Diamond：金融中介理论

实用文档Financial Intermediation and Delegated Monitoring DOUGLAS W. DIAMOND University of ChicagoBackground of DiamondDOUGLAS W. DIAMONDGraduate School of Business University of Chicago Chicago, IL 60637 Phone: (773) 702-7283 E-mail: Born: October 1953Martial Status: Married, two childrenA.B., Economics, Brown University, June 1975.M.A., Economics, Yale University, December 1976.M. Phil., Economics, Yale University, December 1977.Ph.D., Economics, Yale University, June 1980.Douglas W. Diamond specializes in the study of financialintermediaries, financial crises, and liquidity , bankregulation and deposit insurance; debt maturity structure and the role of short-term debt.Publications(1)“Information Aggregation in a Noisy Rational Expectations Economy,” Journal of Financial Economics, September 1981 (with Robert Verrecchia).(2)“Optimal Managerial Contracts and Equilibrium Security Prices,” Journal of Finance, May 1982 (with Robert Verrecchia).(3)“Bank Runs, Deposit Insurance and Liquidity,” Journal of Political Economy, June 1983 (with Philip Dybvig). (4)“Financial Intermediation and Delegated Monitoring,” Review of Economic Studies, July 1984.(5) “Optimal Release of Information by Firms,” Journal of Finance, September 1985.(6)“Banking Theory, Deposit Insurance and Bank Regulation,” Journal of Business, January 1986 (with Philip Dybvig).(7)“Debt Maturity Structure and Liquidity Risk,” Quarterly Journal of Economics, August 1991.(8)“Monitoring and Reputation: The Choice Between Bank Loans and Directly Placed Debt,”Journal of Political Economy, August 1991.(9)“Disclosure, Liquidity and the Cost of Capital,” Journal of Finance, September 1991. (withRobert Verrecchia).(10) “Bank Loan Maturity and Priority When Borrowers Can Refinance,” in Capital Markets and Financial Intermediation, Colin Mayer and Xavier Vives (editors), Cambridge University Press, 1993.(11)“Seniority and Maturity of Debt Contracts,” Journal of Financial Economics, June 1993.(12)“Corporate Capital Structure: The Control Roles of Bank and Public Debt, with Taxes and Costly Bankruptcy,” Economic Quarterly of the Federal Reserve Bank of Richmond, Spring 1994.(13)“Financial Intermediation as Delegated Monitoring, a Simple Example,” Economic Quarterlyof the Federal Reserve Bank of Richmond, Summer 1996.(14) “Liquidity, Banks, and Markets,” Journal of Political Economy, October 1997.(15)“Liquidity risk, liquidity creation and financial fragility: A theory of banking,” Journal of Political Economy 109 (April 2001). (with Raghuram Rajan).(16) “Banks, Short Term Debt and Financial Crises: Theory, Policy Implications and Applications,” March 2000, Carnegie Rochester Conference on Public Policy, 54 (Summer 2001). (with Raghuram Rajan).(17) “Banks and Liquidity,” American Economic Review, Papers and Proceedings, (May 2001). (with Raghuram Rajan).(18)“Liquidity Shortages and Banking Crises,” April 2005, Journal of Finance. (with Raghuram Rajan).(19)“Money in a Theory of Banking,” American Economic Review, March 2006. (with Raghuram Rajan).(20)“Delegated Monitoring and Legal Protection,” working paper, University of Chicago GSB, June 2005, revised October 2006.(21)“Banks and Liquidity Creation: A Simple Exposition of the Diamond-Dybvig Model,” Economic Quarterly of the Federal Reserve Bank of Richmond ,Spring 2007 Vol. 93 No. 2.(22)“Banks, Runs and Liquidity Creation,” working paper, University of Chicago GSB, January 2007, revised August 2007.(23)“Illiquidity and Interest Rate Policy,” working paper, University of Chicago, GSB, September 2008. (with Raghuram Rajan). Financial IntermediationInformationRiskCost TradingcostInformation asymmetriesRiskAversion Risk management&Participation costsFinancial Innovations SpiralFunction Gurley & Shaw : Money in a Theory of FinanceLeland & Pyle : Information asymmetries，financial structure，and financial intermediationDiamond: Financial Intermediation and Delegated MonitoringMerton : Financial Innovations SpiralAllen & Santomero : Managerial self-interest, The non-linearity of taxes, The cost of financial distress, The existence of capital market imperfectionOUTLINEThis paper develops a theory of financial intermediation based on minimizing the cost of monitoring information which is useful for resolving incentive problems between borrowers and lenders. It presents a characterization of the cost of providing incentives for delegated monitoring by a financial intermediary.Diversification within an intermediary serves to reduce these costs, even in a risk neutral economy. The paper presents some more general analysis of the effect of diversification on resolving incentive problems. In the environment assumed in the model, debt contracts with costly bankruptcy are shown to be optimal. The analysis has implications for the portfolio structure and capital structure of intermediaries.1. INTRODUCTION2. A SIMPLE MODEL OF FIRM BORROWING3. DELEGATED MONITORING BY A FINANCIAL INTERMEDIARY4. RISK AVERSION AND DIVERSIFICATION5. COMPARISON WITH LELAND-PYLE (1977) RESULTS6. CONCLUSION Section 2 and 3Risk Neutral and Wealth Constraint 现代金融中介理论基于功能分析范式其基石：交易成本理论和委托代理理论Section 4 Risk Aversion and No Wealth Constraint WHYHOW Section 5 Comparison with Leland-Pyle resultsA SIMPLE MODEL OF FIRM BORROWINGBasic model :When no intermediaries假设:1.只考虑一期，所有经济主体均为风险中性。2.企业家有一个项目，要投资1单位，但他初始财富为0，只要每单位资金预期回报不低于R，投资者就愿意借出资金 3.产出为随机变量，投资者只知道产出的概率分布，事后实现值y只有企业家知道。4.企业家支付给投资者为z，自己保留y-z,满足zy，即存在财富约束。5.投资者可以对企业家实施非现金惩罚（Non-pecuniary penalties）。Mechanism design (1) (1a)S.T. 1b(IC) Ib(IR)The optimal contract is a debt contract命题1: 该机制设计问题的解为其中h是方程 (2)经济含义：最优合约是一个债务合约，面值为h，非现金破产惩罚为实际支付与h之间的差额，其中h是能够给予投资者的预期收益R的最小值。Proof: 给定*(z)，易知： 即，根据（2）式，条件（1c）满足。根据构造，h是满足给定约束zy,zh且 的最小的值。如果在给定的 下，是激励相容的(当然还满足1(c)，即满足条件（1b），必有即对任意z h+都有： 这意味着合约*(z)是一个满足（1c）的且带来最小罚金的激励相容的合同，也就是它最大化（1）式。Three solutions to moral hazard when m lenders1. 签约不监督,成本为预期的非现金破产惩罚： 2. m个投资者都监督，成本为m*K（也可能由于搭便车没人监督）。3. 委托监督。 在以上几种方案中，成本最小的方案将被采用委托监督的总成本：1. 若金融中介的行动与信息不为投资者所知，便存在委托代理的问题，需要提供激励使中介自动监督并执行契约，此成本为D。2. 中介执行监督的physical cost ,K。 3. 所以若有： 那么，中介就会产生Basic relationships（1）An entrepreneurIntermediaryLenders 监督关系，发生监督成本=K委托监督关系，发生委托监督成本=D Delegated monitoring by a financial intermediaryEconomists have tried to explain the intermediary role by arguing that the financial intermediary has a cost advantage in certain tasks .When such tasks involve unobserved actions by the intermediary or the observation of private information, then an agency/incentive problem for the intermediary may exist Any theory which tries to explain the role of intermediary by an information cost advantage must net out the cost of providing incentives to the intermediary from any cost savings in producing information .本节的假设与符号含义:1. 金融中介风险中性，初始财富为零，接受投资者的存款并受其委托监督企业的产出，监督每一个企业的成本为K，投资者可观测的只有他从金融中介得到的支付。2. 每个投资项目需一单位的初始资金，每个投资者的存款为1/m，中介与N个企业签约，并有m*N个存款人。3. ，i=1，N，代表第i个企业的事后实现收入代表事前随机收入，他们不相关且，其分布为共同信息。4. 表示项目的收益为。且中介采取监督方案时企业家支付给银行的非负金额，即企业的总收入。 为相应的随机变量。5.ZN代表 代表银行对存款人的支付，由于财富约束ZNGN，所以 表示存款人对中介的非现金惩罚。结论：由 命题1可知：其中HN是以下方程的最小解： 中介的预期收入 ，中介的监督决策是最大化，就好比它的监督决策是可被存款人观测一般。可见最小成本合约不仅提供了向存款人支付的激励，也提供了自动监督的激励，故是债务合约。 N entrepreneurssIntermediaryLenders 监督关系，发生监督成本N*K，每个项目为K。委托监督关系，发生委托监督成本 每个项目为DN。 命题2：每一个被监督的企业的平均委托成本DN趋近于零，如果N，且每个企业的产出不相关并存在上下限。Proof: 选择gi=gi（yi）使选择非现金惩罚函数： 其中给定非现金惩罚契约，中介对存款人的支付为：中介的预期收益： 存款人的预期收益：，其中由于GN0，所以：存款人的预期收益至少为：当PN很小，如果： 由于，根据大数法则，存在，使得PN，。这意味着只要N足够大，违约的可能性可以无限地小，即DN无限地小。注释3：当项目收益并非完美相关时，N个项目由一个中介监督产生的委托成本小于由多个中介监督的委托成本之和。例如存在两个项目，可知： 则D10) Project i has returns, where xi has a normal distribution with zero mean and known variance。The budget constraint : (1)The final wealth: (2) Substituting (2) into (1):Maximizing ,yieldsThe condition for separating signaling equilibrium Solving the differential equation yields:The mechanism for subdividing riskAssumptions: ,Either of the two agents endowed with a single project with mean and variance . This, in turn, is equivalent to a project with mean= , and variance =, because from (A8), if solves,It also solves:The comparative static effect of diversification by sub-dividing risks on an intermediarys expected utility is given by: The L-P model above reveals two conclusions:1.diversification by risk subdividing is effective.2. diversification by risk adding has no effect. Thus diversification by subdividing risks can serve as a basis for viable financial intermediation in a L-P setting. As N, the number of independent projects, and number of bankers within the intermediary, grows without bound, the per-project risk premium goes to zero, because the total variance of wealth, per banker in the intermediary (2/N) goes to zero. Adding independent risks in the L-P model has no effect, because with constant absolute risk aversion the risk aversion toward any gamble is not affected by the presence of any other independent gambles. This implies that an agent signaling a given project will choose to retain a given fraction of its equity in a signaling equilibrium, irrespective of other independent projects he must signal, and that the marginal impact on his expected utility is not influenced by other independent projects he must signal.本文总结和金融中介理论述评及展望1、“Delegated Monitoring” model总结及补充2、关于不对称信息的金融中介理论3、金融中介主要理论历史演进及述评4、金融中介理论展望“Delegated Monitoring” model总结及补充Diamond“代理监督” 模型：事后不对称信息问题道德风险：“代理监督”模型伴随金融中介出现的分散化会降低代理成本，因而金融中介仍然具有信息生产和监控的成本优势。 激励成本 解决中介和贷款人之间道德风险的关键。可通过类似于借款人和贷款人之间的最优债务合约来实现让金融中介承担所谓的non-pecuniary penalty。non-pecuniary penalty function在最优债务合约中给出，金融中介的激励问题变成，在扣除了监督成本和non-pecuniary penalty 之后，其收益达到最大化。激励成本投资多样化 金融中介之所以可以存在的关键。根据大数定律，当贷款投资组合得以扩张以及更加多样化时，贷款的结果好坏可以持续准确地预测出来，违约将被尽可能避免。风险厌恶经济中处理多样化的方式：风险细分型(risk subdividing)风险增加型(adding risks)Diamond“代理监督”模型的两点补充是迄今为止运用信息经济理论，对金融中介的存在理由所做的最合理的解释。一、其假设借款人趋于无限，而现实经济中经济主体是有限的Krasa and Villamil(1992)：如果借款人数有限，而且存在破产的可能性，则存款人的利益会受到损失。这时，存款人会加强对“银行”的监督，乃至“挤兑”。二、其从事后道德风险出发，推导出解决这一问题的有效手段是金融中介结构。Boyd and Prescott (1986): 与此相适应，从事前逆向选择出发，指出金融中介机构进行的资源配置比股票市场更具帕累托效率。Boyd and Prescott (1986)一个基于与借款者品质有关的逆向选择的模型前提 两类企业家，一类拥有好项目，另一类拥有坏项目，且信息不对称。合理假定 没有评估的项目比已评估的坏项目要好。策略 所有经评估的好项目得到所需要的全部资本，将剩余的资本投资到没有评估的项目中，并且让投资者结成联盟，使得好项目与坏项目的收益可以交叉补贴(cross-subsidization)，达到经济均衡。“代理监督”模型其他后续研究Stephen D. Williamson (1987) 提出了更具节约型的监督模型，并用贷款合同的特征、存贷款之间的区别、贷款多元化等概念阐释了在宏观经济波动中金融中介的作用。Helmut Bester(1995)基于委托代理理论构建了一个金融中介的交易模型，来说明在金融市场中即使不降低交易成本中介也会产生。关于不对称信息的金融中介理论Stiger得出一个经典的定义： “信息成本是指从无知到无所不知转变的成本，而很少有交易者能够负担全过程的成本。” 事前不对称信息：逆向选择 事后不对称信息：道德风险“Leland-Pyle” 模型：事前不对称信息问题逆向选择：Leland and Pyle (1977) 一个信号传递模型 (signalling model)，“Actions speak louder than words”，以一定显示成本解决逆向选择问题。不对称信息与金融中介我们可以将解决事前不对称信息的信息生产模型与解决事后不对称信息的代理监督模型统一于委托代理理论框架中：金融中介机构的存在都是为了降低代理成本。这里的代理成本是广义的，包括风险成本(risk cost)和激励成本(incentive cost)。L-P模型中的金融中介是为了降低风险成本，而代理监管模型中的金融中介是为了降低激励成本。可以说，在当时的条件与背景下，信息不对称很好地解释了金融中介存在的理由，因为金融中介的确具有信息优势，能够通过声誉机制化解信息不对称带来的事前逆向选择与事后道德风险。金融中介主要理论历史演进及述评现代金融中介理论机构观下金融中介理论 功能观下金融中介理论 交易成本理论 功能观 信息不对称理论 FIS理论 风险规避理论 风险管理与参与成本理论机构观交易成本理论Gurley and Shaw (1960) ,Benston and Smith (1976), Allen and Santomero (1998)交易费用的存在使得金融中介机构成为必要，其规模经济(economies of scale)或范围经济(economies of s