Mishkin_02_C10

1、Copyright 2010 Pearson Addison-Wesley. All rights reserved.Chapter 10Banking and the Management of Financial Institutions银行业和金融机构管银行业和金融机构管理理Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-2The Bank Balance Sheet银行的资产负债表银行的资产负债表 Liabilities 负债负债 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 银行资本银行资本Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-3The Bank Balance Sheet银行的资产负债表银行的资产负债表 Assets 资产资产 Reserves 准备金准备金 Cash items in process of collection 应收现金项应收现金项目目 Deposits at other banks 银行同业存款银行同业存款 Securities 证券证券 Loans

3、贷款贷款 Other assets 其他资产其他资产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 全部商业银行资全部商业银行资产负债表（各项占总额的百分比，产负债表（各项占总额的百分比，20082008年年1212月）月）Copyright 2010 Pearson Addison-Wesley. All ri

4、ghts reserved.10-5Basic Banking: Cash Deposit银行的基本业务：现金存款银行的基本业务：现金存款 Opening of a checking account leads to an increase in the banks reserves equal to the increase in checkable deposits 开立支票帐户将会导致银行准备金的增加，其增加的金额开立支票帐户将会导致银行准备金的增加，其增加的金额等于支票存款增加的数额等于支票存款增加的数额First National Bank 第一国民银行第一国民银行First Nat

5、ional Bank 第一国民银行第一国民银行Assets 资产资产Liabilities 负债负债Assets 资产资产Liabilities 负债负债Vault Cash库存库存现金现金+$100Checkable deposits支票存款支票存款+$100Reserves准备金准备金+$100Checkable deposits支票存款支票存款+$100Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-6Basic Banking: Check Deposit银行基本业务：支票存款银行基本业务：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 第一国民银行第一国民银行Second National Bank 第二国民银行第二国民银行Assets 资产资产Liabilities 负债负债Assets 资产资产Liabilities 负债负债Reserves准备金准备金+$100Checkable deposits支票存款支票存款+$

7、100Reserves-$100Checkable deposits支票存款支票存款-$100First National Bank 第一国民银行第一国民银行Assets 资产资产Liabilities 负债负债Cash items in process of collection应收现金项应收现金项目目+$100CheckableDeposits支票存款支票存款+$100Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-7Basic Banking: Making a Profit 银行基本业务：盈利方式银行基本业务：

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 资产转换：出售具有一组特征（的负债，资产转换：出售具有一组特征（的负债，然后运用所筹到的资金去购买具有不同特征的资产然后运用所筹到的资金去购买具有不同特征的资产 The bank borrows short and lends long 银行借短贷长银行借短贷长First Nationa

9、l BankFirst National BankAssetsLiabilitiesAssetsLiabilitiesRequired reserves法定准备法定准备金金+$10 Checkable deposits支票存款支票存款+$100Required reserves法定准备法定准备金金+$10Checkable deposits支票存款支票存款+$100Excess reserves超额准备超额准备金金+$90Loans贷款贷款+$90Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-8Bank Manage

10、ment银行管理的主要内容银行管理的主要内容 Liquidity Management 流动性管理流动性管理 Asset Management 资产管理资产管理 Liability Management 负债管理负债管理 Capital Adequacy Management 资本充足资本充足性管理性管理 Credit Risk 信用风险管理信用风险管理 Interest-rate Risk 利率风险管理利率风险管理Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-9Liquidity Management: Ample

11、 Excess Reserves流动性管理：足够的超额准备金流动性管理：足够的超额准备金 Suppose banks required reserves are 10% 假设银行的法定准备金率为假设银行的法定准备金率为10% If a bank has ample excess reserves, a deposit outflow does not necessitate changes in other parts of its balance sheet 只要银行拥有只要银行拥有足够的超额准备金，存款外流就不会迫使银行调整其资产负足够的超额准备金，存款外流就不会迫使银行调整其资产负债表的

12、其他部分债表的其他部分 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流动性管理：准备金不足流动性管理：准备金

13、不足 Reserves are a legal requirement and the shortfall must be eliminated 准备金制度是一项法律准备金制度是一项法律规定，而其缺口必须得以弥补规定，而其缺口必须得以弥补 Excess reserves are insurance against the costs associated with deposit outflows 超额准备超额准备金是对于存款外流所引致的各种成本的保险金是对于存款外流所引致的各种成本的保险 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 流动性管理：借款流动性管理：借款 Cost incurred is the interest rate paid on the borrowed funds 这种行为蒙受的成本就是借款利息这种

15、行为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流动性管理：出售证券流动性管理：出售证券 The cost of selling securities is the brokerage and other transaction c

16、osts 出售证券的成本是经纪出售证券的成本是经纪人手续费（佣金）和其他交易费用人手续费（佣金）和其他交易费用 AssetsLiabilitiesReserves$9M Deposits$90MLoans$90M Bank Capital$10MSecurities$1MCopyright 2010 Pearson Addison-Wesley. All rights reserved.10-13Liquidity Management: Federal Reserve流动性管理：联邦储备体系流动性管理：联邦储备体系 Borrowing from the Fed also incurs int

17、erest payments based on the discount rate 必须向联邦必须向联邦储备体系支付的利息是基于贴现率形成的储备体系支付的利息是基于贴现率形成的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流动性管理：减少贷款流动性管

18、理：减少贷款 Reduction of loans is the most costly way of acquiring reserves 在获取准备金的各种方式中，削减贷款在获取准备金的各种方式中，削减贷款的代价是最高的的代价是最高的 Calling in loans antagonizes customers 收回贷款的活收回贷款的活动会招致客户的对立情绪动会招致客户的对立情绪 Other banks may only agree to purchase loans at a substantial discount 其他银行只有在贴现率很高的情况下其他银行只有在贴现率很高的情况下才会同

19、意购买这些贷款才会同意购买这些贷款 AssetsLiabilitiesReserves$9M Deposits$90MLoans$81M Bank Capital$10MSecurities$10MCopyright 2010 Pearson Addison-Wesley. All rights reserved.10-15Asset Management: Three Goals 资产管理：三个目标资产管理：三个目标 Seek the highest possible returns on loans and securities 力图寻找那些回报率最力图寻找那些回报率最高的可能投资的贷款和

20、证券高的可能投资的贷款和证券 Reduce risk 降低风险降低风险 Have adequate liquidity 保持足够的流动性保持足够的流动性Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-16Asset Management: Four Tools 资产管理：四种方法资产管理：四种方法 Find borrowers who will pay high interest rates and have low possibility of defaulting 试图找到愿意支付高利率同时又不大试图找到愿意支付高

21、利率同时又不大可能出现违约行为的借款者可能出现违约行为的借款者 Purchase securities with high returns and low risk 力图购买回报率较高而风险较低的证券力图购买回报率较高而风险较低的证券 Lower risk by diversifying 通过资产多样化来降通过资产多样化来降低风险水平低风险水平 Balance need for liquidity against increased returns from less liquid assets 在在流动性需求和来自低流动性资产的更高回报之间进行平流动性需求和来自低流动性资产的更高回报之间进行

22、平衡衡Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-17Liability Management 负债管理负债管理 Recent phenomenon due to rise of money center banks 近期由于货币中心银行近期由于货币中心银行的兴起而出现的一些情况的兴起而出现的一些情况 Expansion of overnight loan markets and new financial instruments (such as negotiable CDs) 隔夜拆借市场和新型金融工具隔夜拆借

23、市场和新型金融工具（诸如：大额可转让定期存单）的扩展（诸如：大额可转让定期存单）的扩展 Checkable deposits have decreased in importance as source of bank funds 在银在银行资金来源之中，支票存款的重要性下降行资金来源之中，支票存款的重要性下降Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-18Capital Adequacy Management 资本充足性管理资本充足性管理 Bank capital helps prevent bank failu

24、re银行资本有助于防止银行倒闭情况的出现银行资本有助于防止银行倒闭情况的出现 The amount of capital affects return for the owners (equity holders) of the bank 资本的数量将会对于银行所有者（持股人）的回报资本的数量将会对于银行所有者（持股人）的回报产生影响产生影响 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 资本充足资本充足性管理：防范银行倒闭性管理：防范银行倒闭 High Bank Capital资本规模较大的银行资本规模较大的银行 Low Bank Capital资本规模较小的银行资本规模较小的银行AssetsLiabilitiesAssetsLiabilitiesReserves$10MDeposits$90MReserves$10MDeposits$96MLoans$90MBank Capital$10MLoans$90MBank Capital$4MHigh Bank Capital资本规模较大的银行资本规模较大的银行 Low B

26、ank Capital资本规模较小的银行资本规模较小的银行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资本充足性管理：股票持有者的收益资本充足性管

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资产回报率资产回报率ROA：每一美元资产的税后净利润每一美元资产的税后净利润

29、股权回报率股权回报率ROE：每一美元股权（银行）资本的税后净利润每一美元股权（银行）资本的税后净利润股本乘数股本乘数EM：每一美元股权资本所对应的资产数额每一美元股权资本所对应的资产数额Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-21Capital Adequacy Management: Safety 资本充足性管理：安全性资本充足性管理：安全性 Benefits the owners of a bank by making their investment safe 银行资本使银行资本使得银行股东们的投资更为安

30、全，从而使他们由此受得银行股东们的投资更为安全，从而使他们由此受益益 Costly to owners of a bank because the higher the bank capital, the lower the return on equity 由于银行资本越多，股权回由于银行资本越多，股权回报率就越低，所以银行资本金也是有代价的报率就越低，所以银行资本金也是有代价的 Choice depends on the state of the economy and levels of confidence两者之两者之间的选择取决于整体经济的状态和市场信心的水平间的选择取决于整体经济的

31、状态和市场信心的水平Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-22Application: How a Capital Crunch Caused a Credit Crunch in 2008 应用：应用： 20082008年由资本紧缩导致信贷紧缩的发展过程年由资本紧缩导致信贷紧缩的发展过程 Shortfalls of bank capital led to slower credit growth 银行资本的短缺导致信贷增长速度的银行资本的短缺导致信贷增长速度的下降下降 Huge losses for ban

32、ks from their holdings of securities backed by residential mortgages 银行由于持有住房抵押贷款支持证券而蒙银行由于持有住房抵押贷款支持证券而蒙受了巨额损失受了巨额损失 Losses reduced bank capital 这一损失导致银行这一损失导致银行资本的下降资本的下降 Banks could not raise much capital on a weak economy, and had to tighten their lending standards and reduce lending 在整在整体经济情况不佳

33、的情况下，银行难以筹集大量的资本，体经济情况不佳的情况下，银行难以筹集大量的资本，进而被迫提高贷款标准和削减信贷规模进而被迫提高贷款标准和削减信贷规模 Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-23Credit Risk: Overcoming Adverse Selection and Moral Hazard 信用风险管理：克服逆向选择和道德风险信用风险管理：克服逆向选择和道德风险 Screening and Monitoring甄别和监督甄别和监督 Screening 甄别甄别Specialization

34、in lending 贷款专业化贷款专业化Monitoring and enforcement of restrictive covenants 限制性条款的监督限制性条款的监督和执行和执行 Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-24Credit Risk: Overcoming Adverse Selection and Moral Hazard 信用风险管理：克服逆向选择和道德风险信用风险管理：克服逆向选择和道德风险 Long-term customer relationships 长期客户联系长期客户联

35、系 Loan commitments 贷款承诺贷款承诺 Collateral and compensating balances 抵押品和补偿性余额抵押品和补偿性余额 Credit rationing 信贷配给信贷配给Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-25Interest-Rate Risk 利率风险管理利率风险管理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 如果银行拥有的利率敏感型负债多于利率敏感型资产，那么利率的提高如果银行拥有的利率敏感型负债多于利率敏感型资产，那么利率的提高将会导致其利润下降，而利率的下降将会导致其利润增加将会导致其利润下降，而利率的下降将会导致其利润增加First National BankAssetsLiabilitiesRate-sensitive assets利率敏感型资产利率敏感型资产$20MRate-sensitive liabilities利率敏感型负债利率敏感型负债 $50

37、MVariable-rate and short-term loansVariable-rate CDsShort-term securitiesMoney market deposit accountsFixed-rate assets固定利率资产固定利率资产$80MFixed-rate liabilities固定利率负债固定利率负债 $50MReservesCheckable depositsLong-term loansSavings depositsLong-term securitiesLong-term CDsEquity capitalCopyright 2010 Pearson

38、 Addison-Wesley. All rights reserved.10-26Interest Rate Risk: Gap Analysis 利率风险管理：缺口分析利率风险管理：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 (利率敏感型资产利率敏感型资产 利率敏感性利率敏感性负债负债) 利率利率 = 银行利润银行利润 Maturity bucked approach 期限队列法期限队列法

39、 Measures the gap for several maturity subintervals.衡量若干期限子区间的缺口衡量若干期限子区间的缺口 Standardized gap analysis 标准化缺口分析标准化缺口分析 Accounts for different degrees of rate sensitivity.考虑了利率敏感度之间的差异考虑了利率敏感度之间的差异 Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-27Interest Rate Risk: Duration Analysis 利率

40、风险管理：久期分析利率风险管理：久期分析% in market value of security - percentage point in interest rate x duration in years 证券市场价值变动的百分比证券市场价值变动的百分比-利率变动的百分比利率变动的百分比久期久期 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. 久期分析方法利用银行资产久期分析方法利用银行资产和银行负债的（加权）平均久期，来考察利率变动对于银行和银行负债的（加权）平均久期，来考察利率变动对于银行净值的影响净值的影响 Copyright 2010 Pearson Addison-Wesley. All rights reserved.10-28Off-Balance-Sheet Activities表外业务活动表外业务活动 Loan sales (secondary loan participation) 贷款销售（二级贷款参与）贷款销售（二级贷款参与） Generation of fee income. Examples: 费用收费用收入的产生入的产生，举例来说举例来说 Servicing mortgage-backed securities. 为抵为抵押贷款支持证券提供专业化收费服务押贷款支持证券提供专业化收费服务