臺灣博碩士論文加值系統

「金融自由化」與「國際化」已成為政府對金融革新的既定政策，因此日後利率的變動必較以往更為頻繁，而金融機構在面臨外在環境的激烈變化與強烈的競爭下，如何降低本身的不確定風險，是一重要的課題。
本文主要重點在討論有關銀行廠商是否可藉由遠期市場的交易來規避掉存於存款與放款的不確定性風險。
首先基於銀行廠商的營運特性，我們視其存款市場為完全競爭市場、放款市場為不完全競爭市場。本文主要參考Sealey的模型，去探討銀行的不平衡性避險。主要運用預期利潤極大化和預期效用利潤極大化兩種方法來分析，討論銀行廠商在常態逆價差(normal backwardation)的遠期市場下存款、放款的避險決策。
其結果為：在常態逆價差下，放款存有數量的風險暴露；而存款則存有利率的風險暴露。進一步而言，在預期效用利潤極大化下，當銀行在放款市場扮演制定者時，其較扮演接受者的存款市場，需要更多的保險。

Financial deregulation and international are policy about financial revolution of government. Interest rate then must extremely volatile in the future. How to reduce risk is an important question when financial institutions faces environment changing rapidly and extremely competitive.
The paper theoretically examines banking firms whether they could utilize forward market to hedge uncertainly risk about deposit and loan.
First of all on the basis of operating feature of banks, we assume that an intermediary faces an imperfectly competitive output (loan) market and a perfectly competitive input (deposit) market. The paper utilizes Sealey''s model to discuss bank''s normal backwardation of imbalance hedging. It is devoted to the analysis of normal backwardation under the expected profit maximization and further examined by the normal backwardation in the forward market under risk averse expected utility profit maximization.
It concludes with the existence of normal backwardation on loan and quantity-risk exposure, and with the existence of normal backwardation on deposit and rate-risk exposure. Furthermore, the setter who the bank plays in the loan market demands much more "insurance" by hedging than the taker who the bank plays in the deposit market under the risk-averse expected utility profit maximization.

第一章緒論 1
第一節研究動機與目的1
第二節研究架構6
第三節研究限制9
第二章文獻回顧 13
第一節遠期常態正差價13
第二節遠期市場的避險20
第三節 銀行廠商的避險25
第三章基本模型 30
第一節基本假設30
第二節生產函數39
第四章模型分析 43
第一節預期利潤極大化46
第二節預期效用利潤極大化 55
附錄 60
第五章 結論 62
參考文獻 65

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