Bank Interest Margins under Information Asymmetry and Centralized vs. Decentralized Loan Rate Decisions: A Two-Stage Option Pricing Model

淡江大學機構典藏 > 商管學院 > 統計學系暨研究所 > 期刊論文 > Item 987654321/98647

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/98647

题名:	Bank Interest Margins under Information Asymmetry and Centralized vs. Decentralized Loan Rate Decisions: A Two-Stage Option Pricing Model
作者:	Lin, Jyh-Horng;Lin, Jyh-Jiuan;Jou, Rosemary
贡献者:	淡江大學統計學系
关键词:	Centralized vs. decentralized loan rate;Information asymmetry;Black-Scholes formula
日期:	2009-11
上传时间:	2014-09-03 17:46:49 (UTC+8)
出版者:	Piraeus: World Scientific and Engineering Academy and Society (WSEAS)
摘要:	The behavior of outside portfolio managers of large money-center banks as analyzed to date is silent. In a centralized loan portfolio construction with decentralized loan portfolio management, changes in the bank’s degree of capital market imperfection have direct effects on the bank’s interest margin through the centralized as well as the decentralized loan rate determinations. We use a two-stage model of option-based analysis to study how information asymmetry and optimal bank loan rates relate to one another. We find that the decentralized loan rate managed by the outside loan manager is positively related to the bank’s degree of capital market imperfection. The centralized loan rate managed by the bank is positively related to its degree of capital market imperfection under strategic complements, but negatively under strategic substitutes.
關聯:	Wseas Transactions On Information Science And Applications 6(11), pp.1814-1829
显示于类别:	[統計學系暨研究所] 期刊論文

文件中的档案:

档案	大小	格式	浏览次数
Bank Interest Margins under Information Asymmetry and Centralized vs. Decentralized Loan Rate Decisions A Two-Stage Option Pricing Model.pdf	813Kb	Adobe PDF	1	检视/开启
index.html	0Kb	HTML	282	检视/开启
index.html	0Kb	HTML	148	检视/开启

在機構典藏中所有的数据项都受到原著作权保护.

TAIR相关文章