好天氣認知行為模式與最適放款利率 : 選擇權評價分析

淡江大學機構典藏 > 商管學院 > 國際企業學系暨研究所 > 學位論文 > Item 987654321/32220

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题名:	好天氣認知行為模式與最適放款利率 : 選擇權評價分析
其它题名:	Good day sunshine and bank loan rate determination : an option-based valuation
作者:	陳怡蓁;Chen, Yi-jen
贡献者:	淡江大學國際貿易學系國際企業學碩士班林志鴻;Lin, Jyh-horng;林志娟;Lin, Jyh-jiuan
关键词:	最適放款利率;好天氣;資本對存款比;Optimal Loan Rate;Sunny Weather;Capital-to-Deposits Ratio
日期:	2006
上传时间:	2010-01-11 01:51:47 (UTC+8)
摘要:	近年行為財務學的興起，以行為因素來輔助說明股市的變化，而本研究試圖將此影響延伸至銀行廠商利率制定行為，透過天氣對銀行經理人心情與行為的影響，探討好天氣、資本管制、存款市場利率與銀行放款利率之間的相關性。本文模型在假設銀行廠商在追求權益價值極大化之前提下，建立其目標函數，模型導入 Black and Scholes 提出的或有請求權分析法，並結合投資組合理論中，面對好天氣的情緒、資本管制、及存款市場利率下的風險考量及廠商理論之放款利率制定行為，建立均衡利率模型並作比較靜態分析。本文主要的結論有三：(1) 當銀行處於正的或中立風險彈性效果下，當放款利率與天氣為策略性替代時，晴天導致經理人樂觀的心情因而降低銀行的放款利率 (2) 當銀行面對負的彈性效果下，提高資本存款比率會降低銀行的放款利率 ( 3) 在策略替代之下，存款市場利率的提高因而降低銀行放款利率。根據本文的結果，本文建議銀行經理人回歸理性思考，避免因為好的天氣帶來的樂觀態度而作成追逐過多風險的決策。 Recent years the behavioral finance arises, utilizing behavioral factors to explain possible influences in the stock market. Therefore, our model attempts to use some behavioral interference of loan rate-setting determination, in particular, through the influences of the weather on the bank manager’s mood as well as behavior, and to study how sunny weather, capital regulation, deposit market interest rate, and optimal loan rate relate to one another. In the model, we construct the bank’s objective function by assuming the bank maximizes its return of equity capital. We use a contingent claim approach based on the option-based Black-Scholes valuation and further integrate the risk considerations of the portfolio-theoretic approach with moods due to sunny weather, capital regulation, deposit market interest rate, and loan rate-setting decision making of the firm-theoretic approach. There are major three conclusions described as follows. (1) When the risk-based elasticity effect of the bank is positive or neutral, an increase in manager’s upbeat mood owing to be influenced by sunshine weather, decreases the bank’s optimal loan rate under strategic substitutes. (2) An increase in the capital-to-deposits ratio decreases the bank’s optimal loan rate when the bank stays in a good financial state. (3) An increase in the deposit market interest rate decreases the bank’s optimal loan rate with strategic substitutes. According to the results above, we suggest that bank manager avoid pursuing a higher risk due to an optimistic choice and be encouraged to be rational.
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