本論文應用Black and Scholes (1973)的或有請求權評價模式，並採用Lin (2000)的銀行廠商理論模型中之市場特性，建構出本論文的模型，以探討政府援助方案對銀行利差之影響。本研究結果顯示，政府對銀行不良放款購買與提供其補貼援助，將導致銀行利差下降去追逐高風險高報酬，而在影響程度差異方面顯示出，政府購買銀行不良放款時，增加其不良放款購買比例或補貼比例，將可降低對銀行利差下降的影響，但資產風險愈高時，對利差下降的影響程度愈高。 The subprime mortage crisis in 2007 threatened the stability of Americn financial system seriously and caused many financial institutions appear financial troubles or even go bankrupt. The United States authorities carried out the Trouble Asset Relief Program (TARP) to save financial institutions from lacking of liquidity and decreased the distressed loan hold by them. Distressed loan purchases was one of the important assistances in TARP. Thus, this paper will use the U.S. financial crisis as the background. To explore further on government’s distressed loan parchases and bailout subsidization effect on bank interest margin respectively. Besides, this paper will take asset risk into account. To observe the different risk levels, which might affect interest margin. Finally, through these three conditions affect with bank interest margin, we could analyze that effectiveness of rescue by government.
Black and Scholes (1973)’s contingent claim analysis will be the main research method that applied to this paper, and it also based on a theoretical model built by Lin (2000). The result of study demonstrate, that government purchasing banks’distressed loan and offering bailout subsidization, will both decrease the bank interest margin. According to the decrease of the bank interest margin, banks will take higher risk to get higher return. In addition, the study will also show the gap of influencing degree on interest margin’s decreasing. When government purchases distressed loan from banks, both increasing ratio of distressed loan purchases or bailout subsidization are going to reduce effect upon the decreasing of bank interest margin. However, the influencing degree of interest margin decrease will become higher if asset risk is relatively higher.
