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。

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.

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

Allen, F., Gale, D., 2004. Competition and financial stability. Journal of Money, Credit and Banking 36, 453-480.
Bayazitova, D., Shivdasani, A., 2011. Assessing TARP. Review of Financial Studies 25, 377-402.
Bebchuk, L.A., 2008. A plan for addressing the financial crisis, Working Paper, Harvard University.
Berger, A.N., Bouwman, C.H.S., Kick, T., Schaeck, K., 2010. Bank liquidity creation and risk taking during distress. Deutsche Bundesbank Discussion Paper Series 2, No. 0512010, Deutsche Bundesbank, Frankfurt am Main.
Black, F., Scholes, M., 1973. The pricing of options and corporate liabilities. Journal of Political Economy 81, 637-659.
Black, L.K., Hazelwood, L.N., 2012. The effect of TARP on bank risk-taking. Journal of Financial Stability 196, 1-14.
Boyd, J.H., De Nicolo, G., 2005. The theory of bank risk taking and competition revisited. Journal of Finance 60, 1329-1343.
Brockman, P., Turtle, H., 2003. A barrier option framework for corporate security valuation. Journal of Financial Economics 67, 511-529.
Bulow, J.I., Geanakoplos, J.D., Klemperer, P.D., 1985. Multimarket oligopoly: strategic substitutes and complements. Journal of Political Economy 93, 488-511.
Calderon, C., Schaeck, K., 2013. Bank bailouts, competition, and the disparate effects for borrower and depositor welfare. Policy Research Working Paper Series 6410, World Bank.
Coccorese, P., 2005. Competition in markets with dominant firms: a note on the evidence from the Italian banking industry. Journal of Banking and Finance 29, 1083-1093.
Dam, L., Koetter, M., 2012. Bank bailouts and moral hazard: evidence from Germany. Review of Financial Studies 25, 2343-2380.
Duchin, R., Sosyura, D., 2012. Safer ratios, riskier portfolios: banks’ response to government aid, Working paper, University of Michigan.
Episcopos, A., 2004. The implied reserves of bank insurance fund. Journal of Banking and Finance 28, 1617-1635.
Episcopos, A., 2008. Bank capital regulation in a barrier option framework. Journal of Banking and Finance 32, 1677-1686.
Gropp, R., Hakenes, H., Schnabel, I., 2011. Competition, risk-shifting, and public bail-out policies. Review of Financial Studies 24, 2084-2120.
Hakenes, H., Schnabel, I., 2011. Capital regulation, bank competition, and financial stability. Economics Letters, forthcoming.
Hawtrey, K., Liang, H., 2008. Bank interest margins in OECD countries. North American Journal of Economics and Finance 19, 249-260.
Ho, T., Saunders, A., 1981. The determinants of bank interest margins: theory and empirical evidence. Journal of Financial and Quantitative Analyses 16, 581-600.
Hoshi, T., Kashyap, A.K., 2010. Will the U.S. bank recapitalization succeed? eight lessons from Japan. Journal of Financial Economics 97, 398-417.
Kashyap, A.K., Rajan, R., Stein, J.C., 2002. Banks as liquidity providers: an explanation for the coexistence of lending and deposit-taking. Journal of Finance 57, 33-73.
Keeley, M., 1990. Deposit insurance, risk, and market power in banking. American Economic Review 80, 1183-1200.
Klomp, J., 2013. Government interventions and default risk: does one size fit all?  Journal of Financial Stability 9, 641-653.
Lin, J.H., Chang, C.P., Lin, H.N., 2013. A note on bank default risk under government capital injection coinciding with high future loss expectation. Applied Economics Letters 20, 1368-1373.
Lin, J.H., Tsai, J.Y., Cheng, C.Y., 2014. Government bailouts and default risks of a duopoly: strong bank vs. weak bank. Working Paper, Department of International Business, Tamkang University, 02/18.
Martinez-Miera, D., Repullo, R., 2010. Does Competition reduce the risk of bank failure? Review of Financial Studies 23, 3638-3664.
Maudos, J., de Guevara, F.J., 2004. Factors explaining the interest margin in the banking sectors of the European Union. Journal of Banking and Finance 28, 2259-2281.
Merton, R.C., 1973. Theory of rational option pricing. Bell Journal of Economics and Management Science 4, 141-183.
Merton, R.C., 1974. On the pricing of corporate debt: the risk structure of interest rates. Journal of Finance 29, 449-470.
Poitevin, M., 1989. Collusion and the banking structure of a duopoly. Canadian Journal of Economics 22, 263-277.
Ronn, E., Verma, A., 1986. Pricing risk-adjusted deposit insurance: an option-based model. Journal of Finance 41, 871-895.
Repullo, R., 2004. Capital requirements, market power, and risk-taking in banking. Journal of Financial Intermediation 13, 156-182.
Saunders, A., Schumacher, L., 2000. The determinants of bank interest rate margins: an international study. Journal of International Money and Finance 19, 813-832.
Tsai, J.Y., Lin, J.H., 2013. Optimal bank interest margin and default risk in equity returns under the return to domestic retail with structural breaks. Applied Economics 45, 753-764.
VanHoose, D., 2007. Theories of bank behavior under capital regulation. Journal of Banking and Finance 31, 3680-3697. 
Vassalou, M., Xing, Y., 2004. Default risk in equity returns. Journal of Finance 59, 831-868.
Wong, K.P., 1997. On the determinants of bank interest margins under credit and interest rate risks. Journal of Banking and Finance 21, 251-271.