摘要
信息不對稱問題在金融市場上造成的影響程度遠超過其在產品市場造成的後果，而金融機構則是信息不對稱最為嚴重的領域之一。如何削弱與消除信息不對稱已成為商業銀行亟待研究和解決的課題。本研究試圖以Stiglitz and Weiss(1981)之信貸配給(credit rationing)與Barro(1986)之貨幣政策(monetary policy)模型為基礎，探討金融機構由於信息不對稱性而產生的逆選擇、信貸配給、道德風險、委託代理及聲譽等問題，並利用賽局理論分析信貸中逆選擇、道德風險及聲譽之影響，以期為此些問題提供較為可行之解決方法。研究結果發現：
一、經由逆選擇模型分析後發現：為了克服借貸過程中可能出現的逆選擇問題，銀行進行決策時，除須掌握現實情況和理性假設外，更須獲得一些具有信號傳遞(signaling)或信號篩選(screening)功能的外部信息，以對企業及其投資計劃進行客觀評估。
二、經由道德風險模型分析後發現：銀行若能設計有效的激勵機制，企業則會自動選擇對銀行期望收益最大的項目進行借貸，而此減少了銀行的信貸風險，且在激勵機制的運作過程中，懲罰可以防範道德風險造成的影響。
三、經由聲譽模型分析後發現：假設企業需要不斷地進入市場籌集資金，則賽局亦將不斷地重複進行。而由於聲譽的收益隨著賽局次數的增加而上升，因此若賽局進行的次數越多，則企業建立聲譽的效益就越大，故企業須基於長遠利益考量方可建立不欺騙的聲譽。
關鍵字：信息不對稱、逆選擇、道德風險、聲譽、賽局理論。

Abstract
Information asymmetry in the financial market, especially in the financial organization, usually generates more serious consequences than those in the commodity market. How to reduce or remove the asymmetric information in a bank’s credit rationing has been a challenge for a commercial bank.
On the basis of the models developed by Stiglitz and Weiss (1981) and Barro (1986), this study attempts to analyze the issues, faced by a typical commercial bank, of adverse selection, moral hazard, and agent’s reputation, and to simulate the results of such issues in a game-theoretic approach. The study has reached the following conclusions:
1. With regard to the adverse selection issue, this study concludes that if a bank wants to solve the problem of adverse selection on debit and credit, the decision must be made upon the objective evaluation that considers not only the reality and rational assumption but also the external signaling and screening information to assess the enterprise and its investment plan.
2. Regarding the moral hazard issue, this study concludes that if a bank has an effective incentive, the enterprise will automatically select the most beneficial items to the bank on debit. This mechanism reduces the bank’s risk. On the other hand, if a penalty is set forth, then it will be more likely to prevent the moral hazard problem to occur.
3. By the moral hazard model, this study concludes that if an enterprise needs to enter the market to collect funds, it would imply that the game will continue infinitely. Owing to the benefits from reputation is increasing as the number of stage of the game increases, an enterprise will have a strong incentive to build his non-cheating reputation based on a long term consideration.
Keywords: Asymmetric Information, Adverse Selection, Moral Hazard, Reputation, Game Theory.

目　　錄
謝誌……………………………………………………….Ⅰ
中文摘要………………………………………………….Ⅱ
英文摘要………………………………………………….Ⅲ
目錄……………………………………………………….Ⅴ
表目錄…………………………………………………….Ⅶ
圖目錄…………………………………………………….Ⅷ
第一章 緒論……………………………………………..1
1.1 研究背景與動機………………………………..1
1.2 研究目的………………………………………..3
1.3 研究方法與架構………………………………..4
第二章 文獻探討………………………………………..7
2.1 逆選擇問題…………………………………….10
2.2 信貸配給問題………………………………….11
2.3 道德風險問題………………………………….14
2.4 代理問題……………………………………….15
2.5 聲譽問題……………………………………….16
第三章 逆選擇、信貸配給模型……………………….20
3.1逆選擇、信貸配給模型………………………. 20
3.1.1 模型之建立與假設……………………. 20
3.1.2 均衡分析………………………………..23
3.2 小結…………………………………………….28
第四章 道德風險模型………………………………….30
4.1 道德風險模型………………………………….30
4.1.1 模型之建立與假設……………………….30
4.1.2 均衡分析………………………………….32
4.2 防範道德風險的激勵模型…………………….35
4.2.1 模型之建立與假設……………………….35
4.2.2 均衡分析………………………………….35
4.3 小結…………………………………………….37
第五章 聲譽模型……………………………………….38
5.1 聲譽模型……………………………………….38
5.1.1 模型之建立與假設……………………….38
5.1.2 均衡分析………………………………….39
5.2 小結…………………………………………….44
第六章 結論與建議…………………………………….46
6.1 主要發現……………………………………….46
6.2 其他含義……………………………………….47
6.3 未來研究方向………………………………….49
參考文獻………………………………………………….50

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