期刊論文

標題 Bank Interest Margins under Information Asymmetry and Centralized vs. Decentralized Loan Rate Decisions: A Two-Stage Option Pricing Model
學年 98
學期 1
出版(發表)日期 2009/11/01
作品名稱 Bank Interest Margins under Information Asymmetry and Centralized vs. Decentralized Loan Rate Decisions: A Two-Stage Option Pricing Model
作品名稱(其他語言)
著者 Lin, Jyh-Horng; Lin, Jyh-Jiuan; Jou, Rosemary
單位 淡江大學統計學系
出版者 Piraeus: World Scientific and Engineering Academy and Society (WSEAS)
著錄名稱、卷期、頁數 Wseas Transactions On Information Science And Applications 6(11), pp.1814-1829
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.
關鍵字 Centralized vs. decentralized loan rate; Information asymmetry; Black-Scholes formula
語言 英文
ISSN 1790-0832
期刊性質 國外
收錄於 EI
產學合作
通訊作者 Lin, Jyh-Jiuan
審稿制度
國別 希臘
公開徵稿
出版型式 紙本