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Capozza與FindlayⅢ以選擇權觀點, 說明浮動利率放款(variable- rate
mortgage)較能趨避風險, 使儲貸機構的權益價值與家計部門淨財富不受
利率變動影響; Dokko與Edelstein以家計部門效用極大分析出放款中的利
率風險應由銀行與家計部門共同承擔; 本文則希望換個角度, 以銀行效用
極大分析銀行存放款組合之決策模式。本文假設銀行已找出其最佳存放款
規模, 在銀行追求效用極大時, 以浮動利率存放款額度為決策變數, 求出
最適情況下的浮動利率存放款與固定利率存放款組合。經過一些繁複的數
學運算後, 我們得到浮動利率存放款額度的決定與放款利率隨機變動部份
及存款利率隨機變動部份的分配有關。此外我們尚對最適情況下的浮動利
率存放款做比較靜態分析, 並指出後續研究可進行的方向。
Inspired by Dokko and Edelstein who show that for an expected
utility-maximizing borrower the risks of interest rate changes
should be allocated between borrowers and lenders through
varying mortgage payments , this study discusses that for an
expected utility-maximizing bank what the optimal composition
of the bank's loans and deposits should be. We assume that the
bank's total deposits and total loans are exogenous, and that
the amount of variable-rate mortgages and the amount of
floating-rate deposits are decision variables. After some
sophisticated mathematical operations, we get that the optimal
composition of the bank's loans and deposits is determined by
the distribution of the mortgage's random interest rate risk
and the distribution of the deposit's random interest rate
risk. At the same time, we give some comparative static
analyses. Finally, we point out some suggestions for future
research.
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