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系統識別號 U0002-2507201301580800
中文論文名稱 銀行利差決策與政府資本挹入:差異放款風險水平之選擇權評價分析
英文論文名稱 Bank Interest Margin under Government Capital Injection at Various Loan Risk Levels: An Option-Based Net Market Value Approach
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 101
學期 2
出版年 102
研究生中文姓名 楊世婷
研究生英文姓名 Shih-Ting Yang
學號 698550281
學位類別 碩士
語文別 中文
口試日期 2013-05-03
論文頁數 54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-林志娟
中文關鍵字 銀行利差  政府援助  放款風險  選擇權評價模式 
英文關鍵字 Bank Interest Margin  Trouble Asset Relief Program  Loan Risk  Option-Based Valuation 
學科別分類
中文摘要 自2008年全球性金融危機起,金融市場陷入嚴重流動性不足局面。政府為恢復金融市場的穩定,推行不良資產紓困計畫(Trouble Asset Relief Program, TARP),對銀行廠商進行直接資本挹入。本文主要欲探討,在政府資金援助下,政策如何影響銀行的利差決策,並且是否能有效恢復金融市場的穩定。本文以選擇權評價模式建立理論模型,以放款風險為控制變數,來觀察銀行廠商的利差決策反應。在政府進行資本挹入後,銀行會提高放款利率,從而減少風險性資產的持有,以達到穩定金融市場的效果。並且放款風險愈小時,此現象更為明顯。自研究結果可結論:(1)政府進行紓困計畫,政府資本挹入,對於恢復金融市場的穩定是有效的。(2)挑選放款風險小的銀行廠商作為紓困計畫的救援對象,對於幫助金融市場的穩定更加顯著。
英文摘要 Under the global financial crisis from 2008, the global financial institutions go into a lack of liquidity and credit crunch. In order to save the financial system, the government promotes the Trouble Asset Relief Program (TARP), carries on the direct capital to the bank. The main purposes of this study are how the policy affects the bank’s operation management and rate-setting behavior and whether the policy can save the financial system and stabilize the financial system. This study use a contingent claim analysis approach from Black and Scholes (1973) to find the optimal interest rate of banks, and the control variable is loan risk levels. And the results of this thesis demonstrate as follows: Banks would take advantage from the Trouble Asset Relief Program. The rescue plan can effectively improve the bank operations management and make the financial institution steady.
論文目次 目錄

謝辭 …………………………………………………………………………………Ⅰ
中文摘要 ……………………………………………………………………………Ⅲ
英文摘要 ……………………………………………………………………………Ⅳ
目錄 …………………………………………………………………………………Ⅴ
圖表目錄 ……………………………………………………………………………Ⅶ

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 研究方法………………………………………………………………4
第四節 研究架構………………………………………………………………5

第二章 文獻回顧…………………………………………………………………8
第一節 銀行利差決策…………………………………………………………8
第二節 或有請求權 …………………………………………………………11
第三節 政府紓困計畫 ………………………………………………………15

第三章 理論模型 ………………………………………………………………21
第一節 模型概念 ……………………………………………………………21
第二節 模型基本假設 ………………………………………………………25
第三節 目標函數 ……………………………………………………………28

第四章 均衡與比較靜態分析…………………………………………………32
第一節 均衡條件……………………………………………………………32
第二節 比較靜態分析………………………………………………………35

第五章 數值範例分析…………………………………………………………37
第一節 放款風險與利差……………………………………………………37
第二節 存款利率與利差……………………………………………………44

第六章 結論……………………………………………………………………50

參考文獻……………………………………………………………………………51


圖表目錄

圖1-1:研究架構流程圖……………………………………………….……….……7
圖3-1:金融性廠商投入產出流程圖………………………..…………….….……23
圖3-2:生產性廠商投入產出流程圖………………………..…………….….……23
表2-1:銀行利差管理之相關文獻……………..………………………….….……11
表2-2:Black and Scholes模型之相關論文………..…..……………..…...………15
表2-3:政府紓困計畫之相關文獻…………………………..…………….….……19
表3-1:模型基本假設簡表整理……………………………..…………….….……28
表5-1:在σ = 0.2條件下, L R 與θ 變動對Q之影響…………..…………………38
表5-2:在σ = 0.3條件下, L R 與θ 變動對Q之影響…………..…………………39
表5-3:在σ = 0.4條件下, L R 與θ 變動對Q之影響…………..…………………40
表5-4:在σ = 0.5條件下, L R 與θ 變動對Q之影響…………..…………………41
表5-5:在= 2.0% D R 條件下, L R 與θ 變動對Q之影響………….………………45
表5-6:在= 1.5% D R 條件下, L R 與θ 變動對Q之影響………………….………46
表5-7:在= 1.0% D R 條件下, L R 與θ 變動對Q之影響…………………….……47
表5-8:在= 0.5% D R 條件下, L R 與θ 變動對Q之影響………………….………48
參考文獻 中文部分:

葉秋南 (2009),「美國金融危機時期的貨幣政策」,《台灣經濟論衡》,第7卷,第11期,頁20-39。

楊蓁海 (2007),「我國銀行存放款利差減少原因剖析與因應對策」,《台灣經濟金融月刊》,第29卷,第2期,頁45-82。

英文部分:

Bayazitova, D., and A. Shivdasani (2012) “Assessing TARP,” Review of Financial Studies, 25, 2, 377-407.

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.

Brock, P. L., and L. R. Suarez (2000) “Understanding the Behavior of Bank Spreads in Latin America,” Journal of Development Economics, 63, 1, 113-134.

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.

Economist (2009) “American Banks, It Takes Two to Tango,” Economist, March 28, 70.

Francis, T. (2009) “Creating a Bank to Take on Toxic Assets,” BusinessWeek, February 9, 22.

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.

Kihlstrom, R. E., and D. Levhari (1977) “Quality, Regulation, and Efficiency,” Kyklos, 30, 2, 214-234.

Klein, M. A. (1971) “A Theory of Banking Firm,” Journal of Money, Credit and Banking, 3, 2, 205-218.

Lin, J. H. (2000) “A Contingent Claim Analysis of a Rate Setting Financial Intermediary,” International Review of Economics and Finance, 9, 2, 375-386.

Lin, J. J., C. H. Chang, and J. H. Lin (2009) “Rescue Plan, Bank Interest Margin and Future Promised Lending: An Option-Pricing Model,” WSEAS Transactions on Information Science and Applications, 6, 6, 956-965.

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.

Lin, J. J., J. H. Lin, and P. C. Huang (2010) “Modeling Bank Interest Margin and Loan Quality under the Troubled Asset Relief Program: An Option-Pricing Approach,” WSEAS Transactions on Circuits and Systems, 11, 9, 689-699.

Lin, J. H., J. J. Lin, and C. H. Chang (2012) “A Note on Selling Distressed Loans with Bank Bailouts: Modeling of Bank Interest Margins with Default Probabilities,” Applied Economics Letters, 19, 7, 623-627.

Mandel, M. (2009) “The ‘Bad Bank’ Solution,” BusinessWeek, February 9, 27.

Merton, R. C. (1974) “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, 29, 2, 449-470

Mullins, H. M., and D. H. Pyle (1994) “Liquidation Costs and Risk-Based Bank Capital,” Journal of Banking and Finance, 18, 1, 113-138.

Sealey, C. (1980) “Deposit Rate-Setting, Risk Aversion, and the Theory of Depository Financial Intermediaries,” Journal of Finance, 35, 5, 1139-1154.

Spellman, L. J. (1982) The Depository Firm and Industry: Theory, History, and Regulation, N.Y., Academic Press.

Vassalou, M., and Y. Xing (2004) “Default Risk in Equity Returns,” Journal of Finance, 59, 2, 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, 1, 251-271.

Wong, K. P. (2011) “Regret Theory and the Banking Firm: The Optimal Bank Interest Margin,” Economic Modeling, 28, 6, 2483-2487.

Zarruk, E. R., and J. Madura (1992) “Optimal Bank Interest Margin under Capital Regulation and Deposit Insurance,” Journal of Finance and Quantitative Analysis, 27, 1, 143-149.
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