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。

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.

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

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。

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