銀行利差、政府援助收回與銀行穩定性：障礙選擇權評價分析

Government bailout return, bank interest margin, and banking stability in a option framework.

蔡依婷(Yi-Ting Tsai)

指導教授 ： 林志鴻

共同指導教授 ： 賴錦璋

淡江大學/商管學院/國際企業學系碩士班/碩士(2014年)

https://doi.org/10.6846/TKU.2014.00676

摘要

本篇論文主要應用Hoshi and Kashyap (2010)提出美國政府在2008年金融風暴期間為了改善問題銀行之穩定性所產生不良資產紓困計畫，此計畫內容包含兩種，一為不良資產購買，二為直接注資的兩種組合方式，探討問題銀行在政府援助投資下，銀行本身的最適利差以及銀行體系的穩定性，並且在Merton (1973)、Brockman and Turtle (2003)和Episcopos (2008)障礙選擇權的基礎下，評估當問題銀行後續償還政府債務時，其償還成本會對銀行本身的利差管理出現何種變化，且將如何影響政府預期收回狀況。

根據上述研究結果顯示，當政府進行援助時，不論是採購買不良資產的方式抑或是直接注資，皆有效使銀行利差提升，並且強化銀行之風險承受度，進而使銀行體系穩定，另外，政府預期收回狀況會因為問題銀行面臨障礙提升，而導致收回狀況減弱，但整體而言對於納稅人之利益還有銀行體系的穩定還是有效提升。

關鍵字

不良資產購買 ； 直接注資 ； 銀行利差 ； 政府預期收回

並列摘要

The barrier options theory of corporate security valuation is applied to the contingent claims of a bank in distress. This thesis examines the optimal bank interest margin, i.e., the spread between the loan rate and the deposit rate, when the distressed bank is bailed out by the government’s distressed asset purchases and direct equity capital injections based on the Emergency Economic Stabilization Act in 2008. We find that the optimal bank interest margin at various levels of barrier is positively related to distressed loan purchases and direct equity capital injections. The positive expected return from the government’s bailout investment, that this focus might be in the very best interest of taxpayers, is negatively related to both the bailout programs. Government bailouts as such make the bank less prone risk taking, thereby contributing the stability of the banking system. In particular, restoring the banking stability may not cost taxpayers. Our results largely support the Act.

並列關鍵字

Barrier option ； Bank interest margin ； Bailout return ； TARP

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