教師資料查詢 | 類別: 期刊論文 | 教師: 林志鴻 Jyh-horng Lin (瀏覽個人網頁)

標題:Bank as a liquidity provider and interest rate discovery: An option-based optimization
學年95
學期1
出版(發表)日期2006/08/01
作品名稱Bank as a liquidity provider and interest rate discovery: An option-based optimization
作品名稱(其他語言)
著者Chang, Chuen-Ping; Lin, Jyh-horng
單位淡江大學國際貿易學系
出版者Elsevier
著錄名稱、卷期、頁數Expert Systems with Applications 31(2), pp.360-369
摘要Lending via commitment provides liquidity and interest rate discovery. These two concepts are closely related, but they are not identical. As each function can influence asset prices (and thus equity capital prices), this paper discusses how liquidity enters into equity capital price formation, and then focuses on the impact of the price discovery process on bank interest rate behavior. We use an option-based model to study the average loan interest rate of the other banks (explicitly treated as interest rate discovery in our model), the degree of capital market imperfection, and the external financing need for determining the bank's optimal loan rate and loan commitment rate, and thus the default risk of its net return. We find, for example, that the default risk of the bank's net return is negatively related to the average loan rate of the other banks and the external financing need, and positively related to the degree of capital market imperfection. Our findings provide alternative explanations for implications concerning liquidity and price discovery.
關鍵字Liquidity;Price discovery;Black–Scholes valuation
語言英文
ISSN0957-4174
期刊性質國內
收錄於
產學合作
通訊作者
審稿制度
國別中華民國
公開徵稿
出版型式,電子版
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