Theoretical and empirical consideration on market discipline in the financial system

为了世纪对日本金融体系进行改革，有必要引入一种抑制银行道德风险的机制。我们考虑这种机制时的关键概念是市场纪律。本研究旨在对这一概念进行理论和实证分析。如何根据银行的信息生产功能对银行进行约束是一个重要的课题，它有助于有效地配置资源。特别是如果我们的论点是基于事实，金融集团的广泛形成，我们的研究的重要性已经增加。具体而言，首先构建了一个基于两阶段模型的基本理论框架，然后对该基本模型进行了扩展，使其包含更多的结构，从而分析了约束银行的几种方式。我们研究了银行风险向银行债券溢价的传导机制。在理论思考之后，本文收集了我国银行发行次级债券的溢价数据，并对该溢价的变动进行了实证分析。利用次级债价格数据构建的利差数据和银行财务文件中可见的数据来验证理论模型。结果，我们发现市场纪律在日本运作得非常好。

In order to reform the financial system of Japan in 21st century, it is necessary to incorporate a mechanism which mitigates banks' moral hazard. The key concept when we consider such a mechanism is market discipline. This research aims to analyze this concept theoretically and empirically. The important theme is how to discipline banks with reference to the information production function of banks which helps to allocate resources efficiently. Especially if we base our argument on the facts that financial conglomerates are widely formed, the importance of our research has been increasing. In the concrete, first, we construct a basic theoretical framework based on two-period model, then we extend this basic model to incorporate more structure in order to analyze several ways to discipline banks. We studied a transmission mechanism of banks' risks to the premium of banks' bonds. After the theoretical consideration, we collected premium data of subordinated bonds which banks issue, and analyzed the movement of this premium empirically. The spread data which is constructed from the price data of subordinated debts and the data which can be seen in the financial documents of banks are used to verify the theoretical model. As a result, we have found out that market discipline is working very well in Japan.