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中文論文名稱 資本管制、紓困方案與銀行利差管理:兩階段買賣權訂價模型
英文論文名稱 Bad Bank Solution and Optimal Interest Margin under Capital Regulation: A Two-Stage Call-Put-Based Option Model
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 99
學期 2
出版年 100
研究生中文姓名 邱淑婷
研究生英文姓名 Shu-Ting Chiu
電子信箱 popobar912050@yahoo.com.tw
學號 698550976
學位類別 碩士
語文別 中文
口試日期 2011-05-07
論文頁數 81頁
口試委員 指導教授-林志鴻
共同指導教授-賴錦璋
委員-張慶暉
委員-蔡政言
中文關鍵字 銀行最適利差  不良資產  資本管制  買權  賣權 
英文關鍵字 Bank Interest Margin  Troubled Loans  Capital Regulation  Call Option  Put Option 
學科別分類
中文摘要 隨著國際金融海嘯的到來,導致流動性枯竭及金融市場信用緊縮,同時,伴隨著金融監管的疏失與不足下,政府發展其對營運艱困銀行之援助計畫,目的是探討政府提出之援助計畫對營運艱困銀行之經營體系的改善是否有直接幫助,且間接的穩定其金融市場,以及政府對於銀行或金融機構的管制措施,是否也能審慎考量其適當性,如此方可達到政府及金融機構之雙方兼顧之預期。

本研究探討政府之政策及資本管制下會如何影響營運艱困銀行經營體質之改善,與銀行最適放款利率的決定。研究重點在於試圖建立一個買權-賣權兩階段選擇權訂價模型,並導入Black and Scholes (1973)提出的或有請求權分析法,決定銀行及政府之權益報酬來凸顯其政策有效性。模型結合了投資組合中的風險屬性、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,以供政府及金融機構之參考。

本研究顯示出兩個主要結果:(1)政府提出之政策(TARP),包括:增加不良資產之購買比例及增加資金挹注時,有效改善營運艱困銀行之經營體質,銀行之權益報酬皆增加。(2)政府增加其營運艱困銀行之資本管制時,導致銀行之權益報酬反而減少。根據這兩項結果可得知,政府所提出之TARP,大部分資金是來自於納稅人,銀行體質變好,同時,金融市場穩定了,相對失業問題降低,對納稅人而言自然有利。但資本管制下的政策,可建議政府回歸市場機制,減少不必要的干預,過度干預反而會造成反效果,何不讓市場自動調節,回復銀行本身其效率。
英文摘要 The purpose of this study is to explore how to decide the optimal interest margin of the selected banks and improvement of bank’s operation management under the policy effectiveness of the banking bailout program and capital regulation. This paper develops a two-stage call-put pricing framework and quotes the contingent claim 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.

The results of this study reveal as follows: (1) The policy (TARP) includes: buying troubled loans from selected banks by using funds and increasing equity capital inflow for the government. Both can effectively improve the bank operations management. (2) The government decides to increase the capital regulation. The optimal interest rate of banks will decrease in order to provide a return to a larger equity base under the negative elasticity effect. According to the results of this study, an institution that created by government used funds which are from taxpayer and private investors. The bank changed for the better physique, at the same time, the financial market steady. And it reduces unemployment rate and creates more jobs. However, the capital regulation can be suggested that the government return to market mechanism and reduce unnecessary intervention.
論文目次 謝 辭 I
中文摘要 II
英文摘要 III
目 錄 IV
圖表目錄 VI

第一章 緒論 1
第一節 研究動機 2
第二節 研究目的 4
第三節 研究方法 5
第四節 研究架構 6

第二章 文獻探討 9
第一節 資本管制相關文獻 9
第二節 紓困方案相關文獻 14
第三節 Black-Scholes模型與銀行廠商理論銀行利差 20

第三章 模型概念與關鍵假設 28
第一節 模型概念 28
第二節 關鍵性假設 36

第四章 基本模型 42
第一節 營運艱困的銀行 42
第二節 政府紓困方案 48

第五章 模型均衡條件與比較靜態分析 52
第一節 模型均衡條件 52
第二節 比較靜態分析結果 54

第六章 結論與應用 67

附錄 69

參考文獻 77

圖表目錄

表2-1:資本管制評價模型之相關文獻 14
表2-2:紓困方案之相關文獻 19
表2-3:Black-Scholes評價模型之相關文獻 26
表3-1:生產性廠商與金融性廠商的差異性 33
表3-2:假設條件與設立理由 41
表5-1:比較靜態分析結果彙總表 65
圖1-1:研究架構流程圖 8
圖3-1:買入賣權損益 35
圖3-2:賣權買方的履約價值與到期日的損益關係 36
參考文獻 中文部分:

王玉芬 (2003),「利率上限避險契約與銀行利差管理-選擇權評價式分析」,淡江大學財務金融學系碩士論文。
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。
王鶴松 (2009),「金融風暴後美國金融改革的策略」,台灣經濟金融月刊,第45卷,第十期,頁1-6。
朱明輝 (2009),「全球金融風暴對中國經濟之影響」,台灣經濟金融月刊,第45卷,第七期,頁54-63。
沈中華 (2005),金融市場全球觀點,台北:新陸書局有限公司,頁7。
吳建良 (2003),「資本適足與逾期放款率對銀行財務績效之影響」,世新大學經濟學系碩士論文。
吳麗紅 (2006),「啇品放款契約與放款組合交換」,西南財經大學企業管理專業博士論文。
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。
林瑀珊 (2008),「會計權責、銀行權益報酬違約風險與資本管制: 選擇權評價模式分析」,淡江大學國際貿易學系國際企業學碩士班碩士論文。
林蕙萍 (1999),「風險導向資本管制與銀行風險關係之研究」,長庚大學管理學研究所碩士論文。
周超一 (2004),「台灣之銀行存款保險費率估計」,靜宜大學應用數學所財務工程組碩士論文。
陳美菊 (2009),「全球金融危機之成因、影響及因應」,台灣經濟金融月刊,第四十五卷,第四期,頁261-296。
陶慧恆 (2009),「美國之穩定金融措施」,金融危機專刊,98 年12 月,中央銀行,頁73-100。
黃富櫻 (2009),「本次金融危機之五個重要個案分析」,金融危機專刊,98 年12 月,中央銀行,頁47-72。
劉永欽 (1991),「商業銀行流動性管理之理論與實證」,中央大學財務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.
Breitenfellner, B., and N. Wagner (2010) “Government Intervention in Response to the Subprime Financial Crisis: The Good into the Pot, the Bad into Crop,” International Review of Financial Analysis, 19, 4, 289-297.
Chan, Y., S.I. Greenbaum and A.V. Thakor (1986) “Information Reusability, Competition and Bank Asset Quality,” Journal of Banking and Finance, 10, 2, 243-253.
Crouhy, M., and D. Galai (1991) “A Contingent Claim Analysis of a Regulated Depository Institution,” Journal of Banking and Finance, 15, 1, 73-90.
Diamond, D. W., and R. G. Rajan (2002) “Liquidity Shortages and Banking Crises,” Working paper, University of Chincago.
Economist (2009) “America’s Toxic-Asset Plan, Dr. Geithner’s Bank Rehab,” Economist, March 28th, 69-70.
Finn, W., and J. Frederick (1992) “Banks and Banking Periodicals,” ABA Banking Journal, 84, 4, 50-54.
Francis, T. (2009) “Creating a Bank to Take on Toxic Assets,” BusinessWeek, February 9th, 22.
Froot, K., and J. C. Stein (1998) “Risk Management, Capital Budgeting, and Capital Structure Policy for Financial Institutions: An Integrated Approach,” Journal of Financial Economics, 47, 1, 55-82.
Golin, J. (2001) The Bank Credit Analysis Hanmdbook: A Guide for Analysts, Bankers and Investors, John Wiley and Sons (Asia) Pre Ltd.
Gorton, G., and L. Huang (2004) “Liquidity, Efficiency, and Bank Bailouts,” American Economic Review, 94, 3, 455-483.
Hancock, D. (1986) “A Model of the Financial Firm with Imperfect Asset and Deposit Elasticities,” Journal of Banking and Finance, 10, 1, 37-54.
Hull, J. C. (1993) Options, Futures, and Other Derivative Securities, 2nd Edition, London: Prentice-Hall International Inc.
Jou. R., and J. H. Lin (2010) “A Two-Stage Call-Put-Pricing Framework for a “Bad Bank” Solution and Bank Profitability,” International Journal of Information and Management Sciences, 21, 2, 143-156.
Kashyap, A. K., R. Rajan, and J. C. Stein (2002) “Banks as Liquidity Providers: An Explanation for the Coexistence of Lending and Deposit-Taking,” Journal of Finance, 57, 1, 33-73.
Klein, M. A. (1971) “A Theory of Banking Firm,” Journal of Money, Credit and Banking, 3, 2, 205-2-8.
Koehn, M., and A. M. Santomero (1980) “Regulation of Bank Capital and Portfolio Risk,” Journal of Finance, 35, 5, 1235-1244.
Lin, J. H. (2000) “A Contingent Claim Analysis of a Rate-Setting Financial Intermediary,” International Review of Economics and Finance, 9, 4, 375-386.
Lin, J. J., C. H. Chang, and J. H. Lin (2009) “Troubled Asset Relief Program, Bank Interest Margin and Default Risk in Equity Return: An Option-Pricing Model,” WSEAS Transactions on Mathematics, 8, 3, 117-126.
Lin, J. H., P. Lii and C. P. Chang (2005) “Loan Commitments, Asymmetric Information, and Capital Regulation: An Explanation for the Synergy or Narrow-Banking Management,” Journal of Information and Optimization Sciences, 26, 1, 143-163.
Mandel, M. (2009) “The ‘Bad Bank’ Solution,” BusinessWeek, February 9th, 27.
Merton, R. C. (1974) “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, 29, 2, 449-470.
Merton, R. C. (1978) “On the Cost of Deposit Insurance When There Are Surveillance Cost,” Journal of Business, 51, 3, 439-452.
Merton, R. C. (1989) “On the Application of the Continuous-Time Theory of Finance to Financial Intermediation and Insurance,” Geneva Papers on Risk and Insurance, 14, 52, 225-261.
Mullins, H. M., and D. H. Pyle (1994) “Liquidation Costs and Risk-Based Bank Capital,” Journal of Banking and Finance, 18, 1, 113-138.
Ronn, E., and A. Verma (1986) “Pricing Risk-Adjusted Deposit Insurance: An Option-Based Model,” Journal of Finance, 41, 4, 871-895.
Sealey, C. W. (1980) “Deposit Rate-Setting, Risk Aversion, and the Theory of Depository Financial Intermediaries,” Journal of Finance, 35, 5, 1139-1154.
Sealey, C. W., and J. T. Lindley (1977) “Inputs, Outputs, and a Theory of Production and Cost at Depository Financial Institutions,” Journal of Finance, 32, 4, 1251-1266.
Slovin, M., 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.
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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