出版日期：2009-11-01 00:00:00

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：en

ISSN：1790-0832

期刊性質：國外

收錄於：EI

通訊作者：Lin, Jyh-Jiuan

審稿制度：是

國別：GRC

出版型式：紙本