Intermediary's Bank Share in Taiwanese Capital Market

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/60925

Title:	Intermediary's Bank Share in Taiwanese Capital Market
Authors:	潘彥廷;Pan,Monzo
Contributors:	統計研究所
Keywords:	資產重新分配;雙樹模型;恆定相對風險厭惡;投資組合權重;貝爾曼最佳化;asset reallocation;two trees;constant relative risk aversion;CRRA;portfolio weight;Bellman’s optimality
Date:	2013-07-01
Issue Date:	2013-08-22 12:06:53 (UTC+8)
Publisher:	國立中央大學
Abstract:	如果我們有兩個資產，分別投資在銀行和股本市場，而銀行有可能發生倒閉的風險，中介機構在監控風險和資產重新分配之中扮演重要的作用。我們所使用的模型，參考Stanton等人（2012）再加以考慮銀行複利的推廣。我們將解決如何重新分配資產在給定恆定相對風險厭惡係數（CRRA coefficient）和銀行的活期存款利率，而恆定相對風險厭惡係數通常是由仲介機構的偏好所決定。我們將對台灣資本市場從1987年的加總行為做實證分析。 If we have two assets invested in a bank with bank crush possibility and equity market, the intermediary plays an important role of monitoring and reallocating capital. Our model based on Palour, Stanton and Walden (2012) with a bank current deposit interest rate captures the behavior of intermediation. We will solve the problem of how to reallocate with constant relative risk aversion(CRRA) and of bank current deposit interest rate, the CRRA coefficient is given by agent’s preference. And we will do empirical analysis of aggregate behavior of Taiwanese capital markets from 1987.
Appears in Collections:	[Graduate Institute of Statistics] Electronic Thesis & Dissertation

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML	547	View/Open

社群 sharing

Loading...