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系統識別號 U0002-1106201414353900
中文論文名稱 雙佔市場結構下的政府協助與違約風險:強銀行與弱銀行
英文論文名稱 Government bailouts and default risks of a duopoly: strong bank vs. weak bank
校院名稱 淡江大學
系所名稱(中) 國際企業學系碩士班
系所名稱(英) Master's Program, Department Of International Business
學年度 102
學期 2
出版年 103
研究生中文姓名 鄭筑芸
研究生英文姓名 Chu-Yun Cheng
學號 602550203
學位類別 碩士
語文別 英文
口試日期 2014-05-02
論文頁數 43頁
口試委員 指導教授-林志鴻
共同指導教授-賴錦璋
委員-蔡政言
委員-張慶暉
中文關鍵字 銀行利差  違約風險  政府不良資產購買  政府直接資本注入  雙佔市場結構 
英文關鍵字 Bank Interest Margin  Default RisDistressed Asset Purchases  Direct Equity Injections  Duopoly 
學科別分類
中文摘要   本篇論文試圖從比較強勢銀行與弱勢銀行等雙寡頭假設銀行在面對政府提供弱銀行救助的情況下違約風險的變動之論點,應用Hoshi and Kashyap (2010)針對政府介入銀行市場並且提供救助有利於弱銀行的觀點以及Merton (1973、1974)分別針對弱銀行與強銀行在面對政府救助的情況下的股權變動的觀點,導入具有能夠評估市場價值(market value)之Black and Scholes (1973)選擇評價模式,利於比較靜態分析來解釋強銀行與弱銀行在面對政府藉由採購不良貸款和直接注資等措施救助弱銀行下,銀行利差、銀行體系穩定性的變動,將如何影響強銀行與弱銀行的違約風險的變動。

  利用上述研究方法證明當政府救助增加時,直接降低了受政府協助的弱銀行的違約風險,卻也間接地提升了強銀行的違約風險,另外,由於政府的介入使得強銀行違約風險上升程度所帶來的間接效果不足以抵銷弱銀行違約風險降低的直接效果,因此,政府的救助將有效降低銀行的違約風險,同時有利於銀行體系的穩定。
英文摘要   A duopolistic loan market includes a strong bank without the problem of early closure that opts out of government bailouts and a weak bank with the problem that participates in the bailout programs of distressed loan purchases and direct equity injections. A direct implication of our framework is that the strong bank’s equity will be priced as a standard call option and the weak bank’s equity will be priced as a down-and-out call option. We find that an increase in either the bailout directly decreases the weak bank’s default risk, but indirectly increases the strong bank’s default risk. Accordingly, either the bailout contributes banking stability since the indirect positive effect insufficiently offsets the direct negative effect to give an overall negative response of default risks to an increase in either the bailout. Higher competition by shifting to quasi-competition from collusion increases banking stability under either the bailout.
論文目次 目錄

謝辭 Ⅰ
中文摘要 Ⅱ
英文摘要 Ⅲ
目錄 Ⅳ
圖表目錄 Ⅴ

Chapter 1 Introduction 1
Chapter 2 Related literature 6
Chapter 3 The model 9
Chapter 4 Solutions and comparative static results 17
Chapter 5 Numerical exercises 23
Chapter 6 Conclusions 38
References 39

圖表目錄

Table 1: Values , , and at various levels of and 25

Table 2: Impact on and from changes in when 26

Table 3: Impact on and from changes in when 29

Table 4: Impact on and from changes in when 31

Table 5: Impact on and from changes in when 35

Figure 1: Impact on and from changes in when
Total effect = + 32

Figure 2: Impact on and from changes in when
Total effect = + 32

Figure 3: Impact on and from changes in when
Incremental effect = total effect total effect 33

Figure 4: Impact on and from changes in when
Total effect = + 36

Figure 5: Impact on and from changes in when
Total effect = + 36

Figure 6: Impact on and from changes in when
Incremental effect = total effect total effect 37
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