銀行利差、資產風險與政府紓困：不良放款購買與補貼援助

由於2007年發生次級房屋信貸危機，嚴重地威脅到美國金融體系的穩定，造成多家金融機構出現財務危機，甚至面臨倒閉的風險。美國政府當局實施不良資產紓困計畫(Trouble Asset Relief Program, TARP)以有效地減緩金融機構流動性不足的問題，並降低其不良放款的持有。TARP中不良放款購買即為政府一項重要援助方案，因此本論文將以美國金融危機為背景，進一步探討政府不良放款購買和購買不良放款時給予銀行之補貼援助，分別對銀行利差的影響；此外，本論文將資產風險納入考量，觀察在給予不同的風險水準情況下對利差之影響。最後，藉由此三方面對銀行利差的影響，得更深入地分析政府實施之援助計畫對於穩定金融市場是否有效。　　本論文應用Black and Scholes (1973)的或有請求權評價模式，並採用Lin (2000)的銀行廠商理論模型中之市場特性，建構出本論文的模型，以探討政府援助方案對銀行利差之影響。本研究結果顯示，政府對銀行不良放款購買與提供其補貼援助，將導致銀行利差下降去追逐高風險高報酬，而在影響程度差異方面顯示出，政府購買銀行不良放款時，增加其不良放款購買比例或補貼比例，將可降低對銀行利差下降的影響，但資產風險愈高時，對利差下降的影響程度愈高。

關鍵字

銀行利差；資產風險；不良放款；政府紓困計畫；或有請求權評價模式

並列摘要

The subprime mortage crisis in 2007 threatened the stability of Americn financial system seriously and caused many financial institutions appear financial troubles or even go bankrupt. The United States authorities carried out the Trouble Asset Relief Program (TARP) to save financial institutions from lacking of liquidity and decreased the distressed loan hold by them. Distressed loan purchases was one of the important assistances in TARP. Thus, this paper will use the U.S. financial crisis as the background. To explore further on government’s distressed loan parchases and bailout subsidization effect on bank interest margin respectively. Besides, this paper will take asset risk into account. To observe the different risk levels, which might affect interest margin. Finally, through these three conditions affect with bank interest margin, we could analyze that effectiveness of rescue by government. 　　Black and Scholes (1973)’s contingent claim analysis will be the main research method that applied to this paper, and it also based on a theoretical model built by Lin (2000). The result of study demonstrate, that government purchasing banks’distressed loan and offering bailout subsidization, will both decrease the bank interest margin. According to the decrease of the bank interest margin, banks will take higher risk to get higher return. In addition, the study will also show the gap of influencing degree on interest margin’s decreasing. When government purchases distressed loan from banks, both increasing ratio of distressed loan purchases or bailout subsidization are going to reduce effect upon the decreasing of bank interest margin. However, the influencing degree of interest margin decrease will become higher if asset risk is relatively higher.

並列關鍵字

Bank Interest Margin ； Asset Risk ； Distressed Loan ； TARP ； Contingent Claim Analysis

參考文獻

邱淑婷(2011)，「資本管制、紓困方案與銀行利差管理：兩階段買賣權訂價模型」，淡江大學國際企業學系碩士論文。

Jou, R., and Lin, J. H., 2010, “A Two-Stage Call-Put-Pricing Framework for a “Bad Banks,” Solution and Bank Profitability,” International Journal of Information and Management Sciences, 21, 2, 143-156.

吳姵賢(2012)，「政府資金挹入與購買不良資產方案對銀行權益報酬違約風險機率影響之探討」，淡江大學國際企業學系碩士論文。

Angbazo, L., 1997, “Commercial Bank Net Interest Margin, Default Risk, Interest-Rate Risk, and Off-Balance Sheet Banking,” Journal of Banking and Finance, 21, 1, 55-87.

Bebchuk, L. A., 2008, “A Plan for Addressing the Financial Crisis,” Economists' Voice, 5, 5, 6-6.

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銀行利差、資產風險與政府紓困：不良放款購買與補貼援助

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