Bank Interest Margins under Information Asymmetry and Centralized vs. Decentralized Loan Rate Decisions: A Two-Stage Option Pricing Model

被引：0

作者：

Lin, Jyh-Horng ^{[2
]}

Lin, Jyh-Jiuan ^{[1
]}

Jou, Rosemary ^{[3
]}

机构：

[1] Tamkang Univ, Dept Stat, 151 Ying Chuan Rd, Tamsui 251, Taipei County, Taiwan

[2] Tamkang Univ, Grad Inst Int Business, Tamsui 251, Taipei County, Taiwan

[3] Tamkang Univ, Grant Inst Management Sci, Tamsui 251, Taipei County, Taiwan

来源：

PROCEEDINGS OF THE 11TH WSEAS INTERNATIONAL CONFERENCE ON MATHEMATICAL AND COMPUTATIONAL METHODS IN SCIENCE AND ENGINEERING (MACMESE '09) | 2009年

关键词：

Centralized vs. decentralized loan rate; Information asymmetry; Black-Scholes formula;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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 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.

引用

页码：167 / +

页数：2