| Summary: | 碩士 === 淡江大學 === 國際貿易學系 === 88 === With the financial liberalization, the government had gradually transferred the power of rate-setting to banking firm. Therefore, the banking firms transformed to be the rate-setter from the rate-taker. Sealey(1980) demonstrated that the portfolio-theoretic is not suitable for discussing the loan and deposit behaviors of the recent banking firm since they have the rate-setting abilities.
Therefore the main purpose of this thesis is to integrate portfolio-theoretic volatilities with the firm-theoretic rate-setting modes in the analysis of valuing the intermediary’s equity (demonstrated by Cronhy & Galai(1991) and Lin(2000)), and use Black & Scholes valuation to analyze what effects the changes in the open market security rates and the changes of return volatilities of earning asset portfolio have on the loan and deposit behaviors under different market structures.
The main findings are the effects of changes in the open market security rates and the changes of the return volatilities of earning asset portfolio are indeterminate. Furthermore, the effect of changes in the open market security rates on the loan and deposit behaviors depends on borrower-intermediary-lender relationship, portfolio risk and management of rate-setting strategy. And the effect of changes of the return volatilities of earning asset portfolio on the loan and deposit behaviors depends upon the portfolio composition redistribution effect.
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