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題名 以信號賽局理論分析銀行放款之決策
The analysis of Bank Loan Decision with Signaling Games作者 曾貝莉
Tseng, Pei Li貢獻者 謝淑貞
Shieh,Shwu Jane
曾貝莉
Tseng,Pei Li關鍵詞 信號賽局
信用市場
資訊不對稱
Signaling Games
Credit Market
Asymmetric Information日期 1994
1993上傳時間 29-四月-2016 15:17:58 (UTC+8) 摘要 信用市場發生資訊不對稱時，貸款申請人對自己的型態瞭若指掌，而銀行 卻因對貸款申請人資訊相對不足而必須承受倒帳的風險。銀行若欲保障利 潤而提高擔保品或利率，反而易引起道德危機與逆選擇的問題，造成銀行 利潤下降。多數文獻常以信用分配、自我選擇機能、信號機能來探討銀行 面臨資訊不對稱所發生的狀況，本文就是以信號賽局來探討資訊不對稱下 的銀行放款決策。在以信號機能分析銀行放款市場的文獻中，Milde & Riley (1988)以貸款額為信號變數，分別用乘法與加法形式利潤函數探討 不對稱資訊下的銀行放款決策。薛舜仁(1993)則以擔保品為信號變數，運 用乘法形式利潤函數來探討。本文則延續薛舜仁的分析方法，在貸款額固 定下，利用貸款申請人型態、擔保品、計劃報酬隨機性形成利潤函數，惟 此利潤函數，呈現的是Milde & Riley 的加法形式利潤函數。透過貸款申 請人無異曲線斜率不同所隱含邊際替代率不同的特性，分析出不對稱資訊 下的均衡契約。由於本文結果與 Milde & Riley 及薛舜仁的結果不同， 所以我們將各結果列出比較，發現在資訊不對稱時，以債權安全目標設計 契約時，債信高的申請人會選擇高貸款額或低擔保品但放款利率高的契約 。當銀行為防止高風險者因擔保品負擔過重退出市場，而以風險角度設計 契約時，則均衡時，高債信者會選擇低貸款額或高擔保品，但放款利率低 的契約。 參考文獻 姜堯民「不對稱資訊下銀行放款契約訂定之研究」，政大企研所碩士論文，民國79年6月 俞海琴「資訊不對稱夏本國銀行放款市場之研究」政大企研所博士論文，民國81年1月 賈毅然「信用配給之實證研究」台大商研所碩士論文，民國75年7月 薛舜仁「資訊不對稱下銀行之放款策略－信號賽局理論之應用」政大國貿所碩士論文，民國82年6月 二、英文部份: [1] Besanko, David and Anjan V. Thakor(1987) “Competitive Equilibrium in the Credit Market under Asymmetric Information, “ Journal of Economic Theory, 42, pp167-182 [2]Baster, Helmut(1985) “Screening vs. Rationing in Credit Markets sith Imperfect Information,” American Economic Review, 75, PP.850-855 [3]Bester, Helmut(1987) “The Role of Collateral in Credit Markets with Imperfect. Information,” European Economic Review,31, pp887-899. [4]Chan, Yuk-Shee, and Thakor, Anjan V. (1987) “Collateral and Competitive Equilibria with Moral Hazard and Private Information,” Journal of Finance, 52,PP345-363 [5]Cho, In-Koo and Kreps, David M.(1987) “Signalling Games and Stable Equilibria,” The Quarterly Journal of Economics, 102, pp 179-221. [6]Enger, M.P. and L.Fernandez (1987) “Market Equilitrium with Hiddern Knowledge and Self-Selection,” Econometrica, 55, pp425-440. [7] Enger, M.P.(1987) "Signalling with l`vlany Signals," Econometerica,55, P P663- 674. [8] Hillwig, Martin(1987) "Some Recent Developments in the Theory of Compensation in rvlarkets with Adverse Selection" 8uropean Economic Review)31,PP319-325. [9] Fudenberg, Drew and Tirole, Jean(1991) Game Theory. The MIT Press. [10] Gibbons, Robert(1992) Game Theory f07` Applied Economists. Princeton Unversity Press. [11] Kreps, David M. and `Nilson , Robert(1982) "Sequential EquiIi bria," Econometria)50,PP863-894. [12] Milde, Hellmuth and Riley, John G.(1988) (`Signalling in Credit Markets," The Quarterly Journal of Economics]Feb.,PP101-129. [13] Milgrom Paul and Roberts John(1986) "Price and Advertising Signals of Product Quality,ll Journal of Political Economy] V94,PP796-821. [14] Stiglitz, Joseph and iNeiss, Andrew(19S1) (` Credit Rationing in Markets with Imperfect Information," American Economic Review,71 ,PP393-410. [15] Thomas E. Copeland and J. Fred W`eston Financial Theory and Corporate Policy Addison- W-esley Publishing Company, Third Edition [16] yVette, Hildegard C.(1983) "Collateral in Credit Rationing in Markets with Imperfect Information:Note:` The Amer£can Economic Review,73,PP442-445. [17] Wilson, C.A.(1977) "A Model of Insurance tvlarkets vvith Incomplete Information" Journal of Economic Theory)16,PP167-207. [18] Wilson, Robert(19S5) "l"Multi-Dimensional Signalling,•` Economics Letters)9 ,PP17-21. 描述 碩士
國立政治大學
國際經營與貿易學系
81351028資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002003793 資料類型 thesis dc.contributor.advisor 謝淑貞 zh_TW dc.contributor.advisor Shieh,Shwu Jane en_US dc.contributor.author (作者) 曾貝莉 zh_TW dc.contributor.author (作者) Tseng,Pei Li en_US dc.creator (作者) 曾貝莉 zh_TW dc.creator (作者) Tseng, Pei Li en_US dc.date (日期) 1994 en_US dc.date (日期) 1993 en_US dc.date.accessioned 29-四月-2016 15:17:58 (UTC+8) - dc.date.available 29-四月-2016 15:17:58 (UTC+8) - dc.date.issued (上傳時間) 29-四月-2016 15:17:58 (UTC+8) - dc.identifier (其他 識別碼) B2002003793 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/88318 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 81351028 zh_TW dc.description.abstract (摘要) 信用市場發生資訊不對稱時，貸款申請人對自己的型態瞭若指掌，而銀行 卻因對貸款申請人資訊相對不足而必須承受倒帳的風險。銀行若欲保障利 潤而提高擔保品或利率，反而易引起道德危機與逆選擇的問題，造成銀行 利潤下降。多數文獻常以信用分配、自我選擇機能、信號機能來探討銀行 面臨資訊不對稱所發生的狀況，本文就是以信號賽局來探討資訊不對稱下 的銀行放款決策。在以信號機能分析銀行放款市場的文獻中，Milde & Riley (1988)以貸款額為信號變數，分別用乘法與加法形式利潤函數探討 不對稱資訊下的銀行放款決策。薛舜仁(1993)則以擔保品為信號變數，運 用乘法形式利潤函數來探討。本文則延續薛舜仁的分析方法，在貸款額固 定下，利用貸款申請人型態、擔保品、計劃報酬隨機性形成利潤函數，惟 此利潤函數，呈現的是Milde & Riley 的加法形式利潤函數。透過貸款申 請人無異曲線斜率不同所隱含邊際替代率不同的特性，分析出不對稱資訊 下的均衡契約。由於本文結果與 Milde & Riley 及薛舜仁的結果不同， 所以我們將各結果列出比較，發現在資訊不對稱時，以債權安全目標設計 契約時，債信高的申請人會選擇高貸款額或低擔保品但放款利率高的契約 。當銀行為防止高風險者因擔保品負擔過重退出市場，而以風險角度設計 契約時，則均衡時，高債信者會選擇低貸款額或高擔保品，但放款利率低 的契約。 zh_TW dc.description.tableofcontents 第一章 緒論 第一節 研究動機與目的 - - - - - - - - - - - - - - - - - - - -- - - - - - - - - - - - - - - - - - -1 第二節 本文架構與內容 - - - - - - - - - - - - - - - - - - - -- - - - - - - - - - - - - - - - - - -2 第二章 文獻回顧 第一節 前言 - - - - - - - - - - - - - - - - - - - -- - - - - - - - - - - - - - - - - - - - - - - - - - - 5 第二節 銀行放款市場信用分配的現象與探討 - - - - - - - - - - - - - - - - - - - - 6 第三節 與本文湘關的賽局理論- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - 11 第四節 銀行放款市場運用信號機能的文獻- - - - - - - - - - - - - - - - - - - - - - - -15 第三章 理論模型 第一節 前言 - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - 22 第二節 模型建立與假設- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -23 第三節 均衡的探討 - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - 26 第四節 均衡的穩定性- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - 30 第五節 小結- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -33 第四章 理論模型的比較 第一節 前言- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - 35 第二節 模型的比較- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - 35 第三節 小結 - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - 39 第五章 結論與建議 第一節 結論 - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - 41 第二節 研究限制與建議- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -43 附錄- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - 46 參考文獻- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -52 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002003793 en_US dc.subject (關鍵詞) 信號賽局 zh_TW dc.subject (關鍵詞) 信用市場 zh_TW dc.subject (關鍵詞) 資訊不對稱 zh_TW dc.subject (關鍵詞) Signaling Games en_US dc.subject (關鍵詞) Credit Market en_US dc.subject (關鍵詞) Asymmetric Information en_US dc.title (題名) 以信號賽局理論分析銀行放款之決策 zh_TW dc.title (題名) The analysis of Bank Loan Decision with Signaling Games en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 姜堯民「不對稱資訊下銀行放款契約訂定之研究」，政大企研所碩士論文，民國79年6月 俞海琴「資訊不對稱夏本國銀行放款市場之研究」政大企研所博士論文，民國81年1月 賈毅然「信用配給之實證研究」台大商研所碩士論文，民國75年7月 薛舜仁「資訊不對稱下銀行之放款策略－信號賽局理論之應用」政大國貿所碩士論文，民國82年6月 二、英文部份: [1] Besanko, David and Anjan V. Thakor(1987) “Competitive Equilibrium in the Credit Market under Asymmetric Information, “ Journal of Economic Theory, 42, pp167-182 [2]Baster, Helmut(1985) “Screening vs. Rationing in Credit Markets sith Imperfect Information,” American Economic Review, 75, PP.850-855 [3]Bester, Helmut(1987) “The Role of Collateral in Credit Markets with Imperfect. Information,” European Economic Review,31, pp887-899. [4]Chan, Yuk-Shee, and Thakor, Anjan V. (1987) “Collateral and Competitive Equilibria with Moral Hazard and Private Information,” Journal of Finance, 52,PP345-363 [5]Cho, In-Koo and Kreps, David M.(1987) “Signalling Games and Stable Equilibria,” The Quarterly Journal of Economics, 102, pp 179-221. [6]Enger, M.P. and L.Fernandez (1987) “Market Equilitrium with Hiddern Knowledge and Self-Selection,” Econometrica, 55, pp425-440. [7] Enger, M.P.(1987) "Signalling with l`vlany Signals," Econometerica,55, P P663- 674. [8] Hillwig, Martin(1987) "Some Recent Developments in the Theory of Compensation in rvlarkets with Adverse Selection" 8uropean Economic Review)31,PP319-325. [9] Fudenberg, Drew and Tirole, Jean(1991) Game Theory. The MIT Press. [10] Gibbons, Robert(1992) Game Theory f07` Applied Economists. Princeton Unversity Press. [11] Kreps, David M. and `Nilson , Robert(1982) "Sequential EquiIi bria," Econometria)50,PP863-894. [12] Milde, Hellmuth and Riley, John G.(1988) (`Signalling in Credit Markets," The Quarterly Journal of Economics]Feb.,PP101-129. [13] Milgrom Paul and Roberts John(1986) "Price and Advertising Signals of Product Quality,ll Journal of Political Economy] V94,PP796-821. [14] Stiglitz, Joseph and iNeiss, Andrew(19S1) (` Credit Rationing in Markets with Imperfect Information," American Economic Review,71 ,PP393-410. [15] Thomas E. Copeland and J. Fred W`eston Financial Theory and Corporate Policy Addison- W-esley Publishing Company, Third Edition [16] yVette, Hildegard C.(1983) "Collateral in Credit Rationing in Markets with Imperfect Information:Note:` The Amer£can Economic Review,73,PP442-445. [17] Wilson, C.A.(1977) "A Model of Insurance tvlarkets vvith Incomplete Information" Journal of Economic Theory)16,PP167-207. [18] Wilson, Robert(19S5) "l"Multi-Dimensional Signalling,•` Economics Letters)9 ,PP17-21. zh_TW
