往来关系与银行授信行为之研究

JournalofFinancialStudiesVol.5No.3January199861Competition,RelationshipandtheBehaviorofBankLoanJingTwenChen(1)(2)(3)(4)AbstractThepurposeofthispaperistoexaminetheinteractionamongcompetition,relationshipandthebehaviorofbankloan.Basedontheempiricalresults,myevidenceshowsthat(1)Banksmaynotconcerntheclientsrelationshipwiththelineofcreditwhichmaydecreasecreditriskbeforederegulationofsettingupanewbank.(2)Customersprofitabilitycontribu-tionmaysignificantlyaffectoncreditlineandinterestspreadafterderegulationofentrybar-riersduetotheincreaseincompetition.(3)Investmentopportunitiesmaysignificantlyaffectthelineofcreditonthepassageofthederegulationofcommercialbankentrybarriers.(4)Banksmaypaymoreattentiontoevaluatingassetriskoftheircustomersonlyinthecaseofunsecuredloansandsmall-sizedfirms.Examiningsecuredloans,banksmayespeciallyconcernclients’loan-to-value.Thispaperalsofindsthatturnoveronassets,returnonequityandsizesignificantlyaffectthecreditlineandinterestspreadwhenexamininglargecompany’ssam-ples.KeywordDeregulationofEntryBarriers,Relationship,CreditRisk,CreditScoringSystem,Loan-to-ValueJournalofFinancialStudiesVol.5No.3January199862(netinterestmargin)70%87.08%3.14%9.78%5.42%5.0%5.2%2.8%2.5%1.1%3.1%3233(,1996)3233(1)(2)(3)(4)*JournalofFinancialStudiesVol.5No.3January199863Petersen-Rajan,19947.83%9.52%()1()1971197584%1981198557%(Hoshi-Kashyap-Scharfstein,1990)(disintermediation)moralhazard(adverseselection)1.2.3.4.115%3%19771.2619860.37197766%198631%(Hoshi-Kashyap-Scharfstein,1990)JournalofFinancialStudiesVol.5No.3January199864--Sofianos-Wachtel-Melnik(1990)(loancommitmentagreement)Goldberg-Hanweck-Surgue(1992)Butler-McNertney(1991)(bankholdingcompany;BHC)James(1983)Allen-Wilhelm(1988)1980DIDMCA(DepositoryInstitutionsDeregulationandMonetaryControlAct)Cornett-Tehranian(1989,1990)1980Eyssell-Arshadi(1990)1988(BaselCommitment)Apilado-Gallo-Lockwood(1993)Madura-Tucker-Zarruk(1993)1989FIRREA(FinancialInstitutionsReform,Recovery,andEnforcementAct)(thriftbailoutbill)O'Hara-Shaw(1990)JournalofFinancialStudiesVol.5No.3January1998652(creditauctions)(Saal-Zamalloa,1995)(collusion)(Guasch-Glaessner(1992)Feldman-Mehra(1993))(Donald-Richard,1995)(Akerlof,1970)(concavefunction)11%(Martin-Smyth,1991)2JournalofFinancialStudiesVol.5No.3January199866(Stiglitz-Weiss,1981)crossmonitoringhypothesisBooth,1992(Diamond,1989)Petersen-Rajam,1994Hoshi-Kashyap-Scharfstein,1990(Jaffee-Russell,1976)(Bester,1987)(Booth,1992)JournalofFinancialStudiesVol.5No.3January199867(1)(2)(3)3groupbanks510%(Prowse,1990)(Shibata,1992)(Hoshi-Kashyap-Scharfstein,1990)(Cable,1985)(state-ownedenterprises)(Perotti,1993)(John-John-Saunders,1994)(Shibata,1992)constellationNakatani,198443(1)(2)(1)chainbanking(2)(3)nonbanksubsidiaries4JournalofFinancialStudiesVol.5No.3January199868(Jeffrey,1992)(Ramakrishnan-Thakor(1984)Boyd-Prescott(1986))(Berger-Udell(1995)Boot-Thakor(1994))(Greenbaum-Kanatas-Venezia(1989)Sharpe(1990))(Petersen-Rajan,1994)(Boot-Thakor,1994)(Lummer-McConnell(1989)James-Weir(1990))381observations(1)(2)5,0005,00031561(3)(4)44JournalofFinancialStudiesVol.5No.3January1998693084223;(5);(6)(7)166215Booth(1992)Petersen-Rajan(1994))(1)(2)(3)(4)(5)1.(1)Petersen-Rajan(1994)JournalofFinancialStudiesVol.5No.3January199870(2)2.(1)(2)(3)(4)(5)(6)paymenttoincomePTI(7)Petersen-Rajan(1994)JournalofFinancialStudiesVol.5No.3January199871(8)3.loan-to-valueLTV4.(1)(2)Booth(1992)Petersen-Rajan(1994)5.(1)Diamond,1989(2)JournalofFinancialStudiesVol.5No.3January199872(3)(1996)restrictivecovenant5creditavailabilityPetersen-Rajan,1994loanportfoliofirewallBooth,19925Stiglitz-Weiss(1981),Bester(1987),Milde-Riley(1988),Fudenberg-Tirole(1991)JournalofFinancialStudiesVol.5No.3January19987366(1)(2)(3)Petersen-Rajan(1994)Berger-Udell(1995)JournalofFinancialStudiesVol.5No.3January199874∑=+∑=⋅+⋅+∑=∑=∑=⋅+⋅+⋅+=qlummCONTROLmlCPAlkLTVniojpkkjRATIOjiRPir1111111erhlgba(1)2111112efjqdpa+∑=∑=⋅+⋅+∑=∑=∑=⋅+⋅+⋅+=qlummCONTROLmlCPAlkLTVniojpkkjRATIOjiRPiC(2)r7CdebtcapacityiRPi=1,2jRATIO(j=1,…,8)kLTVk=1lCPAl=1,…,47Booth(1992)JournalofFinancialStudiesVol.5No.3January199875mCONTROLm=1,…,3aa(1)(2)ee(1)(2)ibp(i=1,2)jgjd(j=1,…,8)klkq(k=1)lhlj(l=1,…,4)mrmf(m=1,…,3)(heterroscedasticity)OLSWhite(1980)heteroscedasticityconsistentestimatoriiiXDiXDiiXDiXDDDirebbbaaaebbaa+-++-+=++++=2)12(12)12(1)2(2)1(12211(3)=⎧⎨⎩⎫⎬⎭=⎧⎨⎩⎫⎬⎭iieii=1,2,…,nJournalofFinancialStudiesVol.5No.3January199876aabbaabbbb-=1k5,0005,000JournalofFinancialStudiesVol.5No.3January1998771.185%2,9480.050.102.432%1,955(1)0.10JournalofFinancialStudiesVol.5No.3January199878(2)(3)(4)18.3313.30Petersen-Rajan(1994)12.4717.3553.33%35.17%0.78%1.57%4%4.45%(1)varianceinflationfactor10(2)conditionnumber30(3)0.5JournalofFinancialStudiesVol.5No.3January199879(1)0.10(2)(3)2.432**1.1851.334***0.9821.054***1.373(%)1,955*2,9482,7553,8947,451***9700.652*0.4710.4660.4970.4680.484(%)(%)1.0581.1151.254*0.9080.993*1.2450.3150.2530.2420.2820.2450.2780.034*0.0610.0640.0570.028***0.1030.5390.5820.5740.5930.645**0.48529.5833.4218.89***39.6114.361***64.3450.925**0.4830.253**0.6150