本篇論文試圖從銀行面對國際放款風險之論點,並應用 Acharya, Hasan, and Saunders (2006)與 Diamond (1984)對於銀行避險方法所持的不同觀點,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,利用比較靜態分析來解釋放款資金面對銀行風險及資本管制下,將會集中於國內放款市場或是分散在國外放款市場。 利用上述研究方法證明出當銀行面對相對高的資本管制時,放款行為將會分散於國外市場,相反的,如果銀行欲追求高風險高收入的放款時,反而會集中放款資金在較熟悉的國內市場,本論文的結果可建議一國若欲將資金留在國內,過多的干預銀行放款行為將會達到反效果。
This thesis uses an option-based model to examine the relationships among capital regulation, bank risk, and the optimal international lending determination. An increase in the capital-to-deposits ratio decreases the bank’s domestic lending and increases foreign lending when the bank realizes a relatively less risky state of the world. An increase in the bank’s risk-taking incentive increases its domestic lending and decreases foreign lending when the bank realizes a relatively more risky state. Our findings provide alternative explanations concerning the effect of capital regulation on lending diversification and the effect of risk-taking incentive on lending focus.