Repository logo
  • English
  • 中文
Log In
Have you forgotten your password?
  1. Home
  2. College of Management / 管理學院
  3. Finance / 財務金融學系
  4. 臺灣公債OSRS式保証金交易之最適契約
 
  • Details

臺灣公債OSRS式保証金交易之最適契約

Journal
中國財務學刊
Journal Volume
5
Journal Issue
2
Pages
1-26
Date Issued
1997
Author(s)
李賢源  
陳業寧
DOI
10.6545/JoFS.1997.5(2).1
URI
https://scholars.lib.ntu.edu.tw/handle/123456789/414584
Abstract
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.
Subjects
保証金交易
信用管制
逆選擇
資訊不對稱
Adverse Selection
Credit Rationing
Information Asymmetry
Margin Tradings
OSRS契約
Outright Sale and Reverse Repo Contract
Type
journal article

臺大位居世界頂尖大學之列,為永久珍藏及向國際展現本校豐碩的研究成果及學術能量,圖書館整合機構典藏(NTUR)與學術庫(AH)不同功能平台,成為臺大學術典藏NTU scholars。期能整合研究能量、促進交流合作、保存學術產出、推廣研究成果。

To permanently archive and promote researcher profiles and scholarly works, Library integrates the services of “NTU Repository” with “Academic Hub” to form NTU Scholars.

總館學科館員 (Main Library)
醫學圖書館學科館員 (Medical Library)
社會科學院辜振甫紀念圖書館學科館員 (Social Sciences Library)

開放取用是從使用者角度提升資訊取用性的社會運動,應用在學術研究上是透過將研究著作公開供使用者自由取閱,以促進學術傳播及因應期刊訂購費用逐年攀升。同時可加速研究發展、提升研究影響力,NTU Scholars即為本校的開放取用典藏(OA Archive)平台。(點選深入了解OA)

  • 請確認所上傳的全文是原創的內容,若該文件包含部分內容的版權非匯入者所有,或由第三方贊助與合作完成,請確認該版權所有者及第三方同意提供此授權。
    Please represent that the submission is your original work, and that you have the right to grant the rights to upload.
  • 若欲上傳已出版的全文電子檔,可使用Open policy finder網站查詢,以確認出版單位之版權政策。
    Please use Open policy finder to find a summary of permissions that are normally given as part of each publisher's copyright transfer agreement.
  • 網站簡介 (Quickstart Guide)
  • 使用手冊 (Instruction Manual)
  • 線上預約服務 (Booking Service)
  • 方案一:臺灣大學計算機中心帳號登入
    (With C&INC Email Account)
  • 方案二:ORCID帳號登入 (With ORCID)
  • 方案一:定期更新ORCID者,以ID匯入 (Search for identifier (ORCID))
  • 方案二:自行建檔 (Default mode Submission)
  • 方案三:學科館員協助匯入 (Email worklist to subject librarians)

Built with DSpace-CRIS software - Extension maintained and optimized by 4Science