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

Bank Interest Margin under Government Capital Injection at Various Loan Risk Levels: An Option-Based Net Market Value Approach

楊世婷(Shih-Ting Yang)

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(2013年)

https://doi.org/10.6846/TKU.2013.01043

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。

關鍵字

銀行利差 ； 政府援助 ； 放款風險 ； 選擇權評價模式

並列摘要

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.

並列關鍵字

Bank Interest Margin ； Trouble Asset Relief Program ； Loan Risk ； Option-Based Valuation

參考文獻

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