Modern financial theory identifies two conflicting forces that influence the level of bank lending during a banking crisis: “credit crunch” and “moral hazard.” The credit crunch story suggests that as a bank's net worth deteriorates, it will reduce its level of lending. The moral hazard explanation emphasizes bank incentives to increase risky loans when they are insolvent or nearing insolvency. Theses two conflicting forces may be operating simultaneously in a banking crisis period. In the past literature, however, neither theoretical nor empirical research has ever separated out these two forces.; The first chapter of this thesis provides a theoretical model so that we could capture the two opposite forces. In the model, n banks compete in a Cournot fashion for lending to a borrower. Moral hazard and credit crunch effects are identified in this oligopoly setting. The model also implies that the degree of competition in a lending market influences these two effects.; The second chapter empirically tests the two forces. Since one would need information not only on banks, but on borrower-bank pairs to distinguish varying risks of borrowers, previous empirical research has been unable to sort out the moral hazard and credit crunch effects. This chapter seeks to fill in this gap by matching Japanese bank and borrower data. I find both effects are present. Empirical results also imply that a weaker bank's loan portfolio has been more skewed toward risky borrowers.; The third chapter investigates signaling about a borrower's credit quality from an informed bank to uninformed banks. As Rajan (1992) suggests, banks may be distinguished into informed (insider) and uninformed (outsider) banks in terms of monitoring intensity and information flow. However, one may often argue that informed banks somehow reveal their borrower's information through signals. This chapter seeks for empirical evidence of signaling a borrower's information from more informed to less informed banks. The results provide no supporting evidence for the signaling effects.
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机译：现代金融理论指出了在银行危机期间影响银行贷款水平的两种相互冲突的力量：“信贷紧缩”和“道德风险”。信贷紧缩的故事表明，随着银行资产净值的下降，它将降低其贷款水平。道德风险的解释强调了银行在无力偿债或接近破产时增加刺激性贷款的动机。在银行业危机时期，这两个相互冲突的力量可能同时运作。但是，在过去的文献中，无论是理论研究还是经验研究都没有将这两种力量分开。本文的第一章提供了一个理论模型，以便我们可以捕捉到两个相反的力。在该模型中， n 银行以古诺方式竞争向借款人的贷款。在这种寡头垄断的背景下，道德风险和信贷紧缩效应得以确定。该模型还暗示，贷款市场的竞争程度会影响这两个影响。第二章从经验上检验了这两种力量。由于人们不仅需要有关银行的信息，而且还需要有关借款人-银行对的信息，以区分借款人的各种风险，因此以往的经验研究一直无法解决道德风险和信贷紧缩的影响。本章试图通过匹配日本的银行和借款人数据来填补这一空白。我发现两种效果都存在。实证结果还表明，较弱的银行贷款组合更偏向于风险较高的借款人。第三章研究了从知情银行到不知情银行的有关借款人信用质量的信号。正如Rajan（1992）所建议的，就监控强度和信息流而言，银行可以分为知情银行（内行）和不知情银行（外行）。但是，人们可能经常争辩说，知情银行通过信号以某种方式泄露了借款人的信息。本章寻求从经验丰富的银行向知识较少的银行发出信号的经验证据。结果没有为信号传导作用提供支持证据。
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