Tuesday 27 October 2009

Wseas Transactions

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Transactions: WSEAS TRANSACTIONS ON INFORMATION SCIENCE AND APPLICATIONS
Transactions ID Number: 29-827
Full Name: Jyh-Jiuan Lin
Position: Professor
Age: ON
Sex: Female
Address: 151 Ying-Chuan Road, Tamsui, Taipei County 251,
Country: TAIWAN
Tel: 886-2-2621-5656 ext. 2878
Tel prefix:
Fax: 886-2-2620-9732
E-mail address: 117604@mail.tku.edu.tw
Other E-mails: jjlinster@gmail.com
Title of the Paper: bank interest margins under information asymmetry and centralized vs. decentralized loan rate decisions:a two-stage option pricing model
Authors as they appear in the Paper: Jyh-Horng Lin, Jyh-Jiuan Lin and Rosemary Jou
Email addresses of all the authors: lin9015@mail.tku.edu.tw,117604@mail.tku.edu.tw,893560135@s93.tku.edu.tw
Number of paper pages: 16
Abstract: The behavior of outside portfolio managers of large money-center banks as analyzed to date is silent. In a centralized loan portfolio construction with decentralized loan portfolio management, changes in the bank¡¦s degree of capital market imperfection have direct effects on the bank¡¦s interest margin through the centralized as well as the decentralized loan rate determinations. We use a two-stage model of option-based analysis to study how information asymmetry and optimal bank loan rates relate to one another. We find that the decentralized loan rate managed by the outside loan manager is positively related to the bank¡¦s degree of capital market imperfection. The centralized loan rate managed by the bank is positively related to its degree of capital market imperfection under strategic complements, but negatively under strategic substitutes.
Keywords: Centralized vs. decentralized loan rate; Information asymmetry; Black-Scholes formula.
EXTENSION of the file: .pdf
Special (Invited) Session: bank interest margins under information asymmetry and centralized vs. decentralized loan rate decisions:a two-stage option pricing model
Organizer of the Session: 639-244
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