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系統識別號 U0002-2006200523571800
中文論文名稱 銀行對生產性廠商之投資策略分析-以權益評價模式分析
英文論文名稱 The Analysis of Banking Firms’Investment Strategies on Productive Firms-An Option-Based Valuation
校院名稱 淡江大學
系所名稱(中) 國際貿易學系國際企業學碩士班
系所名稱(英) Department of International Trade
學年度 93
學期 2
出版年 94
研究生中文姓名 胡貞如
研究生英文姓名 Chen-Ju Hu
學號 692481640
學位類別 碩士
語文別 中文
口試日期 2005-05-27
論文頁數 67頁
口試委員 指導教授-林志鴻
共同指導教授-鮑世亨
委員-許英傑
委員-蔡政言
中文關鍵字 資本存款比  資本管制  猜測變量 
英文關鍵字 Capital-to-Deposits Ratio  Capital Regulation  Conjectural Variation 
學科別分類 學科別社會科學商學
中文摘要 隨著金融管制的鬆綁,銀行為求發展不但規模日益擴大,對於各項投資的方式也走向多元化,因此,政府各項對於銀行或金融機構的管制措施,應更審慎考量其適當性,何者應保留,何者可開放,如此方可達到金融健全及金融發展雙方兼顧的理想。
本研究探討生產性廠商對彼此行為的猜測變量以及資本管制下的資本存款比會如何影響銀行持有生產性廠商股份的行為,與銀行最適放款利率的決定。研究重點在於試圖建立一個利率制定之模型,導入Black and Scholes (1973)提出的或有請求權分析法,模型結合了投資組合理論中的風險屬性及、成本條件及利率制定行為的廠商理論。本研究假設銀行廠商在追求權益價值極大化為前提之下,建立出其目標函數,分析其利率制定策略,以供政府及銀行廠商發展決策時參考。
本研究的兩個主要結果顯示:(1)生產性廠商之間的合作程度愈高,銀行的持股意願會愈低;反之,合作程度愈低,銀行持股意願愈高。(2)在固定猜測變量下,資本存款比的變化並不影響銀行廠商對生產性廠商之投資決定。根據這兩項結果,可得知銀行對生產性廠商的持股行為不會傷害生產市場的競爭結構,因此在法令上可建議政府適當地解除銀行持股的管制。
英文摘要 After the financial deregulations, banks pursue not only scale expansion but also investment diversification. Therefore, the government should pay more attention on
the adequacy of how financial laws be established.
This study analyzes how productive firms’conjectural variation and capital-to-deposits ratio affect banking firms’investment behaviors on productive firms and their optimum loan rate decisions. We focus on banking firms’rate-setting model and quote the contingent clam approach from Black and Scholes (1973). Our model involves the firm theories about risk attribute, cost condition and rate-setting behavior. We construct our banking firms’target profit function to analyze the rate-setting strategies for the consultation to the government and commercial banks on
strategies making under the assumption that banking firms pursue maximizing their equity values.
This study shows two results: fist, the higher cooperation degree among the productive firms, the lower inclination of banking firms’investment on productive firms; second, under the fixed conjectural variations, the changes of capital-to-deposits ratio will not affect banking firms’investment behaviors. According to these two results, we can understand that banking firms’investment on productive firms would not damage the competitive structure of productive market. Therefore, we can suggest the government loosen the limitation of banking firms’investment on productive firms.
論文目次 圖表目錄.............................. .................II
第一章緒論.............................................. 1
第一節研究動機...........................................2
第二節研究目的...........................................3
第三節研究對象及研究方法.................................3
第四節研究架構與流程.....................................4
第二章文獻探討.......................................... 8
第一節風險變動與銀行利率制定行為相關文獻.................9
第二節生產性廠商與銀行廠商行為相關文獻..................16
第三節Black and Scholes 評價模型之相關文獻..............22
本章附註................................................28
第三章基本模型......................................... 30
第一節模型之基本假設....................................30
第二節目標函數之建立....................................39
第四章均衡利率模型與比較靜態分析....................... 51
第一節均衡利率模型......................................51
第二節比較靜態分析結果..................................55
第五章結論............................................. 62
參考文獻............................................... 64

圖表目錄
圖1-1 研究架構...........................................5
圖1-2 研究流程...........................................7
表2-1 銀行利率制定行為之相關文獻........................15
表2-2 生產性廠商與銀行廠商行為相關文獻..................21
表2-3 Black and Scholes 評價模型之相關文獻..............26
表3-1 台灣地區金融機構逾放比率..........................39
參考文獻 中文部份:
丁美蓉(2001),「存款保險、銀行隱藏行為與利差管理」,淡江大學國際企業學研究所碩士論文。
王玉芬(2004),「利率上限避險契約與銀行利差管理-選擇權評價模式分析」,淡江大學財務金融學研究所碩士論文。
王惠光(1992),「公司債權人、受託人的地位與權限」, 證券市場發展季刊,第13 期,頁40-56。
吳佳玲(1998),「銀行最適放款與資本-選擇權評價法」,淡江大學國際企業學研究所碩士論文。
林炯垚(1988),「公司代理關係對股東權益的影響」, 證券管理,第12 期,頁2-6。
林峻嘉(2000),「銀行廠商之存款與放款行為決策—或有請求權分析法」,淡江大學國際企業學研究所碩士論文。
陳宗文(1996),「開放銀行設立後產業結構與績效關係之研究—應用混合時間數列與橫斷面分析法」,國立政治大學企業管理研究所碩士論文。
英文部分:
Black, F., and M. Scholes (1973) “The Pricing of Options and Corporate Liabilities,”Journal of Political Economy, 81, 2, 637-659.
Cavalluzzo, K. S., L. C. Cavalluzzo, and J. D.Wolken (2003) “Competition, Small Business Financing, and Discrimination: Evidence from a New Survey,”Journal
of Business, 75, 4, 641-679.
Cestone, G., and L.White (2003) “Anticompetitive Financial Contracting: The Design of Financial Claims,”Journal of Finance, 58, 5, 2109-2141.
Chan, Y. S., S.I. Greenbaum, and A. V. Thakor (1986), “InformationReusability, Competition and Bank Asset Quality,” Journal of Banking and Finance, 10, 2,
242-253.
Clarke, P., and S.W. Davies (1982) “Market Structure and Price Cost Margins,”Economica, 49, 195, 277-287.
Cosimano, T., and B. McDonald (1998) “What’s Different among Banks?”Journal of Monetary Economics, 41, 1, 57-70.
Crouhy, M., and D. Galai (1991) “A Contingent ClaimAnalysis of a Regulation Depository Institution,”Journal of Banking and Finance, 15, 1, 73-90.
Denis, D. J., D. J. Denis, and A. Sarin (1997) “Ownership Structure and Top Executive Turnover,”Journal of Financial Economics, 45, 2, 193-221.
Fee, C. E. (2002) “The Costs of Outside Equity Control: Evidence from Motion Picture Financing Decisions,”Journal of Business, 75, 4, 681-711.
Hannan, T. H. (1991) “Bank Commercial Loan Markets and the Role of Market Structure: Evidence from Surveys of Commercial Lending,”Journal of Banking and Finance, 15, 1, 133-149.
Ho, T. S. Y., and A. Saunders (1981) “The Determinants of Bank Interest Margins: Theory and Empirical Evidence,”Journal of Financial and Quantitative Analysis, 16, 4, 581-600.
Lin, J. H. (2000), “A Contingent Claim Analysis of a Rate-Setting Financial Intermediary,” International Review of Economics and Finance, 9, 4, 375-386.
Mullins, H. M., and D. H. Pyle (1994) “Liquidation Costs and Risk-Based Bank Capital,”Journal of Banking and Finance, 18, 1, 113-138.
Pao, S. H., and J. H. Lin (2004) “Financial Claims and Product Market Competition: An Explanation for Permitting Banks to Hold Equity in Firms,”Unpublished Paper.
Peek, J., and E. S. Rosengren (1996) “Small Business Credit Availability: How Important is Size of Lender,”in A. Saunders, and I.Walter, eds., Financial System Design: The Case Universal Banking, Homewood, IL.: Irwin
Publishing.
Sapienza, P. (2002) “The Effects of Banking Mergers on Loan Contracts,”Journal of Finance, 57, 1, 329-367.
Schwartz, M., and E. A. Thompson (1986) “Divisionalization and Entry Deterrence,”Quarterly Journal of Economics, 101, 2, 307-321.
Sealey, C.W. (1980) “Deposit Rate-Setting, Risk Aversion and the Theory of Depository Financial Intermediaries,”Journal of Finance, 35, 5, 1139-1145.
Shleifer, A., and R.W. Vishny (1986) “Large Shareholders and Corporate Control,”Journal of Political Economy, 94, 3, 461-489.
Shleifer, A., and R.W. Vishny (1997) “A Survey of Corporate Governance,”Journal of Finance, 52, 2, 737-783.
Slovin, M. B., and M. E. Sushka (1983) “A Model of the Commercial Loan Rate,”Journal of Finance, 38, 5, 1583-1596.
Spellman, L. J. (1982), The Depository Firm and Industry, London: Academic Press Inc..
Veendorp, E. C. H. (1991) “Entry Deterrence, Divisionalization, and Investment Decisions,”Quarterly Journal of Economics, 106, 1, 297-307.
Wong, K. P. (1997) “On the Determinants of Bank Interest Margins under Credit and Interest Rate Risks,”Journal of Banking and Finance, 21, 2, 251-271.
Zarruk, E. R., and J. Madura (1992) “Optimal Bank Interest Margin under Capital Regulation and Deposit Insurance,”Journal of Financial and Quantitative Analysis, 27, 1, 143-149.
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