部分民营化下银行之利差管理：选择权评价分析
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摘要
大部分银行民营化是在政府保留控制权的部份民营化期间之前提下展开。本论文检视部份民营化的程度、政治干预、资本管制及最适银行利差之间的关连性。与银行的利差有关的情况有:银行处在低风险下,增加部份民营化的程度将会增加其放款利率,另当银行处在高风险下,政治干预程度亦会增加其放款利率;或是银行处于低风险下,增加资本管制将会造成银行放款利率的减少。而与银行权益报酬违约风险有关的则是,当银行增加民营化程度时将会降低其权益报酬的违约风险,而政治干预程度及资本管制增加时,则会造成权益报酬违约风险的提高。我们发现提供了在部分民营化下有关市场价值与银行利益变化的选择。
Most bank privatization programs begin with a period of partial privatization where the government remains the controlling owner. This paper examines the relationships among partial privatization degree, political interference, capital regulation, and the optimal bank interest margin. The bank’s interest margin is positively related to the privately-owned degree of partial privatization when the bank stays in a relatively less risky state of the world and its capital stock increases through the share issue privatization, positively to the political interference when the bank stays in a relatively more risky state, and negatively to the capital regulation when the bank stays in a relatively less risky state. The default risk in the bank’s equity return is negatively related to the privately-owned degree of partial privatization when its capital stock increases through the share issue privatization, positively to the political interference, and positively to the capital regulation. Our findings provide alternatives for the evidence concerning the market value and variance of the bank’s profits under the partial privatization.
Most bank privatization programs begin with a period of partial privatization where the government remains the controlling owner. This paper examines the relationships among partial privatization degree, political interference, capital regulation, and the optimal bank interest margin. The bank’s interest margin is positively related to the privately-owned degree of partial privatization when the bank stays in a relatively less risky state of the world and its capital stock increases through the share issue privatization, positively to the political interference when the bank stays in a relatively more risky state, and negatively to the capital regulation when the bank stays in a relatively less risky state. The default risk in the bank’s equity return is negatively related to the privately-owned degree of partial privatization when its capital stock increases through the share issue privatization, positively to the political interference, and positively to the capital regulation. Our findings provide alternatives for the evidence concerning the market value and variance of the bank’s profits under the partial privatization.
引文
沈中华(1996)投资银行,台北:华泰文化事业有限公司。
吴学良、鲍慧文(2006)「公营事业民营化政策再检验:对绩效衡量与绩效变化之影响因素」,经营情势暨评论季刊,12,2,18-41。
芮明杰、陶志刚编(2004)「中国商业银行业竞争力研究」,产业竞争力报告,上海:人民出版社,179-209。
杨锦州(1991)管理数学,台北:华泰文化事业有限公司。
Baltensperger, E. (1980)“Alternative Approaches to the Theory of the Banking Firm,”Journal of Monetary Economics, 6, 1, 1-37.
Beck, T., G. Clarke, A. Groff, P. Keefer, and P. Walsh (2001)“New Tools in Comparative Political Economy: The Database of Political Institutions,”World Bank Economic Review, 15, 1, 165-176.
Black, F., and M. Scholes (1973)“The Pricing of Options and Corporate Liabilities,”Journal of Political Economy, 81, 2, 637-659.
Boardman, A., and A. R. Vining (1989)“Ownership and Performance in Competitive Environments: A Comparison of the Performance of Private, Mixed, and State-Owned Enterprises,”Journal of Law and Economics, 32, 1, 1-33.
Borcherding, T. E., Pommerehne, W. W., Schneider, F. (1982)“Comparing the Efficiency of Private and Public Production: The Evidence from Five Countries,”Journal of Economic, 89, 2, 127-56.
Boubakri, N., and J. C. Cosset, (1998)“The Financial and Operating Performance of Newly-Privatized Firms: Evidence from Developing Countries,”Journal of Finance, 53, 2,1081-1110.
Boyko, M., A. Shleifer, and R. Vishny (1985)“A Theory of Privatization,”Economic Journal, l06, 435, 309-319.
Brada, J. C. (1996)“Privatization Is Transition: or Is It?”Journal of Economic Perspective, 10, 2, 67-86.
Bulow, J. I., J. D. Geanakoplos, and P. D. Klemperer (1985)“Multimarket Oligopoly: Strategic Substitutes and Complements,”Journal of Political Economy, 93, 3, 488-511.
Clague, C., P. Keefer, S. Knack, and M. Olson (1996)“Property and Contract Rights in Autocracies and Democracies,”Journal of Economic Growth, 1, 2, 243-276.
Cosimano, T., and B. McDonald (1998)“What’s Different among Banks?”Journal of Monetary Economics, 41, 1, 57-70.
Crouhy, M., and D. Galai (1991)“A Contingent Claim Analysis of a Regulated Depository Institution,”Journal of Banking and Finance, 15, 1, 73-90.
D'Souza, J. and Megginson, W. (1999)“The Financial and Operating Performance of Privatized Firms During the 1990s,”Journal of Finance, 54, 4, 1397-1424.
Dyck, A., and L. Zingales (2004)“Private Benefits of Control: An International Comparison,”Journal of Finance, 59, 2, 537-600.
Finn, W. T. II, and J. B. Frederick (1992)“Managing the Margin,”ABA Banking Journal, 84, 4, 50-53.
Froot, K., and J. C. Stein (1998)“Risk Management, Capital Budgeting, and Capital Structure Policy for Financial Institutions: An Integrated Approach,”Journal of Financial Economics, 47, 1, 55-82.
Gupta, N. (2005)“Partial Privatization and Firm Performance,”Journal of Finance, 60, 2, 987-1015.
Hannan, T. F. (1991)“Foundations of the Structure-Conduct-Performance Paradigm in Banking,”Journal of Money, Credit and Banking, 23, 1, 68-84.
Jones, S., W. L. Megginson, R. C. Nash, and J. M. Netter (1999)“Share Issue Privatizations as Financial Means to Political and Economic Ends”Journal of Financial Economics, 53, 2, 217-253.
Hancock, D. (1986)“A Model of the Financial Firm with Imperfect Asset and Deposit Elasticities,”Journal of Banking and Finance, 10, 1, 37-54.
Hanke, S. H. (1987) Privatization and Development, CA: The Institute for Contemporary studies.
Hoening, T. M. (1997)“Bank Regulation: Asking the Right Questions,”Economics Review, Federal Reserve Bank of Kansas City, 82, 1, 5-10.
Kane, T. J. (1999), The Price of Admission: Rethinking How Americans Pay for College, Washington, D. C.: Brookings Institution.
Kashyap, A. K., R. Rajan, and J. C. Stein (2002)“Banks as Liquidity Providers: An Explanation for the Coexistence of Lending and Deposit-Taking,”Journal of Finance, 57, 1, 33-73.
La Porta, and R. F. López-de-Silanes (1999)“The Benefits of Privatization: Evidence from Mexico,”Quarterly Journal of Economics, 114, 4, 1193-1242.
La Porta, R. F. López-de-Silanes, A. Shleifer, and R. Vishny (2002)“Investor Protection and Corporate Valuation,”Journal of Finance, 57, 3, 1147-1170.
Manzetti, L. (1994)“The Politics of Privatization and Deregulation in Latin America,”Quarterly Review of Economics and Finance, 34, Spring, 43-76.
Martin, A. (2003)“A Guide to Deposit Insurance Reform,”Economic Review, Federal Reserve Bank of Kansas City, 88, 1, 29-54.
Megginson, W. L., and J. M. Netter (2001)“From State to Market: A Survey of Empirical Studies on Privatization,”Journal of Economic Literature, 39, 2, 321-389.
Megginson, W. L., R. C. Nash, and M. Van Randenborgh (1994)“The Financial and Operating Performance of Newly Privatized Firms: An International Empirical Analysis,”Journal of Finance, 49, 2, 403-452.
Megginson, W. L., R. C. Nash, J. M. Netter, and A. B. Poulsen (2004)“The Choice of Private Versus Public Capital Markets: Evidence from Privatizations,”Journal of Finance, 59, 6, 2835-2870.
Mercer, Z. C. (1992) Valuing Financial Institutions, Homewood, IL: Business One Irwin.
Merton, R. C. (1974)“On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,”Journal of Finance, 29, 2, 449-470.
Mullins, H. M., and D. H. Pyle (1994)“Liquidation Costs and Risk-Based Bank Capital,”Journal of Banking and Finance, 18, 1, 113-138.
Niskanen, W. A. (1971) Bureaucracy and Representative Government, New York: Aldine- Atherton.
Perotti, E. C., and P. Van Oijen (2001)“Privatization, Political Risk and Stock Market
Development in Emerging Economies,”Journal of International Money and Finance, 20, 1, 43-69.
Pringle, J. J. (1973)“A Theory of the Banking Firm,”Journal of Money, Credit, and Banking, 10, 4, 990-996.
Repullo, R., and J. Suarez (1998)“Monitoring, Liquidation, and Security Design,”Review of Financial Studies, 11, 1, 163-187.
Santomero, A. M. (1984)“Modeling the Banking Firm,”Journal of Money, Credit, and Banking, 16, 4, 576-712.
Sealey, C. W. (1980)“Deposit Rate-Setting, Risk Aversion and the Theory of Depository Financial Intermediaries,”Journal of Finance, 35, 5, 1139-1154.
Sealey, C. W. and J. T. Lindley (1977),“Input, Outputs, and a Theory of Production and Cost at Depositary Financial Institutions,”Journal of Financial, 32, 9, 1251-1266.
Shleifer, A., and R. Vishny (1994)“Politicians and Firms,”Quarterly Journal of Economics, 109, 4, 995-1025.
Slovin, M. B., and M. E. Sushka (1983)“A Model of the Commercial Loan Rate,”Journal of Finance, 38, 5, 1583-1596.
Sorensen, E. H., and T. F. Bollier (1994)“Pricing Swap Default Risk,”Financial Analysts Journal, 50, 3, 23-33.
Spellman, L. J. (1982) The Depository Firm and Industry, London: Academic Press Inc.
Stiroh, K. J. (2004)“Diversification in Banking: Is Non-interest Income the Answer?”Journal of Money, Credit, and Banking, 36, 5, 853-882.
Tian, G. L. (2000)“State Shareholding and Corporate Performance: A Study of a Unique Chinese Data Set,”Working Paper, London Business School, London.
Tirole, J. (2001)“Corporate Governance,”Econometrica, 69, 1, 1-35.
Vassalou, M., and Y. Xing (2004)“Default Risk in Equity Returns,”Journal of Finance, 59, 2, 831-868.
Vickers, J. and G. Yarrow (1991)“Economic Perspectives on Privatization,”Journal of Economic Perspectives, 5, 2, 111-132.
Willig, A. (1985)“A Meta-Analysis of Selected Studies on the Effectiveness of Bilingual Education,”Review of Educational Research 55, 269-316.
Wong, K. P. (1997)“On the Determinants of Bank Interest Margins under Credit and Interest Rate Risk,”Journal of Banking and Finance, 21, 2, 251-271.
Yarrow, G. (1986)“Privatization in Theory and Practice,”Economic Policy, 2, 1, 324-377
Zarruk, E. R., and J. Madura (1992)“Optimal Bank Interest Margin under Capital Regulation and Deposit Insurance,”Journal of Financial and Quantitative Analysis, 27, 1, 143-149.
吴学良、鲍慧文(2006)「公营事业民营化政策再检验:对绩效衡量与绩效变化之影响因素」,经营情势暨评论季刊,12,2,18-41。
芮明杰、陶志刚编(2004)「中国商业银行业竞争力研究」,产业竞争力报告,上海:人民出版社,179-209。
杨锦州(1991)管理数学,台北:华泰文化事业有限公司。
Baltensperger, E. (1980)“Alternative Approaches to the Theory of the Banking Firm,”Journal of Monetary Economics, 6, 1, 1-37.
Beck, T., G. Clarke, A. Groff, P. Keefer, and P. Walsh (2001)“New Tools in Comparative Political Economy: The Database of Political Institutions,”World Bank Economic Review, 15, 1, 165-176.
Black, F., and M. Scholes (1973)“The Pricing of Options and Corporate Liabilities,”Journal of Political Economy, 81, 2, 637-659.
Boardman, A., and A. R. Vining (1989)“Ownership and Performance in Competitive Environments: A Comparison of the Performance of Private, Mixed, and State-Owned Enterprises,”Journal of Law and Economics, 32, 1, 1-33.
Borcherding, T. E., Pommerehne, W. W., Schneider, F. (1982)“Comparing the Efficiency of Private and Public Production: The Evidence from Five Countries,”Journal of Economic, 89, 2, 127-56.
Boubakri, N., and J. C. Cosset, (1998)“The Financial and Operating Performance of Newly-Privatized Firms: Evidence from Developing Countries,”Journal of Finance, 53, 2,1081-1110.
Boyko, M., A. Shleifer, and R. Vishny (1985)“A Theory of Privatization,”Economic Journal, l06, 435, 309-319.
Brada, J. C. (1996)“Privatization Is Transition: or Is It?”Journal of Economic Perspective, 10, 2, 67-86.
Bulow, J. I., J. D. Geanakoplos, and P. D. Klemperer (1985)“Multimarket Oligopoly: Strategic Substitutes and Complements,”Journal of Political Economy, 93, 3, 488-511.
Clague, C., P. Keefer, S. Knack, and M. Olson (1996)“Property and Contract Rights in Autocracies and Democracies,”Journal of Economic Growth, 1, 2, 243-276.
Cosimano, T., and B. McDonald (1998)“What’s Different among Banks?”Journal of Monetary Economics, 41, 1, 57-70.
Crouhy, M., and D. Galai (1991)“A Contingent Claim Analysis of a Regulated Depository Institution,”Journal of Banking and Finance, 15, 1, 73-90.
D'Souza, J. and Megginson, W. (1999)“The Financial and Operating Performance of Privatized Firms During the 1990s,”Journal of Finance, 54, 4, 1397-1424.
Dyck, A., and L. Zingales (2004)“Private Benefits of Control: An International Comparison,”Journal of Finance, 59, 2, 537-600.
Finn, W. T. II, and J. B. Frederick (1992)“Managing the Margin,”ABA Banking Journal, 84, 4, 50-53.
Froot, K., and J. C. Stein (1998)“Risk Management, Capital Budgeting, and Capital Structure Policy for Financial Institutions: An Integrated Approach,”Journal of Financial Economics, 47, 1, 55-82.
Gupta, N. (2005)“Partial Privatization and Firm Performance,”Journal of Finance, 60, 2, 987-1015.
Hannan, T. F. (1991)“Foundations of the Structure-Conduct-Performance Paradigm in Banking,”Journal of Money, Credit and Banking, 23, 1, 68-84.
Jones, S., W. L. Megginson, R. C. Nash, and J. M. Netter (1999)“Share Issue Privatizations as Financial Means to Political and Economic Ends”Journal of Financial Economics, 53, 2, 217-253.
Hancock, D. (1986)“A Model of the Financial Firm with Imperfect Asset and Deposit Elasticities,”Journal of Banking and Finance, 10, 1, 37-54.
Hanke, S. H. (1987) Privatization and Development, CA: The Institute for Contemporary studies.
Hoening, T. M. (1997)“Bank Regulation: Asking the Right Questions,”Economics Review, Federal Reserve Bank of Kansas City, 82, 1, 5-10.
Kane, T. J. (1999), The Price of Admission: Rethinking How Americans Pay for College, Washington, D. C.: Brookings Institution.
Kashyap, A. K., R. Rajan, and J. C. Stein (2002)“Banks as Liquidity Providers: An Explanation for the Coexistence of Lending and Deposit-Taking,”Journal of Finance, 57, 1, 33-73.
La Porta, and R. F. López-de-Silanes (1999)“The Benefits of Privatization: Evidence from Mexico,”Quarterly Journal of Economics, 114, 4, 1193-1242.
La Porta, R. F. López-de-Silanes, A. Shleifer, and R. Vishny (2002)“Investor Protection and Corporate Valuation,”Journal of Finance, 57, 3, 1147-1170.
Manzetti, L. (1994)“The Politics of Privatization and Deregulation in Latin America,”Quarterly Review of Economics and Finance, 34, Spring, 43-76.
Martin, A. (2003)“A Guide to Deposit Insurance Reform,”Economic Review, Federal Reserve Bank of Kansas City, 88, 1, 29-54.
Megginson, W. L., and J. M. Netter (2001)“From State to Market: A Survey of Empirical Studies on Privatization,”Journal of Economic Literature, 39, 2, 321-389.
Megginson, W. L., R. C. Nash, and M. Van Randenborgh (1994)“The Financial and Operating Performance of Newly Privatized Firms: An International Empirical Analysis,”Journal of Finance, 49, 2, 403-452.
Megginson, W. L., R. C. Nash, J. M. Netter, and A. B. Poulsen (2004)“The Choice of Private Versus Public Capital Markets: Evidence from Privatizations,”Journal of Finance, 59, 6, 2835-2870.
Mercer, Z. C. (1992) Valuing Financial Institutions, Homewood, IL: Business One Irwin.
Merton, R. C. (1974)“On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,”Journal of Finance, 29, 2, 449-470.
Mullins, H. M., and D. H. Pyle (1994)“Liquidation Costs and Risk-Based Bank Capital,”Journal of Banking and Finance, 18, 1, 113-138.
Niskanen, W. A. (1971) Bureaucracy and Representative Government, New York: Aldine- Atherton.
Perotti, E. C., and P. Van Oijen (2001)“Privatization, Political Risk and Stock Market
Development in Emerging Economies,”Journal of International Money and Finance, 20, 1, 43-69.
Pringle, J. J. (1973)“A Theory of the Banking Firm,”Journal of Money, Credit, and Banking, 10, 4, 990-996.
Repullo, R., and J. Suarez (1998)“Monitoring, Liquidation, and Security Design,”Review of Financial Studies, 11, 1, 163-187.
Santomero, A. M. (1984)“Modeling the Banking Firm,”Journal of Money, Credit, and Banking, 16, 4, 576-712.
Sealey, C. W. (1980)“Deposit Rate-Setting, Risk Aversion and the Theory of Depository Financial Intermediaries,”Journal of Finance, 35, 5, 1139-1154.
Sealey, C. W. and J. T. Lindley (1977),“Input, Outputs, and a Theory of Production and Cost at Depositary Financial Institutions,”Journal of Financial, 32, 9, 1251-1266.
Shleifer, A., and R. Vishny (1994)“Politicians and Firms,”Quarterly Journal of Economics, 109, 4, 995-1025.
Slovin, M. B., and M. E. Sushka (1983)“A Model of the Commercial Loan Rate,”Journal of Finance, 38, 5, 1583-1596.
Sorensen, E. H., and T. F. Bollier (1994)“Pricing Swap Default Risk,”Financial Analysts Journal, 50, 3, 23-33.
Spellman, L. J. (1982) The Depository Firm and Industry, London: Academic Press Inc.
Stiroh, K. J. (2004)“Diversification in Banking: Is Non-interest Income the Answer?”Journal of Money, Credit, and Banking, 36, 5, 853-882.
Tian, G. L. (2000)“State Shareholding and Corporate Performance: A Study of a Unique Chinese Data Set,”Working Paper, London Business School, London.
Tirole, J. (2001)“Corporate Governance,”Econometrica, 69, 1, 1-35.
Vassalou, M., and Y. Xing (2004)“Default Risk in Equity Returns,”Journal of Finance, 59, 2, 831-868.
Vickers, J. and G. Yarrow (1991)“Economic Perspectives on Privatization,”Journal of Economic Perspectives, 5, 2, 111-132.
Willig, A. (1985)“A Meta-Analysis of Selected Studies on the Effectiveness of Bilingual Education,”Review of Educational Research 55, 269-316.
Wong, K. P. (1997)“On the Determinants of Bank Interest Margins under Credit and Interest Rate Risk,”Journal of Banking and Finance, 21, 2, 251-271.
Yarrow, G. (1986)“Privatization in Theory and Practice,”Economic Policy, 2, 1, 324-377
Zarruk, E. R., and J. Madura (1992)“Optimal Bank Interest Margin under Capital Regulation and Deposit Insurance,”Journal of Financial and Quantitative Analysis, 27, 1, 143-149.