由於2008年發生全球性金融危機，造成金融市場產生流動性不足和信用緊縮等問題，政府為避免危機持續蔓延，因此對營運困難銀行進行不良資產紓困計畫(Troubled Asset Relief Program, TARP)，主要的計畫內容有兩種，一為購買不良抵押放款，二為直接資金挹注，想探討政府所提出的紓困計畫對銀行利率決策影響，且是否有效改善金融環境的困境與問題銀行本身的經營體質，恢復金融市場原有的穩定。 本研究模型導入Black and Scholes (1973)所提出的或有請求權分析法，以求得銀行廠商權益報酬極大化，其中，由於一借款者可能同時向銀行申請個人消費性貸款與抵押貸款，因此本研究同時考量個人放款利率和抵押放款利率間互相影響的關係，以進行比較靜態分析。而研究結果顯示：(1)政府對營運困難銀行進行不良放款購買，可使銀行資產品質改善，並減少持有風險性資產。(2)政府直接以資金挹注營運困難銀行，亦將減少風險性資產的持有，增加投資於流動性較高的資產組合，達到資產投資組合重新分配。因此，政府所提出的紓困計畫，不僅可增加銀行的權益報酬，亦可有效改善營運困難銀行之經營體質與流動性問題，並達到穩定金融市場的效果。 We use a contingent claim analysis approach from Black and Scholes (1973) to explore how the optimal bank interest margin and government interventions relates to one another under the global financial crisis of 2008. The main purposes of this thesis are the effectiveness of government bailout (TARP) and the impact of recipient bank’s operation management and rate-setting behavior. TARP was intended to stabilize the financial system and it includes: government purchases troubled loans - only for mortgage loans and injects capital for recipient banks. We frame our banking firms’ target profit function to analyze the rate-setting strategies under the assumption that banking firms pursue maximizing their equity values.
The results of this thesis demonstrate as follows: (1) Optimal interest rate of banks will increase in order to gain bank’s profits, not only for the individual interest rate but also the mortgage interest rate. (2) The program can effectively improve the bank operations management, the quality of asset and management, and the illiquidity problems. The bank can reduce highly risk-weighted assets, change their physique. Importantly, it can let the financial system steady. Finally, it reveals that the policy is effectively.
