存款保險政策效果與銀行股票融資成本之評價

Two Essays on the Deposit Insurance Adoption and the Bank Margin Loans Valuation

吳唯雄(Wei-Hsiung Wu)

指導教授 ： 黃達業

國立臺灣大學/管理學院/財務金融學研究所/博士(2008年)

https://doi.org/10.6342/NTU.2008.00146

摘要

本論文分兩部分，第一部份探討存款保險以及監理寬容對於資本規範之影響。隨著巴塞爾協定之實施，銀行資本規範全球趨於一致，但監理寬容政策各國不同。Acharya (2003)認為在國際競爭的壓力下，不同的銀行退場政策終究會趨於一致，導致更不穩定的金融環境。吾人主張儘管有國際競爭壓力，只要各國監理機關對於監理寬容的態度是歧異的，各國銀行退場政策仍舊會不同。此項發現的涵義為，評估一項政策工具之影響時，不能不考量來自其他相關政策工具之反匱效果。
第二部分主要探討台灣券商所收取的融資利率是否過高。融資債權為一種擔保債權，而擔保債權可用賣權公式來評價。債權到期時，若借款人償還債務，則擔保品將歸還。若債務人無法清償債務，擔保品將被債權人處分以抵銷債權。但若擔保品價值無法滿足債權，債權人將蒙受損失。因此，擔保債權可類比為一種賣權，其中擔保品為標的資產，債權面值為執行價格。融資債權既為擔保債權，其公平利率自可用賣權公式評價。利用Black-Scholes公式，吾人導出融資債權之公平成本。採用台灣股價資料之實證分析顯示，台灣券商所收取之融資利率皆高於各股應收取之公平利率。吾人推論證券融資放款業務缺乏競爭為主因。

關鍵字

存款保險 ； 監理寬容 ； 資本要求 ； 巴塞爾協定 ； 融資債權 ； 選擇權評價模型

並列摘要

The first part is focusing on the policy impact of deposit insurance scheme. With the implementation of Basel Accord, bank capital standards are unified worldwide, but the closure policies are different across nations. In Acharya (2003), it is shown that under the pressure of international competition, different closure policies will converge eventually and lead to more unstable financial environments. In this paper, we show that despite of the international competition, as long as the attitudes of bank regulators toward forbearance are heterogeneous, closure policies remain divergent. The implication of this finding is that the effect of one regulatory instrument cannot be evaluated alone without considering feedbacks from other related tools.
The second part is to discuss whether the margin loan rates in Taiwan are over-charged. A collateral loan can be priced by a put option. The intuition behind is that, at maturity date, if the lender repays the loans, then the collateral asset is returned. On the contrary, if the lender fails to repay the loans, the collateral asset is liquidated. But if the value of the collateral asset cannot meet the liabilities, the borrower absorbs the losses. Thus, the collateral loan can be compared as a put option with the collateral serving as the underlying asset, and the face value of the debt serving as the strike price. The margin loans are a kind of collateral loan, and hence can be priced by the put option model. In this paper, we derive a simple formula to calculate the costs of the margin loans. Using data in Taiwan, the empirical results show that the costs of margin loans are overcharged. The lack of competition in the margin loans market is a major reason.

並列關鍵字

Deposit Insurance ； Forbearance ； Capital Requirements ； Basel Accord ； Margin Loans ； Option Pricing Model

參考文獻

Acharya, V. V., 2003, Is the International Convergence of Capital Adequacy Regulation Desirable? Journal of Finance 58, 2745-2782.

Allen, L. and A. Saunders, 1993, Forbearance and Valuation of Deposit Insurance as a Callable Put, Journal of Banking and Finance 17, 629–643.

Buser, S. A., A. H. Chen, and E. J. Kane, 1981, Federal Deposit Insurance, Regulatory Policy, and Optimal Bank Capital, Journal of Finance 36, 51-60.

Calomiris, C., and E. White, 1994, The Origins of Federal Deposit Insurance, In: C. Goldin and G. Libecap, eds., The Regulated Economy: A Historical Approach to Political Economy. Chicago: University of Chicago Press, 145-188.

Dekle, R. and K. Kletzer, 2004, Deposit Insurance, Regulatory Forbearance and Economic Growth: Implications for the Japanese Banking Crisis, Santa Cruz Center for International Economics, Working Paper Series 1017.