)導(dǎo)致其利潤下降，而利率的下降將會(huì)導(dǎo)致其利潤增加First National BankAssetsLiabilitiesRate-sensitive assets利率敏感型資產(chǎn)利率敏感型資產(chǎn)$20MRate-sensitive liabilities利率敏感型負(fù)債利率敏感型負(fù)債 $50

37、MVariable-rate and short-term loansVariable-rate CDsShort-term securitiesMoney market deposit accountsFixed-rate assets固定利率資產(chǎn)固定利率資產(chǎn)$80MFixed-rate liabilities固定利率負(fù)債固定利率負(fù)債 $50MReservesCheckable depositsLong-term loansSavings depositsLong-term securitiesLong-term CDsEquity capitalCopyright 2010 Pearson

38、 Addison-Wesley. All rights reserved.10-26Interest Rate Risk: Gap Analysis 利率風(fēng)險(xiǎn)管理：缺口分析利率風(fēng)險(xiǎn)管理：缺口分析 Basic gap analysis: 基本缺口分析基本缺口分析(rate sensitive assets - rate sensitive liabilities) x interest rates = in bank profit (利率敏感型資產(chǎn)利率敏感型資產(chǎn) 利率敏感性利率敏感性負(fù)債負(fù)債) 利率利率 = 銀行利潤銀行利潤 Maturity bucked approach 期限隊(duì)列法期限隊(duì)列法

39、 Measures the gap for several maturity subintervals.衡量若干期限子區(qū)間的缺口衡量若干期限子區(qū)間的缺口 Standardized gap analysis 標(biāo)準(zhǔn)化缺口分析標(biāo)準(zhǔn)化缺口分析 Accounts for different degrees of rate sensitivity.考慮了利率敏感度之間的差異考慮了利率敏感度之間的差異 Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-27Interest Rate Risk: Duration Analysis 利率

40、風(fēng)險(xiǎn)管理：久期分析利率風(fēng)險(xiǎn)管理：久期分析% in market value of security - percentage point in interest rate x duration in years 證券市場(chǎng)價(jià)值變動(dòng)的百分比證券市場(chǎng)價(jià)值變動(dòng)的百分比-利率變動(dòng)的百分比利率變動(dòng)的百分比久期久期 Uses the weighted average duration of a financial institutions assets and of its liabilities to see how net worth responds to a change in interest r

41、ates. 久期分析方法利用銀行資產(chǎn)久期分析方法利用銀行資產(chǎn)和銀行負(fù)債的（加權(quán)）平均久期，來考察利率變動(dòng)對(duì)于銀行和銀行負(fù)債的（加權(quán)）平均久期，來考察利率變動(dòng)對(duì)于銀行凈值的影響凈值的影響 Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-28Off-Balance-Sheet Activities表外業(yè)務(wù)活動(dòng)表外業(yè)務(wù)活動(dòng) Loan sales (secondary loan participation) 貸款銷售（二級(jí)貸款參與）貸款銷售（二級(jí)貸款參與） Generation of fee income. Examples: 費(fèi)用收費(fèi)用收入的產(chǎn)生入的產(chǎn)生，舉例來說舉例來說 Servicing mortgage-backed securities. 為抵為抵押貸款支持證券提供專業(yè)化收費(fèi)服務(wù)押貸款支持證券提供專業(yè)化收費(fèi)服務(wù)