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

Default Risk in Bank Equity Returns under Capital Injections and Distressed Asset Purchases by Government

吳姵賢(Pei-Shian Wu)

指導教授 ： 林志鴻

共同指導教授 ： 賴錦璋(Chin-Chang Lai)

淡江大學/商學院/國際企業學系碩士班/碩士(2012年)

https://doi.org/10.6846/TKU.2012.00469

摘要

由2007次級房貸到2009年的金融危機，導致全球金融機構陷入流動性不足與信用緊縮之困境。美國推動不良資產援助方案(Troubled Asset Relief Program; TARP)以援救瀕臨崩潰的金融體系。各方學者則對於TARP抱持不同的見解，認為TARP未能有效降低銀行承擔之風險。本研究以金融危機為背景，以銀行權益報酬之角度切入，觀察政府對銀行進行援助之方式對銀行廠商權益報酬違約風險機率是否有直接幫助，進而穩定整體經濟環境。
本研究中政府對銀行援助部份僅限於抵押放款，而進行援助後，銀行將藉由利差管理，減少持有不良放款之數量，並進而對銀行權益報酬違約風險機率產生影響。研究結果表示，不論政府採取直接資金挹入或購買銀行不良資產，皆能有效降低銀行權益報酬之違約風險機率。由此可得，TARP具政策有效性，並進而穩定整體金融環境，但其高援助成本與失敗風險亦由社會大眾共同承擔。

關鍵字

違約風險 ； 利差 ； 政府援助

並列摘要

The subprime mortgage in 2007 and the financial crisis of 2009 caused global financial institutions into a lack of liquidity and credit crunch. The United States promotes the Troubled Asset Relief Program (TARP) in order to save the financial system which is close to collapse. However, many of researchers have different point of views about TARP that they believe TARP does not reduce the risks effectively for the banks. This study based on the financial crisis as the background, the perspective of banks’ equity returns, and observations of government assistance to default risk in bank equity returns are directly and effectively helpful.

The results of this study: The policy (TARP) includes: buying distress assets from banks by exchequer bill and increasing direct capital injection. Though optimal loan rate and mortgage rate adjustment, both way can effectively decrease the default risk in Bank equity returns. According to the results of this study, indicate the policy can solve the problem that institutions lack of liquidity and credit crunch, and effectively stable the financial environment.

並列關鍵字

Default Risk ； Interest Margin ； Bailout

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

許家豪 (2011)，「保證放款支付援助方案，資本管制與銀行最適利差：

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Chan, Y. S., S. I. Greenbaum, and A. V. Thakor (1992) “Is Fairly Priced Deposit

Finance, 21, 1, 55-87.