What Causes Bank Failure and 2008 Financial Crisis?

Abstract

[[abstract]]For the single year of 2009, the number of insolvent banks reached 631, which was more than any year of previous crisis since Great Depression of 1930s for the US. Although risk taking of banks, especially in real estate loans, is gauged to be the cause for the 2008 financial crises in the US, it has not been empirically tested. Therefore, the purpose of this paper is to investigate whether the risk taking, especially in real estate loans, is the underlying reason for the bank failure and 2008 financial crisis. The traditional risk taking process is complicated by the implementation of loan securitization. If the securitization process is complete and immediate, bank risk should be reduced and cannot be easily observed even when banks have high risk-taking operation. Risk can be observed only when the process of securitization is incomplete. A comprehensive risk taking indicators, including ten loan ratios and thirty-eight indicators for asset quality which never used before, are created to represent the risk-taking behavior of commercial banks. The empirical results of this paper show that both asset quality indicators and loan ratio indicators of total loans generate significant impacts on the probability of bank failure. The results further show risk taking in real estate loans, not in other types of loans, is significant for the likelihood of bank failure. So the results in this paper do disclose that risk taking, especially in real estate loans, is the cause of bank failure and 2008 banking crisis. 2009 年美國銀行倒閉及發生問題的數目高達631 家是自1930 年代經濟大 蕭條以來最多的一年，雖然輿論皆認為商業銀行的高風險營運策略（尤其在不動 產放款）是銀行倒閉及金融風暴的起因，然而實證研究卻相當稀少。因此本文擬 針對銀行高風險營運策略（尤其在不動產放款）是否為銀行倒閉及金融風暴的起 因來進行實證探討。 實證的困難在於資產證券化會降低賬面上的風險水準，尤其是當證券化過程 快速且完整時，即使銀行實際進行高風險承作，其風險承作水準仍無可觀察，唯 有證券化過程遲緩且不完整，銀行採取冒險策略時其風險水準才無法透過證券化 完全消除，也才可觀察驗證。 本文有別於其他文獻，不僅使用總放款的攸關風險承作指標，而且還使用各 種放款完整且詳盡的風險承作指標，共包括三十八個資產品質指標及十個放款比 率指標來偵測真正導致銀行倒閉的關鍵性原因。實證結果發現銀行總放款之資產 品質及放款比率指標的確會對銀行倒閉機率有顯著影響。此外，本文還進一步發 現銀行在不動產放款的冒險策略的確是導致銀行倒閉的關鍵性原因，在其它放款 類別則未具有顯著證據。因此，本文證實出銀行在放款的冒險策略，尤其是在不 動產放款的高風險承作的確為銀行倒閉及金融危機發生的主因之一