臺灣公債OSRS式保証金交易之最適契約

本文研究政府公債保証金交易，特別著重探討OSRS式之保証金交易。本文指出此類交易中存在著Stiglitz and Weiss（1981）所指的「信用管制」現象。與文獻不同的是，本文發現即使券商（貸方）和投資人（借方）對標的債券（投資計畫）沒有資訊不對稱的問題，只要券商對投資人的還款能力不完全清楚，則信用管制的現象仍然可能發生。本文並導出券商的最適契約。我們發現券商的最適契約有兩種特性：（1）券商會儘量多收保証金，（2）面對某一屬性的投資人，券商只提供一種契約。本文並以「投資者為低風險類型投資人之機率」做為判斷基準，導出券商會降低利率以使兩類型投資人都參與交易的充分必要條件。This paper studies margin tradings of ROC government bonds, and focuses on the OSRS type margin trading. We find that this kind of tradings involve an adverse selection problem, thereby leading to credit rationing. We point out that, even if the investor (borrower) and the security firm (lender) have symmetric information about the government bond (investment project), credit rationing may still emerge if the firm does not know perfectly the investor's repayment ability. We derive the optimal contract for the security firm , and find that the optimal contract has the following two characteristics: (1) the security firm sets the margin requirement as high as possible, (2) the optimal contract is a pooling contract. We also provide a necessary and sufficient condition for when the security firm lowers the interest rate to attract investors with higher repayment ability to participate the trade.