2004-08-012024-05-18https://scholars.lib.ntu.edu.tw/handle/123456789/712658摘要：本計畫的目的是要同時從企業對流動性的需求與銀行流動性供給的角度，解釋在均衡之下有可能產生相當高的流動性貼水。在借貸契約無法強制執行的環境之下，擔保品成為借貸的主要依據。當未來的投資機會不確定時，企業主受限於所持有的可作為擔保品的資產，面臨來自銀行的流動性限制。同時，銀行也受限於自身的放款能力，可能無法適時提供足夠的流動性。於是，企業主必須事前選擇投資在流動性高的資產上，以備不時之需。我們預期在合理的參數之下，可以得到相當高的流動性貼水。<br> Abstract: The objective of this project is to study how liquidity premia can arise in equilibrium due to both corporate demand for liquidity and the supply of bank loans. In an environment where financial contracts are imperfect enforceable collateral matters for lending and borrowing. Entrepreneurs with uncertain investment opportunities thus face potential liquidity constraints from banks due to their limited collateralizeable asset holdings; the willingness and ability of a bank to lend is also constrained by its own capital position. Therefore, entrepreneurs choose to invest in liquid and illiquid assets beforehand to prepare for the shortage of liquidity. The equilibrium liquidity premium between liquid and illiquid assets depends on the risk of being credit constrained in the future, which can be large in this environment.流動性貼水資產定價銀行放款Liquidity premiumasset pricingbank lending