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題名 資訊不對稱對歐洲聯貸市場貸款條件之影響
The effects of information asymmetry on syndicated loan contract terms in Eurozone countries作者 盧筱茜
Lu, Hsiao Chien貢獻者 張元晨
Chang,Yuan Chen
盧筱茜
Lu, Hsiao Chien關鍵詞 資訊不對稱
歐洲聯貸市場
歐元
聯貸利率
information asymmetry
Eurozone syndicated markets
Euro
loan price日期 2012 上傳時間 22-七月-2013 11:12:40 (UTC+8) 摘要 在聯合貸款中，銀行可以透過借款利率、借款期限等貸款條件的設定，降低「借款公司」與「貸款銀行」間的資訊不對稱問題，本文嘗試利用歐洲地區企業聯貸條件的變化，來探討資訊不對稱問題對銀行聯貸條件的影響。本研究發現自1987年至2009年，當公司與「本土銀行」及「其他歐元區銀行」借款時，其借款利率顯著較低，但借款期限則不一定較長。在將樣本期間分成歐元區成立前和成立後，本文發現歐元區成立前，企業向不同銀行借款之聯貸利率無顯著差異；但在歐元區成立之後，企業向「本土銀行」承做的聯貸其利率最低，與「其他歐元區銀行」及「其他非歐元區銀行」之聯貸期限則出現顯著變短的現象。這樣的實證結果顯示歐元的引進確實使歐元區企業與本土銀行(海外銀行)間資訊不對稱問題有效地降低(提高)，並反映在利率(聯貸期限)條件上。
Banks can mitigate information asymmetry between lenders and borrowers through loan contract terms, such as loan price and loan maturity. This paper empirically explores this issue in the syndicate loan markets, with an emphasis on the variation of European industries. I investigate the effects of European syndicated loan markets using data from 1987 to 2009. The empirical results show that, European firms that borrowing from local lenders and other non-Eurozone banks are charged with lower loan prices but the effects on loan maturity are insignificant. Separating the sample period into before and after the establishment of the Eurozone, we find that the effects on loan price are similar before the establishment of the Eurozone. However, after the establishment of the Eurozone, the loan prices from local lenders are lower and the loan maturity from overseas lenders is shorter. These empirical results are consistent with the hypothesis that the introduction of euro mitigates information asymmetry between firms and local banks (overseas banks) which reflects in syndicate loan price (maturity).參考文獻 1.Barbosa, L. and N. Ribeiro, 2007 , “Determinants of spreads in syndicated loans to euro area corporates” Economic Bulletin, 65-762.Bennardo, A., M. Pagano, S. Piccolo, 2007, “Multiple-bank lending, creditor rights and information sharing” Mimeo, University of Salerno.3.Berger, A.N., and G.F. Udell, 1990 , “Collateral, loan quality and bank risk” Journal of Monetary Economics 68, 351-3814.Berger, A.N., and G.F. Udell, 2002 , “Small business credit availability and relationship lending: The importance of bank organizational structure” The Economic Journal, F32–F53.5.Berger, A.N., Q. Dai, S. Ongena and D. C. Smith, 2003, “To what extent will the banking industry be globalized? A study of bank nationality and reach in 20 European nations” Journal of Banking & Finance 27, 383-4156.Boyd, J. and E. Prescott, 1986 , “Financial intermediary coalitions” Journal of Economic Theory 38, 211-2217.Degryse, H., S. Ongena, 2004, “The impact of technology and regulation on the geographical scope of banking” Oxford Review Of Economic Policy 62, 571-5908.Diamond, D., 1984 , “Financial intermediation and delegated monitoring” Review of Economic Studies 52, 393-4149.Gadanecz, B.,2004, “The syndicated loan market: structure, development and implications” BIS Quarterly Review 46, 75-8910.Gopalan, R., G.F. Udell, and V. Yerramilli, 2011, “Why do firms form new banking relationships” Journal of Financial and Quantitative Analysis 46, 1-3311.Haselmann, R. and P. Wachtel, 2011, “Foreign banks in syndicated loan markets” Journal of Banking & Finance 35, 2679-268912.Ivashina, V., 2009 , “Asymmetric information effects on loan spreads” Journal of Finance Economics 92, 300-31913.Jappelli, T., M. Pagano, 2002, “Information sharing, lending and defaults: Cross-country evidence” Journal of Banking & Finance 26, 2017–204514.Miller, S.C., 2010, “A Syndicated Loan Primer” A Guide To The Loan Market , 7-2915.Ortiz-Molina, H., and M. F. Penas, 2008, “Lending to small businesses: the role of loan maturity in addressing information problems” Small Business Economics, 361-38316.Padilla, A.J., M. Pagano, 2000, “Sharing default information as a borrower discipline device” Europ. Econ. Rev. 44, 1951–1980 17.Qian, J. and P. E. Strahan, 2007, “How lows and institutions shape financial contracts: The case of bank loans” Journal of Finance 66, 2803-283418.Rajan, R. G., 1992 , “Insiders and Outsiders: the Choice Between Informed and Arm’s-Length Debt” Journal of Finance 47, 1367-9919.Ramakrishnan, R., and A. Thakor, 1984 , “Information reliability and a theory of financial intermediation” Review of Economic Studies 52, 415-43220.Sharpe, S. A., 1990 , “Asymmetric Information, Bank Lending, and Implicit Contracts: A Stylized Model of Customer Relationship” Journal of Finance 45, 1069-8721.Smith, D.C., 2003, “Loans to Japanese borrowers” J. Japanese Int. Economics 17, 283-30422.Strahan, P. E., 1999, “Borrower Risk and the Price and Nonprice Terms of Bank Loans” FRB of New York Staff Report23.Sufi, A., 2007 , “Information asymmetry and financing arrangements: Evidence from syndicated loans” Journal of Finance 62, 629-66824.Vercammen, J.A., 1995, “Credit bureau policy and sustainable reputation effects in credit markets” Economica 62, 461–478 描述 碩士
國立政治大學
財務管理研究所
100357019
101資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100357019 資料類型 thesis dc.contributor.advisor 張元晨 zh_TW dc.contributor.advisor Chang,Yuan Chen en_US dc.contributor.author (作者) 盧筱茜 zh_TW dc.contributor.author (作者) Lu, Hsiao Chien en_US dc.creator (作者) 盧筱茜 zh_TW dc.creator (作者) Lu, Hsiao Chien en_US dc.date (日期) 2012 en_US dc.date.accessioned 22-七月-2013 11:12:40 (UTC+8) - dc.date.available 22-七月-2013 11:12:40 (UTC+8) - dc.date.issued (上傳時間) 22-七月-2013 11:12:40 (UTC+8) - dc.identifier (其他 識別碼) G0100357019 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58929 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理研究所 zh_TW dc.description (描述) 100357019 zh_TW dc.description (描述) 101 zh_TW dc.description.abstract (摘要) 在聯合貸款中，銀行可以透過借款利率、借款期限等貸款條件的設定，降低「借款公司」與「貸款銀行」間的資訊不對稱問題，本文嘗試利用歐洲地區企業聯貸條件的變化，來探討資訊不對稱問題對銀行聯貸條件的影響。本研究發現自1987年至2009年，當公司與「本土銀行」及「其他歐元區銀行」借款時，其借款利率顯著較低，但借款期限則不一定較長。在將樣本期間分成歐元區成立前和成立後，本文發現歐元區成立前，企業向不同銀行借款之聯貸利率無顯著差異；但在歐元區成立之後，企業向「本土銀行」承做的聯貸其利率最低，與「其他歐元區銀行」及「其他非歐元區銀行」之聯貸期限則出現顯著變短的現象。這樣的實證結果顯示歐元的引進確實使歐元區企業與本土銀行(海外銀行)間資訊不對稱問題有效地降低(提高)，並反映在利率(聯貸期限)條件上。 zh_TW dc.description.abstract (摘要) Banks can mitigate information asymmetry between lenders and borrowers through loan contract terms, such as loan price and loan maturity. This paper empirically explores this issue in the syndicate loan markets, with an emphasis on the variation of European industries. I investigate the effects of European syndicated loan markets using data from 1987 to 2009. The empirical results show that, European firms that borrowing from local lenders and other non-Eurozone banks are charged with lower loan prices but the effects on loan maturity are insignificant. Separating the sample period into before and after the establishment of the Eurozone, we find that the effects on loan price are similar before the establishment of the Eurozone. However, after the establishment of the Eurozone, the loan prices from local lenders are lower and the loan maturity from overseas lenders is shorter. These empirical results are consistent with the hypothesis that the introduction of euro mitigates information asymmetry between firms and local banks (overseas banks) which reflects in syndicate loan price (maturity). en_US dc.description.tableofcontents 中文摘要 1英文摘要 2表目錄 4圖目錄 5第一章 緒論 6第一節 研究背景及動機 6第二節 研究問題與目的 9第二章 文獻探討與回顧 102.1資訊不對稱對聯合貸款契約條件的影響 102.2跨國公司與銀行往來關係之價值探討 132.3個別國家聯貸條件的差異 13第三章 研究方法與設計 14第一節 研究假說 14第二節 研究資料 20第三節 合併資料庫之方法 20第四章 實證模型與變數定義 22第五章 實證結果 25第一節 敘述統計結果 25第二節 迴歸模型結果一 (五種銀行類型) 34第三節 迴歸模型結果二 (六種銀行類型) 48第六章 結論 58第一節 結論 58第二節 研究限制與後續研究建議 59參考文獻 60 zh_TW dc.format.extent 1991560 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0100357019 en_US dc.subject (關鍵詞) 資訊不對稱 zh_TW dc.subject (關鍵詞) 歐洲聯貸市場 zh_TW dc.subject (關鍵詞) 歐元 zh_TW dc.subject (關鍵詞) 聯貸利率 zh_TW dc.subject (關鍵詞) information asymmetry en_US dc.subject (關鍵詞) Eurozone syndicated markets en_US dc.subject (關鍵詞) Euro en_US dc.subject (關鍵詞) loan price en_US dc.title (題名) 資訊不對稱對歐洲聯貸市場貸款條件之影響 zh_TW dc.title (題名) The effects of information asymmetry on syndicated loan contract terms in Eurozone countries en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 1.Barbosa, L. and N. Ribeiro, 2007 , “Determinants of spreads in syndicated loans to euro area corporates” Economic Bulletin, 65-762.Bennardo, A., M. Pagano, S. Piccolo, 2007, “Multiple-bank lending, creditor rights and information sharing” Mimeo, University of Salerno.3.Berger, A.N., and G.F. Udell, 1990 , “Collateral, loan quality and bank risk” Journal of Monetary Economics 68, 351-3814.Berger, A.N., and G.F. Udell, 2002 , “Small business credit availability and relationship lending: The importance of bank organizational structure” The Economic Journal, F32–F53.5.Berger, A.N., Q. Dai, S. Ongena and D. C. Smith, 2003, “To what extent will the banking industry be globalized? A study of bank nationality and reach in 20 European nations” Journal of Banking & Finance 27, 383-4156.Boyd, J. and E. Prescott, 1986 , “Financial intermediary coalitions” Journal of Economic Theory 38, 211-2217.Degryse, H., S. Ongena, 2004, “The impact of technology and regulation on the geographical scope of banking” Oxford Review Of Economic Policy 62, 571-5908.Diamond, D., 1984 , “Financial intermediation and delegated monitoring” Review of Economic Studies 52, 393-4149.Gadanecz, B.,2004, “The syndicated loan market: structure, development and implications” BIS Quarterly Review 46, 75-8910.Gopalan, R., G.F. Udell, and V. Yerramilli, 2011, “Why do firms form new banking relationships” Journal of Financial and Quantitative Analysis 46, 1-3311.Haselmann, R. and P. Wachtel, 2011, “Foreign banks in syndicated loan markets” Journal of Banking & Finance 35, 2679-268912.Ivashina, V., 2009 , “Asymmetric information effects on loan spreads” Journal of Finance Economics 92, 300-31913.Jappelli, T., M. Pagano, 2002, “Information sharing, lending and defaults: Cross-country evidence” Journal of Banking & Finance 26, 2017–204514.Miller, S.C., 2010, “A Syndicated Loan Primer” A Guide To The Loan Market , 7-2915.Ortiz-Molina, H., and M. F. Penas, 2008, “Lending to small businesses: the role of loan maturity in addressing information problems” Small Business Economics, 361-38316.Padilla, A.J., M. Pagano, 2000, “Sharing default information as a borrower discipline device” Europ. Econ. Rev. 44, 1951–1980 17.Qian, J. and P. E. Strahan, 2007, “How lows and institutions shape financial contracts: The case of bank loans” Journal of Finance 66, 2803-283418.Rajan, R. G., 1992 , “Insiders and Outsiders: the Choice Between Informed and Arm’s-Length Debt” Journal of Finance 47, 1367-9919.Ramakrishnan, R., and A. Thakor, 1984 , “Information reliability and a theory of financial intermediation” Review of Economic Studies 52, 415-43220.Sharpe, S. A., 1990 , “Asymmetric Information, Bank Lending, and Implicit Contracts: A Stylized Model of Customer Relationship” Journal of Finance 45, 1069-8721.Smith, D.C., 2003, “Loans to Japanese borrowers” J. Japanese Int. Economics 17, 283-30422.Strahan, P. E., 1999, “Borrower Risk and the Price and Nonprice Terms of Bank Loans” FRB of New York Staff Report23.Sufi, A., 2007 , “Information asymmetry and financing arrangements: Evidence from syndicated loans” Journal of Finance 62, 629-66824.Vercammen, J.A., 1995, “Credit bureau policy and sustainable reputation effects in credit markets” Economica 62, 461–478 zh_TW
