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題名 訊息不對稱下最適存款保險契約之約之訂定
Optimal Deposit Insurance Contract Unter Asymmetric Information
作者 黃美惠
Hung, Mei-Hui
貢獻者 胡聯國
Ku, Len-Kuo
黃美惠
Hung, Mei-Hui
關鍵詞 逆向選擇
揭露原則
誘因相容性
自我選擇機能
私有訊息
訊息不對稱
Adverse selection
The revelation principle
Incentive compatibility
Self-selection mechanism
Private information
Asymmetric information
日期 1996
上傳時間 28-Apr-2016 11:33:58 (UTC+8)
摘要 本文考慮當資訊不對稱下的逆向選擇問題存在時,如何遵循Myerson(1979)提出的揭露原則 (the revelation principle)來設計一套具備誘因相容性 (incentive compatibility)的存款保險契約,契約中的自有資本比率為要保機構的自我選擇變數 (self-selection variable),而保險費則為存保公司用來控制要保機構決策行為的控制變數(control var iable),依此可以建立一套自我選擇機能(self-selection mechanism),來促使要保機構誠實揭其風險類型的私有訊息(private information),進而將要保機構依風險高低正確分類,徹底解決訊息不對稱下的逆向選擇問題。
參考文獻 Chan, Y. S., Greenbaum, S., and Thaker, A, "Is Fairly Priced Deposit Insurance
     Posibble?" Journal of Finance, March 1992, 227-245.
     Dasgupta, P. S., P. J. Hamond and E. S. Maskin, "The Implementation of Social Choice Rules: Some Results on Incentive Compatibility". Review of Economic Studies 46, 1979, 185-216.
     Flannery, M J., "Capital Regulation and Insured Bank Choice of Individual Loan Default Risks" Journal of Monetary Economics 24, 1989, 235-258.
     Fudenberg, D., and J. Tirole, "Game Theory." The MIT Press, 1991.
     Guesnerie, R., and J. J. Laffont, "A complete solution to a class of principal-agent
     problems with an application to the control of a self-managed firm ." Journal of Economics 25, 1984, 329-369.
     Giammarino, Ron, Tracy Lewis, and David E. M. Sappington, "An incentive approach to banking regulation." Journal of Finance, September 1993, 1523-1542.
     Harris, M, and A Raviv, "Optimal Incentive Contract with Imperfect Information." Journal of Economic Theory 20, 1979, 231-259.
     Holmstrom, B., and R.B. Myerson, "Efficient and Durable Decision Rules with Incomplete Information." Econometrica 53, 1983, 1799-1819.
     Jensen, M. c., and W. H. Mechling "Theory of the firm: Managerial Behavior, Agency Costs, and Ownership Structure. "Journal of Financial Economics, June 1975, 305-360.
     Kanatas, G., "Deposit Insurance and the Discount Window: Pricing under Asymmetric Information." Journal of Finance, June 1986, 437-449.
     Myerson, R. B., "Incentive Compatibility and the Bargaining Problem." Econometrica 47, 1979, 61-74.
     Pecchenino, Rowera A., "Risk-based Deposit Insurance: An Incentive Compatible Plan." Journal of Money, Credit, and Banking, November 1992, 499-510.
     Sharp, W., "Bank Capital Adequacy, Deposit Insurance and Security Values." Journal of Financial and Quantitative Analysis, 1978, 701-718.
     Whinston, A. M. M. D., and J. R. Green, "Microeconomic Theory." 1995.
描述 碩士
國立政治大學
國際經營與貿易學系
83351024
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002002738
資料類型 thesis
dc.contributor.advisor 胡聯國zh_TW
dc.contributor.advisor Ku, Len-Kuoen_US
dc.contributor.author (Authors) 黃美惠zh_TW
dc.contributor.author (Authors) Hung, Mei-Huien_US
dc.creator (作者) 黃美惠zh_TW
dc.creator (作者) Hung, Mei-Huien_US
dc.date (日期) 1996en_US
dc.date.accessioned 28-Apr-2016 11:33:58 (UTC+8)-
dc.date.available 28-Apr-2016 11:33:58 (UTC+8)-
dc.date.issued (上傳時間) 28-Apr-2016 11:33:58 (UTC+8)-
dc.identifier (Other Identifiers) B2002002738en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/87280-
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) 83351024zh_TW
dc.description.abstract (摘要) 本文考慮當資訊不對稱下的逆向選擇問題存在時,如何遵循Myerson(1979)提出的揭露原則 (the revelation principle)來設計一套具備誘因相容性 (incentive compatibility)的存款保險契約,契約中的自有資本比率為要保機構的自我選擇變數 (self-selection variable),而保險費則為存保公司用來控制要保機構決策行為的控制變數(control var iable),依此可以建立一套自我選擇機能(self-selection mechanism),來促使要保機構誠實揭其風險類型的私有訊息(private information),進而將要保機構依風險高低正確分類,徹底解決訊息不對稱下的逆向選擇問題。zh_TW
dc.description.tableofcontents 第一章緒論
      第一節研究動機、目的與方法..........1
      第二節本文內容與架構..........6
     第二章文獻與理論回顧
      第一節前言..........8
      第二節資訊對稱下，風險基準費率的理論基礎..........9
      第三節資訊不對稱下之存款保險相關文獻..........10
      2.3.1討論存款保險制度下的逆向選擇問題..........10
      2.3.2同時討論存款保險制度下的逆向選擇與道德危機問題..........13
      第四節與本文相關的賽局理論簡介..........20
     第三章理論模型(一)不連續分配下最適存款保險契約的訂定
      第一節前言..........26
      第二節模型假設與建立..........29
      第三節完全訊息下最適存款保險契約的訂定..........35
      第四節不連續分配下消除逆向選擇之次佳存款保險契約..........39
      3.4.1基本模型..........39
      3.4.2契約特性..........45
      3.4.3不連續分配下完全訊息與訊息不對稱之最適契約的比較..........46
      第五節小結..........52
     第四章理論模型(二)連續分配下消防逆向選擇之次佳存款保險契約
      第一節前言..........53
      第二節基本模型與最適契約之訂定..........54
      第三節最適均衡契約之比較..........60
      第四節契約性質..........64
      第五節小結..........66
     第五章結論與建議
      第一節結論..........67
      第二節後續研究建議..........69
     附錄..........71
     參考文獻..........73		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002002738en_US
dc.subject (關鍵詞) 逆向選擇zh_TW
dc.subject (關鍵詞) 揭露原則zh_TW
dc.subject (關鍵詞) 誘因相容性zh_TW
dc.subject (關鍵詞) 自我選擇機能zh_TW
dc.subject (關鍵詞) 私有訊息zh_TW
dc.subject (關鍵詞) 訊息不對稱zh_TW
dc.subject (關鍵詞) Adverse selectionen_US
dc.subject (關鍵詞) The revelation principleen_US
dc.subject (關鍵詞) Incentive compatibilityen_US
dc.subject (關鍵詞) Self-selection mechanismen_US
dc.subject (關鍵詞) Private informationen_US
dc.subject (關鍵詞) Asymmetric informationen_US
dc.title (題名) 訊息不對稱下最適存款保險契約之約之訂定zh_TW
dc.title (題名) Optimal Deposit Insurance Contract Unter Asymmetric Informationen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Chan, Y. S., Greenbaum, S., and Thaker, A, "Is Fairly Priced Deposit Insurance
     Posibble?" Journal of Finance, March 1992, 227-245.
     Dasgupta, P. S., P. J. Hamond and E. S. Maskin, "The Implementation of Social Choice Rules: Some Results on Incentive Compatibility". Review of Economic Studies 46, 1979, 185-216.
     Flannery, M J., "Capital Regulation and Insured Bank Choice of Individual Loan Default Risks" Journal of Monetary Economics 24, 1989, 235-258.
     Fudenberg, D., and J. Tirole, "Game Theory." The MIT Press, 1991.
     Guesnerie, R., and J. J. Laffont, "A complete solution to a class of principal-agent
     problems with an application to the control of a self-managed firm ." Journal of Economics 25, 1984, 329-369.
     Giammarino, Ron, Tracy Lewis, and David E. M. Sappington, "An incentive approach to banking regulation." Journal of Finance, September 1993, 1523-1542.
     Harris, M, and A Raviv, "Optimal Incentive Contract with Imperfect Information." Journal of Economic Theory 20, 1979, 231-259.
     Holmstrom, B., and R.B. Myerson, "Efficient and Durable Decision Rules with Incomplete Information." Econometrica 53, 1983, 1799-1819.
     Jensen, M. c., and W. H. Mechling "Theory of the firm: Managerial Behavior, Agency Costs, and Ownership Structure. "Journal of Financial Economics, June 1975, 305-360.
     Kanatas, G., "Deposit Insurance and the Discount Window: Pricing under Asymmetric Information." Journal of Finance, June 1986, 437-449.
     Myerson, R. B., "Incentive Compatibility and the Bargaining Problem." Econometrica 47, 1979, 61-74.
     Pecchenino, Rowera A., "Risk-based Deposit Insurance: An Incentive Compatible Plan." Journal of Money, Credit, and Banking, November 1992, 499-510.
     Sharp, W., "Bank Capital Adequacy, Deposit Insurance and Security Values." Journal of Financial and Quantitative Analysis, 1978, 701-718.
     Whinston, A. M. M. D., and J. R. Green, "Microeconomic Theory." 1995.		zh_TW