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題名 資訊不對稱下本國銀行放款市場之研究 作者 俞海琴 貢獻者 劉維琪<br>林烱圭<br>陳隆麒
俞海琴日期 1992 上傳時間 10-May-2016 18:51:54 (UTC+8) 摘要 本研究乃係站在資訊不對稱的立場，來探討本國銀行放款市場間題。在架構上可分為理論與實證二部分。在理論模型方面，本研究係假設在獨佔銀行的產業結構下，探討存在於主理人(銀行)與代理人 (借款者)間的衝突(逆選擇問題) .並運用代理理論中的「自我選擇」機能，設計一套具備「誘因共容性」的放款契約，解決因為資訊不對稱所導致的衝突現象。在理論模型上，本研究分別探討了完全訊息及不完全訊息下，二種類型及無限多種類型借款者之情況，並有以下結論:1 .完全訊息下二種類型借款者情況獨佔銀行可採完全差別取價方式，抽光借款者的消費者剩餘，此時經營條件強者出高利率，而經營條件弱者出低利率，此即「最佳契約」 (First Best Contract)2. 不完全訊息下二種類型借款者情況獨佔銀行必須防止逆選擇問題發生，故應犧牲部分利潤移轉給條件強的借款者，以使其沒有欺騙的誘因，此時經營條件強者出較完全訊息時為低的利率及低的擔保品水準，而經營條件弱者出比條件強者稍低的利率但高的擔保品水準，此即「次佳契約」(Second Best Contract)3. 不完全訊息下如限多種類型借款者情況銀行在訂定擔保品與本息間的邊際替代率時，應根據「多接受一單位擔保品對銀行增加的邊際期待成本，乘以該單位擔保品與本息間的相對設算價格彈性分數」來訂定該型借款者多提供一單位擔保品，本息下降幅度的參考。 由於彈性本身會隨擔保品提供多寡而不同，故降幅亦隨之不同，因此契約應是一種非線性訂價的型式。在實證研究方面，本研究你自行發展二套間卷，一條由借款廠商填答，另一則由本國銀行填答，並試圖由借貸雙方之態度看法及認知差距，找尋資訊不對稱寄在的事實。 再者，由於「自我選擇」 機能的適用是屬於事前(Ex Ante) 的模型，而實證研究卻只能藉助事後(Ex Post) 的實際資料來驗證，故本研究乃運用實際的借款資訊，試圖站在第三者的角度， 揣測銀行的立場，替混合的(Pooling) 的借款戶進行分隔的( Separating) 程序，再以分群後的客戶為基礎，進一步對理論模型所推導的六個假說，做統計上的檢定，實證研究發現如下:1 .廠商經營條件愈強，銀行所給予的借款利率愈低，故並不支持假設H1。主要原因有二， ( 1) 為理論模型僅考量單期、獨佔情形，故未加入競爭壓力(2) 模型並未考量借款金額變數。2. 廠商經營條件愈弱，銀行所要求的擔保品愈多，支持假說H2。原因乃為經營條件弱，破產機率大，故銀行為確保其債權，會對經營條件弱的借款者，索取較高的擔保品。3. 廠商經營條件不同，在借款利率與擔保品水準二變項之借款條件上，有顯著不同，支持假說H 34. 廠商所出具的短期擔保品與短期利率問之關係並不顯著，而中長期擔保品雖與中長期利率間的關係相當顯著，但由符號為正知，中長期擔保品出具愈大，利率反而愈高，此點並不支持假說H4。 造成此現象的原因可能係因為擋保品的提供是為一種"信號的放射"，當銀行要求的擔保品愈多時，表示借款客戶的經營條件愈弱，故利率愈高。5. 廠商所出具的短期擔保品及經營條件對短期借款利率之影響並不顯著，而中長期擔保品及經營條件對中長期利率的影響則相當顯著，故部分支持假說H5。即經營條件強者，不但擔保品出具小利率亦愈低。6. 廠商經營條件強弱典是否曾遭受過信用分配或遭受信用分自己頻率高低間並無顯著差異，支持假說H 6 。可見在本國銀行放款市場中，信用分配的事實與廠商本身的條件較無關，倒是與客觀的條件，如擔保品出具( 排名一)或銀行資金鬆緊(排名二)關聯較大。此也說明了在木國放款市場中「 資訊不對稱」 事實的存在，因為當銀行無法完全明瞭借款者經營條件時，就會以索取擔保品作為保障，致擔保品出具是否足夠就成為借到款的關鍵原因。 參考文獻 參考文獻中文部分:姜堯民，?不對稱資訊下銀行放款契約訂定之研究?，，政大企管所碩士論文(未出版)，國七十九年六月。劉維琪，?資訊不對稱情況下公用事業訂價模式?，台北:中國經濟企業研究所管理叢書，民國七十五年三月，初版。林培州，?銀行放款市場之失衡計量分析?，台大經研所碩士論文(未出版)，民國七十二年七月。俞海琴，?利率理論的綜合探討?，台北市銀周刊，第二十卷第一期民國七十八年一月. pp.33-48。許嘉棟，?銀行信用配給之效率與雙元性金融體系資金之供需一臺灣之實證研究?，中華經濟研究院經濟專論( 37) .民國七十三年九月。鍾隆毓，?台灣信用分配之分析?，台大經研所碩士論文(未出版)，民國六十八年六月，pp.37-82。陳漢達，?信用配給之實證研究?臺大商研所碩士論文(未出版)，民國七十五年七月。林豪傑?不對稱資訊下勞工報酬契約之訂定?，政大企管所碩士論文(未出版) ，民國七十八年六月。黃永仁等，?金融供需行為調查分析?，基層金融研究發展叢書之二十八，基層金融研究訓練中心編印，民國七十九年八月。林鐘雄，?貨幣銀行學?，三民書局，民國七 十九年四月六版。簡安泰，?銀行融資管理?，嘉德出版事業有限公司，民國七十八年四月再版。?中華民國大型企業排名－－Top 500?，中華徵信所出版. 1990.?台灣區企業名錄一1989一1990 ?，中華徵信所出版. 1990.二、英文部分：Allen, F.,"Credit Rationing and Payment Incentives", Review of Economic Studies, 50, 1983, pp.639-46.Allen, Linda," The Credit Rationing Phenomenon: A Survey of The Literature", Soloman Brothers Center for The Study of Financial Institutions, 1987, No.7, pp. 1-55.Azzi, C. 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國立政治大學
企業管理學系資料來源 http://thesis.lib.nccu.edu.tw/record/#G91NCCV9962012 資料類型 thesis dc.contributor.advisor 劉維琪<br>林烱圭<br>陳隆麒 zh_TW dc.contributor.author (Authors) 俞海琴 zh_TW dc.creator (作者) 俞海琴 zh_TW dc.date (日期) 1992 en_US dc.date.accessioned 10-May-2016 18:51:54 (UTC+8) - dc.date.available 10-May-2016 18:51:54 (UTC+8) - dc.date.issued (上傳時間) 10-May-2016 18:51:54 (UTC+8) - dc.identifier (Other Identifiers) G91NCCV9962012 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/96249 - dc.description (描述) 博士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 企業管理學系 zh_TW dc.description.abstract (摘要) 本研究乃係站在資訊不對稱的立場，來探討本國銀行放款市場間題。在架構上可分為理論與實證二部分。在理論模型方面，本研究係假設在獨佔銀行的產業結構下，探討存在於主理人(銀行)與代理人 (借款者)間的衝突(逆選擇問題) .並運用代理理論中的「自我選擇」機能，設計一套具備「誘因共容性」的放款契約，解決因為資訊不對稱所導致的衝突現象。在理論模型上，本研究分別探討了完全訊息及不完全訊息下，二種類型及無限多種類型借款者之情況，並有以下結論:1 .完全訊息下二種類型借款者情況獨佔銀行可採完全差別取價方式，抽光借款者的消費者剩餘，此時經營條件強者出高利率，而經營條件弱者出低利率，此即「最佳契約」 (First Best Contract)2. 不完全訊息下二種類型借款者情況獨佔銀行必須防止逆選擇問題發生，故應犧牲部分利潤移轉給條件強的借款者，以使其沒有欺騙的誘因，此時經營條件強者出較完全訊息時為低的利率及低的擔保品水準，而經營條件弱者出比條件強者稍低的利率但高的擔保品水準，此即「次佳契約」(Second Best Contract)3. 不完全訊息下如限多種類型借款者情況銀行在訂定擔保品與本息間的邊際替代率時，應根據「多接受一單位擔保品對銀行增加的邊際期待成本，乘以該單位擔保品與本息間的相對設算價格彈性分數」來訂定該型借款者多提供一單位擔保品，本息下降幅度的參考。 由於彈性本身會隨擔保品提供多寡而不同，故降幅亦隨之不同，因此契約應是一種非線性訂價的型式。在實證研究方面，本研究你自行發展二套間卷，一條由借款廠商填答，另一則由本國銀行填答，並試圖由借貸雙方之態度看法及認知差距，找尋資訊不對稱寄在的事實。 再者，由於「自我選擇」 機能的適用是屬於事前(Ex Ante) 的模型，而實證研究卻只能藉助事後(Ex Post) 的實際資料來驗證，故本研究乃運用實際的借款資訊，試圖站在第三者的角度， 揣測銀行的立場，替混合的(Pooling) 的借款戶進行分隔的( Separating) 程序，再以分群後的客戶為基礎，進一步對理論模型所推導的六個假說，做統計上的檢定，實證研究發現如下:1 .廠商經營條件愈強，銀行所給予的借款利率愈低，故並不支持假設H1。主要原因有二， ( 1) 為理論模型僅考量單期、獨佔情形，故未加入競爭壓力(2) 模型並未考量借款金額變數。2. 廠商經營條件愈弱，銀行所要求的擔保品愈多，支持假說H2。原因乃為經營條件弱，破產機率大，故銀行為確保其債權，會對經營條件弱的借款者，索取較高的擔保品。3. 廠商經營條件不同，在借款利率與擔保品水準二變項之借款條件上，有顯著不同，支持假說H 34. 廠商所出具的短期擔保品與短期利率問之關係並不顯著，而中長期擔保品雖與中長期利率間的關係相當顯著，但由符號為正知，中長期擔保品出具愈大，利率反而愈高，此點並不支持假說H4。 造成此現象的原因可能係因為擋保品的提供是為一種"信號的放射"，當銀行要求的擔保品愈多時，表示借款客戶的經營條件愈弱，故利率愈高。5. 廠商所出具的短期擔保品及經營條件對短期借款利率之影響並不顯著，而中長期擔保品及經營條件對中長期利率的影響則相當顯著，故部分支持假說H5。即經營條件強者，不但擔保品出具小利率亦愈低。6. 廠商經營條件強弱典是否曾遭受過信用分配或遭受信用分自己頻率高低間並無顯著差異，支持假說H 6 。可見在本國銀行放款市場中，信用分配的事實與廠商本身的條件較無關，倒是與客觀的條件，如擔保品出具( 排名一)或銀行資金鬆緊(排名二)關聯較大。此也說明了在木國放款市場中「 資訊不對稱」 事實的存在，因為當銀行無法完全明瞭借款者經營條件時，就會以索取擔保品作為保障，致擔保品出具是否足夠就成為借到款的關鍵原因。 zh_TW dc.description.tableofcontents 圖目次．．．．．．．．．．I表目次．．．．．．．．．．II第一章緒論．．．．．．．．．．1第一節研究動機與目的．．．．．．．．．．1第二節研究方法．．．．．．．．．．5第三節研究範圍．．．．．．．．．．9第四研究程序．．．．．．．．．．13第五節研究限制．．．．．．．．．．15本章註釋．．．．．．．．．．17第二章文獻探討．．．．．．．．．．19第一節信用分配之定義與型態．．．．．．．．．．20第二節有關信用分配之研究路徑．．．．．．．．．．25第三節代理成本對放款市場之衝擊．．．．．．．．．．33第四節考慮代理成本下多期放款契約之設計．．．．．．．．．．39第五節資訊不對稱下信用分配參數模型與本研究使用參數．．．．．．．．．．43第六節資訊不對稱下銀行放款契約訂定與本研究努力方向．．．．．．．．．．50本章註釋．．．．．．．．．．61第三章本國銀行放款市場模式建立．．．．．．．．．．65第一節本國銀行放款市場描述及模型變數界定．．．．．．．．．．65第二節模型問題認定與前提假設．．．．．．．．．．74第三節完全訊息下的最適放款契約．．．．．．．．．．81第四節不連續分配下消除逆選擇的次佳放款契約．．．．．．．．．．84第五節連續分配下消除逆選擇的次佳放款契約．．．．．．．．．．91本章註釋．．．．．．．．．．99第四章研究設計．．．．．．．．．．103第一節理論模式與研究假設．．．．．．．．．．103第二節抽樣方法與資料蒐集．．．．．．．．．．106第三節資料分析方法．．．．．．．．．．111第四節問卷回收分析．．．．．．．．．．116本章註釋．．．．．．．．．．121第五章本國銀行放款市場之實證分析．．．．．．．．．．122第一節本國銀行放款市場現況分析．．．．．．．．．．122第二節本國銀行放款市場資訊之不完全性．．．．．．．．．．131第三節借款客戶型態之分群．．．．．．．．．．140第四節經營條件強弱與借款條件間之關係．．．．．．．．．．146第五節借款利率與擔保品水準、經營條件間之關係．．．．．．．．．．158第六節經營條件強弱與信用分配間之關係．．．．．．．．．．162本章註釋．．．．．．．．．．169第六章結論與建議．．．．．．．．．．171第一節研究結論．．．．．．．．．．171第二節研究貢獻．．．．．．．．．．176第三節後續研究建議．．．．．．．．．．180本章註釋．．．．．．．．．．184參考文獻．．．．．．．．．．185附錄一廠商借款資訊問卷．．．．．．．．．．194附錄二本國銀行貸款資訊問卷．．．．．．．．．．202附錄三回卷廠商名單一覽表．．．．．．．．．．208附錄四個案一**電化學股份有限公司．．．．．．．．．．209附錄五個案二**商業銀行徵信處及放款部．．．．．．．．．．211作者簡歷．．．．．．．．．．214 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G91NCCV9962012 en_US dc.title (題名) 資訊不對稱下本國銀行放款市場之研究 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 參考文獻中文部分:姜堯民，?不對稱資訊下銀行放款契約訂定之研究?，，政大企管所碩士論文(未出版)，國七十九年六月。劉維琪，?資訊不對稱情況下公用事業訂價模式?，台北:中國經濟企業研究所管理叢書，民國七十五年三月，初版。林培州，?銀行放款市場之失衡計量分析?，台大經研所碩士論文(未出版)，民國七十二年七月。俞海琴，?利率理論的綜合探討?，台北市銀周刊，第二十卷第一期民國七十八年一月. pp.33-48。許嘉棟，?銀行信用配給之效率與雙元性金融體系資金之供需一臺灣之實證研究?，中華經濟研究院經濟專論( 37) .民國七十三年九月。鍾隆毓，?台灣信用分配之分析?，台大經研所碩士論文(未出版)，民國六十八年六月，pp.37-82。陳漢達，?信用配給之實證研究?臺大商研所碩士論文(未出版)，民國七十五年七月。林豪傑?不對稱資訊下勞工報酬契約之訂定?，政大企管所碩士論文(未出版) ，民國七十八年六月。黃永仁等，?金融供需行為調查分析?，基層金融研究發展叢書之二十八，基層金融研究訓練中心編印，民國七十九年八月。林鐘雄，?貨幣銀行學?，三民書局，民國七 十九年四月六版。簡安泰，?銀行融資管理?，嘉德出版事業有限公司，民國七十八年四月再版。?中華民國大型企業排名－－Top 500?，中華徵信所出版. 1990.?台灣區企業名錄一1989一1990 ?，中華徵信所出版. 1990.二、英文部分：Allen, F.,"Credit Rationing and Payment Incentives", Review of Economic Studies, 50, 1983, pp.639-46.Allen, Linda," The Credit Rationing Phenomenon: A Survey of The Literature", Soloman Brothers Center for The Study of Financial Institutions, 1987, No.7, pp. 1-55.Azzi, C. 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