[[alternative]]The analysis of banking firms' investment strategies on productive firms - an option-based valuation

碩士[[abstract]]隨著金融管制的鬆綁，銀行為求發展不但規模日益擴大，對於各項投資的方式也走向多元化，因此，政府各項對於銀行或金融機構的管制措施，應更審慎考量其適當性，何者應保留，何者可開放，如此方可達到金融健全及金融發展雙方兼顧的理想。 本研究探討生產性廠商對彼此行為的猜測變量以及資本管制下的資本存款比會如何影響銀行持有生產性廠商股份的行為，與銀行最適放款利率的決定。研究重點在於試圖建立一個利率制定之模型，導入Black and Scholes (1973)提出的或有請求權分析法，模型結合了投資組合理論中的風險屬性及、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，以供政府及銀行廠商發展決策時參考。 本研究的兩個主要結果顯示：（1）生產性廠商之間的合作程度愈高，銀行的持股意願會愈低；反之，合作程度愈低，銀行持股意願愈高。（2）在固定猜測變量下，資本存款比的變化並不影響銀行廠商對生產性廠商之投資決定。根據這兩項結果，可得知銀行對生產性廠商的持股行為不會傷害生產市場的競爭結構，因此在法令上可建議政府適當地解除銀行持股的管制。[[abstract]]After the financial deregulations, banks pursue not only scale expansion but also investment diversification. Therefore, the government should pay more attention on the adequacy of how financial laws be established. This study analyzes how productive firms’conjectural variation and capital-to-deposits ratio affect banking firms’investment behaviors on productive firms and their optimum loan rate decisions. We focus on banking firms’rate-setting model and quote the contingent clam 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. This study shows two results: fist, the higher cooperation degree among the productive firms, the lower inclination of banking firms’investment on productive firms; second, under the fixed conjectural variations, the changes of capital-to-deposits ratio will not affect banking firms’investment behaviors. According to these two results, we can understand that banking firms’investment on productive firms would not damage the competitive structure of productive market. Therefore, we can suggest the government loosen the limitation of banking firms’investment on productive firms.[[tableofcontents]]圖表目錄.............................. .................II 第一章緒論.............................................. 1 第一節研究動機...........................................2 第二節研究目的...........................................3 第三節研究對象及研究方法.................................3 第四節研究架構與流程.....................................4 第二章文獻探討.......................................... 8 第一節風險變動與銀行利率制定行為相關文獻.................9 第二節生產性廠商與銀行廠商行為相關文獻..................16 第三節Black and Scholes 評價模型之相關文獻..............22 本章附註................................................28 第三章基本模型......................................... 30 第一節模型之基本假設....................................30 第二節目標函數之建立....................................39 第四章均衡利率模型與比較靜態分析....................... 51 第一節均衡利率模型......................................51 第二節比較靜態分析結果..................................55 第五章結論............................................. 62 參考文獻............................................... 64 圖表目錄 圖1-1 研究架構...........................................5 圖1-2 研究流程...........................................7 表2-1 銀行利率制定行為之相關文獻........................15 表2-2 生產性廠商與銀行廠商行為相關文獻..................21 表2-3 Black and Scholes 評價模型之相關文獻..............26 表3-1 台灣地區金融機構逾放比率..........................39[[note]]學號: 692481640, 學年度: 9