Intermediary’s Bank Share in Taiwanese Capital Market

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姓名

潘彥廷(Monzo Pan) 查詢紙本館藏

畢業系所

統計研究所

論文名稱

(Intermediary’s Bank Share in Taiwanese Capital Market)

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摘要(中)

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。

摘要(英)

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.

關鍵字(中)

★ 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

關鍵字(英)

★ asset reallocation
★ two trees
★ constant relative risk aversion
★ CRRA
★ portfolio weight
★ Bellman’s optimality

論文目次

Abstract i
摘要 ii
Acknowledgement iii
Table of Contents v
List of Figures vii
List of Tables ix
1 Introduction 1
2 Model Review 2
2.1 Geometric Brownian Motion(GBM) 2
2.2 Jump Diffusion Model 3
2.3 Ornstein-Uhlenbeck Process 3
2.4 Two Trees Model 4
3 Main Idea and Model Assumption 5
3.1 Main Idea 5
3.2 The Issue and the Equilibrium 8
4 Simulations 12
4.1 Small Scale of λ 12
4.2 Large Scale of λ 19
5 Empirical Analysis 20
5.1 Intro 20
5.2 Data Description 20
5.3 Results 23
6 Conclusions and Aspect 27
References 28

參考文獻

[1]. Cochrane, J.H., Longstaff, F.A., Santa-Clara, P., 2008. Two Trees. The Review of Financial Studies, Vol.21, Isseu1, 347-385.
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[3].Diamond, D. W., and R. G. Rajan, 2000, A theory of bank capital. Journal of Finance, Vol.55, 2431-2465.
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[5]. Merton, R., 1969. Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case. The Review of Economics and Statistics, Vol.51, No.3, 247-257.
[6]. Merton, R.C., 1973. Theory of Rational Option Pricing. Journal of Economics and Management Science, Vol.4, No.1, 141-183.
[7]. Parlour, C., Stanton, R., Walden, J., 2012. Financial Flexibility, Bank Capital Flows, and Asset Prices. The Journal of Finance, Vol.67, No.5, 1685-1722.
[8]. Pennacchi, G., 2008. Theory of Asset pricing. Pearson Education.
[9]. Pratt, J.C., 1964. Risk Aversion in the Small and in the Large. Econometrica, Vol.32, No.1/2, 122-136.

指導教授

傅承德(Dr.Cheng-Der Fuh)

審核日期

2013-7-1

推文