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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/88318


    Title: 以信號賽局理論分析銀行放款之決策
    The analysis of Bank Loan Decision with Signaling Games
    Authors: 曾貝莉
    Tseng, Pei Li
    Contributors: 謝淑貞
    Shieh,Shwu Jane
    曾貝莉
    Tseng,Pei Li
    Keywords: 信號賽局
    信用市場
    資訊不對稱
    Signaling Games
    Credit Market
    Asymmetric Information
    Date: 1994
    1993
    Issue Date: 2016-04-29 15:17:58 (UTC+8)
    Abstract: 信用市場發生資訊不對稱時,貸款申請人對自己的型態瞭若指掌,而銀行
    卻因對貸款申請人資訊相對不足而必須承受倒帳的風險。銀行若欲保障利
    潤而提高擔保品或利率,反而易引起道德危機與逆選擇的問題,造成銀行
    利潤下降。多數文獻常以信用分配、自我選擇機能、信號機能來探討銀行
    面臨資訊不對稱所發生的狀況,本文就是以信號賽局來探討資訊不對稱下
    的銀行放款決策。在以信號機能分析銀行放款市場的文獻中,Milde &
    Riley (1988)以貸款額為信號變數,分別用乘法與加法形式利潤函數探討
    不對稱資訊下的銀行放款決策。薛舜仁(1993)則以擔保品為信號變數,運
    用乘法形式利潤函數來探討。本文則延續薛舜仁的分析方法,在貸款額固
    定下,利用貸款申請人型態、擔保品、計劃報酬隨機性形成利潤函數,惟
    此利潤函數,呈現的是Milde & Riley 的加法形式利潤函數。透過貸款申
    請人無異曲線斜率不同所隱含邊際替代率不同的特性,分析出不對稱資訊
    下的均衡契約。由於本文結果與 Milde & Riley 及薛舜仁的結果不同,
    所以我們將各結果列出比較,發現在資訊不對稱時,以債權安全目標設計
    契約時,債信高的申請人會選擇高貸款額或低擔保品但放款利率高的契約
    。當銀行為防止高風險者因擔保品負擔過重退出市場,而以風險角度設計
    契約時,則均衡時,高債信者會選擇低貸款額或高擔保品,但放款利率低
    的契約。
    Reference:  姜堯民「不對稱資訊下銀行放款契約訂定之研究」,政大企研所碩士論文,民國79年6月
     俞海琴「資訊不對稱夏本國銀行放款市場之研究」政大企研所博士論文,民國81年1月
     賈毅然「信用配給之實證研究」台大商研所碩士論文,民國75年7月
     薛舜仁「資訊不對稱下銀行之放款策略-信號賽局理論之應用」政大國貿所碩士論文,民國82年6月



    二、英文部份:
    [1] Besanko, David and Anjan V. Thakor(1987) “Competitive Equilibrium in the Credit Market under Asymmetric Information, “ Journal of Economic Theory, 42, pp167-182
    [2]Baster, Helmut(1985) “Screening vs. Rationing in Credit Markets sith Imperfect Information,” American Economic Review, 75, PP.850-855
    [3]Bester, Helmut(1987) “The Role of Collateral in Credit Markets with Imperfect. Information,” European Economic Review,31, pp887-899.
    [4]Chan, Yuk-Shee, and Thakor, Anjan V. (1987) “Collateral and Competitive Equilibria with Moral Hazard and Private Information,” Journal of Finance, 52,PP345-363
    [5]Cho, In-Koo and Kreps, David M.(1987) “Signalling Games and Stable Equilibria,” The Quarterly Journal of Economics, 102, pp 179-221.
    [6]Enger, M.P. and L.Fernandez (1987) “Market Equilitrium with Hiddern Knowledge and Self-Selection,” Econometrica, 55, pp425-440.
    [7] Enger, M.P.(1987) "Signalling with l`vlany Signals,"
    Econometerica,55, P P663- 674.
    [8] Hillwig, Martin(1987) "Some Recent Developments in the Theory
    of Compensation in rvlarkets with Adverse Selection" 8uropean
    Economic Review)31,PP319-325.
    [9] Fudenberg, Drew and Tirole, Jean(1991) Game Theory. The
    MIT Press.
    [10] Gibbons, Robert(1992) Game Theory f07` Applied Economists.
    Princeton Unversity Press.
    [11] Kreps, David M. and `Nilson , Robert(1982) "Sequential EquiIi
    bria," Econometria)50,PP863-894.

    [12] Milde, Hellmuth and Riley,
    John G.(1988) (`Signalling in Credit Markets," The Quarterly
    Journal of Economics]Feb.,PP101-129.
    [13] Milgrom Paul and Roberts John(1986) "Price and Advertising
    Signals of Product Quality,ll Journal of Political
    Economy] V94,PP796-821.
    [14] Stiglitz, Joseph and iNeiss, Andrew(19S1) (` Credit Rationing
    in Markets with Imperfect Information," American Economic
    Review,71 ,PP393-410.
    [15] Thomas E. Copeland and J. Fred W`eston Financial Theory
    and Corporate Policy Addison- W-esley Publishing Company,
    Third Edition
    [16] yVette, Hildegard C.(1983) "Collateral in Credit Rationing in
    Markets with Imperfect Information:Note:` The Amer£can Economic
    Review,73,PP442-445.

    [17] Wilson, C.A.(1977) "A Model of Insurance tvlarkets vvith Incomplete
    Information" Journal of Economic Theory)16,PP167-207.
    [18] Wilson, Robert(19S5) "l"Multi-Dimensional Signalling,•` Economics
    Letters)9 ,PP17-21.
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    81351028
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002003793
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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