- 學位論文
放款承諾、外部資金與金融穩定性：存款保險機構之論點
Do Loan Commitments with External Financing Cause Financial Instability: A Deposit Insurer’s Perspective
摘要
本篇論文試圖從存款保險機構之論點，並應用Crouhy and Galai (1991)與Lin(2000)權益價值評價模式的觀念，導入具有能夠評估市場價值(market value)之Black and Scholes (1973)選擇權評價方法，建立一個具有限制條件特性的或有請求權(contingent claim)模型，來解釋銀行如何利用外部金融來滿足放款承諾之相關決策。 利用上述研究方法證明出當存款保險機構提供銀行存款保險時，增加銀行外部金融會減少存款保險機構對銀行未來負債價值的評估，銀行於未超出過度放款的範圍(清算價值)內利用外部金融來滿足放款承諾並不會引起金融的不穩定，本論文的結果將會鼓勵銀行在流動性管理方面可多利用放款承諾的方式來進行。
並列摘要
This paper examines the relationship between loan commitments with external financing and state contingent deposit insurance programs. In a model all financial assets are assumed to face the perfect competitive markets, changes in the bank’s external financing have a direct effect on the deposit insurer’s expected future liability with the bank. An increase in the bank’s external financing amount decreases the insurer’s option-based future liability with the bank. It is shown that loan commitments do not cause financial instability. In the article we also discuss bank’s profit-shifting strategy. If the equity dilution effect greater than bank’s external financing arise margin, the bank will prefer does not use the external financing satisfied the loan commitments; adversative if bank’s external financing arise margin greater than the equity dilution effect, the bank will prefer to use the external financing satisfied the loan commitments.