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  • 學位論文

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

Bad Bank Solution and Optimal Interest Margin under Capital Regulation: A Two-Stage Call-Put-Based Option Model

指導教授 : 林志鴻
共同指導教授 : 賴錦璋(Chin-Chang Lai)

摘要


隨著國際金融海嘯的到來,導致流動性枯竭及金融市場信用緊縮,同時,伴隨著金融監管的疏失與不足下,政府發展其對營運艱困銀行之援助計畫,目的是探討政府提出之援助計畫對營運艱困銀行之經營體系的改善是否有直接幫助,且間接的穩定其金融市場,以及政府對於銀行或金融機構的管制措施,是否也能審慎考量其適當性,如此方可達到政府及金融機構之雙方兼顧之預期。 本研究探討政府之政策及資本管制下會如何影響營運艱困銀行經營體質之改善,與銀行最適放款利率的決定。研究重點在於試圖建立一個買權-賣權兩階段選擇權訂價模型,並導入Black and Scholes (1973)提出的或有請求權分析法,決定銀行及政府之權益報酬來凸顯其政策有效性。模型結合了投資組合中的風險屬性、成本條件及利率制定行為的廠商理論。本研究假設銀行廠商在追求權益價值極大化為前提之下,建立出其目標函數,分析其利率制定策略,以供政府及金融機構之參考。 本研究顯示出兩個主要結果:(1)政府提出之政策(TARP),包括:增加不良資產之購買比例及增加資金挹注時,有效改善營運艱困銀行之經營體質,銀行之權益報酬皆增加。(2)政府增加其營運艱困銀行之資本管制時,導致銀行之權益報酬反而減少。根據這兩項結果可得知,政府所提出之TARP,大部分資金是來自於納稅人,銀行體質變好,同時,金融市場穩定了,相對失業問題降低,對納稅人而言自然有利。但資本管制下的政策,可建議政府回歸市場機制,減少不必要的干預,過度干預反而會造成反效果,何不讓市場自動調節,回復銀行本身其效率。

並列摘要


The purpose of this study is to explore how to decide the optimal interest margin of the selected banks and improvement of bank’s operation management under the policy effectiveness of the banking bailout program and capital regulation. This paper develops a two-stage call-put pricing framework and quotes the contingent claim approach from Black and Scholes (1973). Our model involves the firm theories about risk attribute, cost condition and rate-setting behavior. We construct our banking firms’ target profit function to analyze the rate-setting strategies for the consultation to the government and commercial banks on strategies making under the assumption that banking firms pursue maximizing their equity values. The results of this study reveal as follows: (1) The policy (TARP) includes: buying troubled loans from selected banks by using funds and increasing equity capital inflow for the government. Both can effectively improve the bank operations management. (2) The government decides to increase the capital regulation. The optimal interest rate of banks will decrease in order to provide a return to a larger equity base under the negative elasticity effect. According to the results of this study, an institution that created by government used funds which are from taxpayer and private investors. The bank changed for the better physique, at the same time, the financial market steady. And it reduces unemployment rate and creates more jobs. However, the capital regulation can be suggested that the government return to market mechanism and reduce unnecessary intervention.

參考文獻


Jou. R., and J. H. Lin (2010) “A Two-Stage Call-Put-Pricing Framework for a “Bad Bank” Solution and Bank Profitability,” International Journal of Information and Management Sciences, 21, 2, 143-156.
周超一 (2004),「台灣之銀行存款保險費率估計」,靜宜大學應用數學所財務工程組碩士論文。
林瑀珊 (2008),「會計權責、銀行權益報酬違約風險與資本管制: 選擇權評價模式分析」,淡江大學國際貿易學系國際企業學碩士班碩士論文。
Lin, J. J., C. H. Chang, and J. H. Lin (2009) “Troubled Asset Relief Program, Bank Interest Margin and Default Risk in Equity Return: An Option-Pricing Model,” WSEAS Transactions on Mathematics, 8, 3, 117-126.
Black, F., and M. Scholes (1973) “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, 81, 2, 637-659.

被引用紀錄


賴君岳(2013)。銀行利差、資產風險與政府紓困:不良放款購買與補貼援助〔碩士論文,淡江大學〕。華藝線上圖書館。https://doi.org/10.6846%2fTKU.2013.00206
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〔碩士論文,淡江大學〕。華藝線上圖書館。https://doi.org/10.6846%2fTKU.2012.00469
李致緯(2012)。政府援助計畫、權益報酬風險與違約風險機率:選擇權評價分析〔碩士論文,淡江大學〕。華藝線上圖書館。https://doi.org/10.6846%2fTKU.2012.00403

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