*틸탐놾풼쫸폫킡웳튵듻뿮웧쫓 십샭ꆢ믆쿜ꆢ듺뻼톫 ꎨ커몺듳톧뷰죚쾵ꎩ Telꎺ13986164202ꎬEmailꎺmanny@ 햪튪ꎺ죧뫎뮯뷢킡웳튵듻뿮쓑ꎬ쫇삧죅룷맺뺭볃랢햹뗄훘튪컊쳢ꆣ놾컄릹붨짌튵틸탐듻뿮웚췻쫕틦몯쫽ꎬ럖컶쇋샻싊맜훆폫샻싊ퟔ평뮯놳뺰쿂늻춬짌튵틸탐뗄듻뿮탐캪톡퓱ꎬ늢퓋폃럂헦쒣쓢폫쪵횤볬퇩뗄랽램퇐뺿쇋틸탐놾풼쫸폫킡웳튵듻뿮웧쫓횮볤뗄맘솪탔ꆣ뷡맻쿔쪾ꎬ짌튵틸탐뻟폐킡웳튵듻뿮웧쫓뗄탐캪쳘헷ꎬ놾풼쫸볠맜믡잿뮯짌튵틸탐뛔킡웳튵뗄듻뿮웧쫓ꎬ뷸튻늽볓뻧킡웳튵듻뿮쓑쳢ꆣ볠맜떱뻖펦퓚놾볠맜짏닉좡룼뻟떯탔뗄쪵쪩랽램늢쫊떱탞헽쿖폐볠맜듫쪩ꎬ듓뛸맄샸짌튵틸탐쳡룟랢럅킡웳튵듻뿮뗄쓚퓚뚯솦뫍틢풸ꎬ뮺뷢뛔킡웳튵뗄듻뿮웧쫓ꆣ 맘볼듊ꎺ킡웳튵듻뿮ꎬ탅듻웧쫓ꎬ놾풼쫸 1 틽퇔 ꆰ훐킡웳튵듻뿮쓑ꆱ쫇샭싛뷧뫍쪵컱뷧퓧틑풼뚨쯗돉뗄튻룶뇭듯랽쪽ꎬ좻뛸헢훖쳡램퓚샭싛짏늢늻퇏뷷ꆣ쿠뛔폚듳탍웳튵살쮵ꎬ훐탍웳튵쓜룸짌튵틸탐듸살룼룟쫕틦ꎬ쿠뛔폚킡탍웳튵살쮵폖뻟폐룼뗍뗄캥풼럧쿕ꎬ틲듋훐탍웳튵쫂쪵짏쫇짌튵틸탐쟠뗄훘튪듻뿮뛔쿳ꆣ뛸킡탍웳튵뗄뺳뿶좴늻춬ꎬ쯼쏇쫽솿뻞듳쟒솼?늻웫ꎬ캴살뗄늻좷뚨탔첫듳ꎬ틸탐듻뿮퓋ퟷ뗄돉놾맽룟ꎬ룷훖틲쯘쪹뗃쯼쏇퓚쒱쟳탅듻맽돌훐튻횱쫜떽폫웤쯻샠탍웳튵늻튻퇹뗄럇릫욽듽폶ꆣ틲듋ꎬꆰ훐킡웳튵듻뿮쓑ꆱ룼퇏뷷뗄뇭쫶펦룃쫇ꆰ킡웳튵듻뿮웧쫓ꆱꆣ 뛔짌튵틸탐뛸퇔ꎬ럧쿕쫇튻훖뇘탫뾼싇뗄돉놾ꎬ죴쒳킩웳튵뗄럧쿕돉놾듳폚틸탐뛔웤뗄샻싊쫕죫ꎬ쓇쎴짌튵틸탐붫럅웺뛔룃샠웳튵뗄듻뿮ꎬ틲듋튪쟳짌튵틸탐쿲쯹폐뇭듯쇋듻뿮틢풸뗄킡웳튵랢럅듻뿮쫇늻쿖쪵뗄ꆣ좻뛸틅몶뗄쫇ꎬ퓚쿖쪵뺭볃훐ꎬ벴뇣쫇럧쿕돉놾뗍폚틸탐샻싊쫕죫뗄킡웳튵ꎬ튲늻쓜듓짌튵틸탐믱좡돤럖뗄뷰횧돖ꆣ짌튵틸탐퓚톡퓱듻뿮뛔쿳쪱뛔킡웳튵쳥쿖돶쓚짺뗄업돢탔ꎬ뛸쟒헢훖업돢탔폫틸탐맦쒣틔벰놾뛔럧쿕뗄쏴룐뛈헽쿠맘ꆣ떱짌튵틸탐춬쪱쏦뛔ퟅ맦쒣닮틬뗄늻춬웳튵뗄듻뿮튪쟳쪱ꎬ믡룼쟣쿲폚쿲맦쒣뷏듳뗄웳튵듻뿮ꎬ쓇킩럧쿕쾵쫽실퓚짌튵틸탐뗄뿉듻쟸볤쓚뗄킡웳튵죔좻쓑틔믱좡듻뿮ꆣ ꆰ킡웳튵듻뿮웧쫓ꆱ뗄쿖쿳평살틑뻃늢웕뇩듦퓚ꎬ틔췹뗄퇐뺿듳뛠죏캪탅쾢늻뛔돆쯹떼훂뗄룟럧쿕돉놾쫇킡웳튵듻뿮웧쫓뗄룹놾풭틲ꆣ떫쫇ꎬ냩쯦ퟅ짧믡탅폃쳥쾵뗄붨짨뫍룷훖뮺틸탐폫킡웳튵볤탅쾢늻뛔돆듫쪩뗄돶첨ꎬ킡웳튵듻뿮쓑컊쳢좴늢쎻폐뗃떽룹놾탔뗄뮺뷢ꎬꆰ싳뿋쏗싗좱뿚ꆱ늻쫇ꋙ쯵킡뛸쫇삩듳쇋ꆣ헢뻍쪹뗃컒쏇쳡돶틉컊ꎬ킡웳튵듻뿮웧쫓쫇늻쫇짌튵틸탐뗄쳬좻톡퓱ꎿ쫇럱뮹폐웤쯻틲쯘퓬돉틸탐뛔킡웳튵듻뿮뗄웧쫓ꎿ 뷼20쓪살ꎬ쫀뷧틸탐튵쏦쇙뗄ퟮ듳뗷헻쫇냍죻뛻킭틩횸틽쿂뗄놾돤ퟣ탔풼쫸뗄쪵쪩ꆣ놾돤ퟣ탔풼쫸볠맜ꎬ쒿잰놻룷맺볠맜떱뻖웕뇩쫓캪튻훖폐킧럀랶뫍뿘훆짌튵틸탐뺭펪럧쿕뗄믺훆짨볆ꎬ쯼쓚잶쇋튻훖틸탐닺뗄럧쿕뛈폫놾뷰쫽솿쏜쟐맒릳뗄믺훆ꎬ쪹뗃짌튵틸탐뻟폐듓쓚늿맘힢뫍럀랶ퟔ짭럧쿕뗄뚯솦ꎬ늢퓚붵뗍틸탐튵헻쳥뗄쾵춳탔럧쿕랽쏦킧맻쿔훸ꆣ좻뛸ꎬ쯦ퟅ틸탐놾풼쫸뗄늻뛏잿뮯ꎬ쫀뷧랶캧쓚뗄킡웳튵듻뿮컊쳢좴죕쟷퇏훘ꎬ헢웈쪹컒쏇뾪쪼쮼뾼ꎺ놾잿풼쫸볠맜폫킡웳튵듻뿮웧쫓횮볤쫇럱뻟폐쿠맘탔ꎿ놾잿풼쫸쫇럱믡폕떼짌튵틸탐붫듻뿮뷸튻늽쿲듳훐탍웳튵뷸 * 맺볒ퟔ좻뿆톧믹뷰쿮쒿ꆰ놾돤ퟣ탔풼쫸쿂틸탐럧쿕욫뫃뫍탐캪뗷헻퇐뺿ꆱꎨ엺ힼ뫅ꎺ70573079ꎩ뫍“믵뇒헾닟뒫떼뗄틸탐놾쟾뗀퇐뺿” ꎨ엺ힼ뫅ꎺ71073113ꎩ뗄뷗뛎탔돉맻ꆣ ꋙꆰ싳뿋쏗싗좱뿚ꆱ(Macmillan Gap)죏캪훐킡웳튵랢햹맽돌훐듦퓚ퟅ뷰좱뿚,벴ꆰ뷰뗄릩룸랽늻풸틢틔훐킡웳튵쯹튪쟳뗄쳵볾쳡릩뷰ꆱꆣ
탐틆ꎬ듓뛸뛱뮯놾틑듦퓚뗄킡웳튵듻뿮쓑쳢ꎿ 믹폚틔짏헢킩틉싇ꎬ컒쏇뎢쫔뛔놾풼쫸폫킡웳튵듻뿮웧쫓뗄맘솪탔뷸탐퇐뺿ꎬ춬쪱붨솢쫽샭쒣탍캪쿖쪵뺭볃짺믮훐웕뇩듦퓚뗄킡웳튵듻뿮웧쫓쿖쿳쳡릩샭싛뷢쫍ꎬ늢헫뛔놾풼쫸닺짺뗄킧펦쳡돶믺훆룄뷸뗄붨틩ꆣ컒쏇쾣췻퓚샻폃놾풼쫸붵뗍짌튵틸탐헻쳥탔럧쿕뗄춬쪱쓜릻퓙짨솢튻훖믺훆ꎬ맄샸짌튵틸탐쳡룟뛔킡웳튵뗄듻뿮릩룸ꎬ폐킧뗘듙뷸킡웳튵뗄랢햹뫍뺭볃뷡릹뗄뗷헻ꆣ 2 컄쿗ퟛ쫶 듓컒쏇헆컕뗄컄쿗쟩뿶살뾴ꎬ떥뛀싛쫶킡웳튵듻뿮쓑폫룄뷸듫쪩뗄컄쿗ꎬ믲헟쫇떥뛀싛쫶놾풼쫸뛔짌튵틸탐듻뿮탐캪펰쿬뗄컄쿗뚼뇈뷏뛠ꎬ떫춨맽쫽샭붨쒣폫쪵횤볬퇩살럖컶솽헟쿠맘탔뗄컄쿗늢늻뛠볻ꆣ 맘폚킡웳튵뗄듻뿮쓑틔벰룄뷸듫쪩ꎬ틔췹뗄퇐뺿듳뛠쫇틔탅쾢늻뛔돆ퟷ캪돶랢뗣뗄ꆣLeland뫍Pyleꎨ1977ꎩ붫Aklorfꎨ1970ꎩ뫍Spenceꎨ1973ꎩ뗄맛뗣틽죫뷰죚훐뷩샭싛폫짌튵틸탐맜샭뗄퇐뺿쇬폲ꎬ횸돶짌튵틸탐퓚뒦샭탅쾢늻뛔돆랽쏦뻟폐폅쫆ꆣBaltenspergerꎨ1980ꎩ퓚듋믹뒡짏붨솢웰쇋탅듻엤룸뗄샭싛뿲볜ꆣStigliz뫍Weissꎨ1981ꎩ춨맽튻룶뺭뗤쒣탍횤쏷쇋탅쾢늻뛔돆쫇닺짺탅듻엤룸뗄룹놾풭틲ꎬWetteꎨ1983ꎩ싛횤쇋틸탐뗄탅듻엤룸욫뫃쫇떼훂훐킡웳튵듻뿮쓑뗄풭틲횮튻ꎬ뛸Peek뫍Rosengrenꎨ1996ꎩꆢStrahan뫍Westonꎨ1998ꎩꆢ틔벰Jayaratne뫍Wolkenꎨ1999ꎩ퓲뷸탐쇋뫜뛠맘폚훐킡웳튵듻뿮쓑뗄쪵횤볬퇩ꆣLisa ꎨ1999ꎩ횸돶ꎬ킡웳튵뇘탫튪쳡룟쎳틗탅폃ꎬ닅쓜붵뗍탅쾢뗄늻뛔돆ꎬ뛸믱뗃잡떱뗄틸탐듻뿮ꆣ쇖틣럲뫍샮톧뻼ꎨ2001ꎩ횸돶ꎬ믹폚ꆰ룏뎬ꆱ햽싔뗄볆뮮뺭볃ꎬ떼훂쇋랢햹훐맺볒뗄훐킡웳튵듻뿮쓑ꆣ샮횾?ꎨ2002ꎩ횤쏷ꎬ훐킡웳튵뗄틬훊탔떼훂듻뿮쓑ꎬ뛸탅쾢뗄룼릫뾪뿉틔폐킧뷢뻶쓑쳢ꆣꎬꎨ2003ꎩ첽쳖쇋짪쟫럑폃뗄닮틬뫍틸탐즸톡짪쟫죋뗄늻췪짆탔뛔죚쫐뎡뗄펰쿬ꎬ쳡돶쇋럇탅쾢뛔돆쿂뗄킡웳튵듻뿮뗄늻췪좫즸톡쒣탍ꆣB. ꎬW. IIIꎬ뫍J. ꎨ2007ꎩ횸돶ꎬ뛔킡웳튵뗄떣놣폐샻폚붵뗍탅쾢늻뛔돆ꎬ폐샻폚킡웳튵믱뗃듻뿮횧돖ꆣDaisuke Tsurutaꎨ2008ꎩ샻폃죕놾뗄쫽뻝쪵횤뫳죏캪쎳틗탅폃좷쪵믡펰쿬킡웳튵뗄듻뿮ꆣF. Columbaꎬ ꎬ . Mistrulliꎨ2010ꎩ퓲횸돶ꎬ킡웳튵뿉틔닎폫뛠풪놣헏믺훆살붵뗍탅쾢늻뛔돆듓뛸쳡룟뷨듻쮮욽ꆣ돽듋횮췢ꎬ뮹폐늿럖톧헟듓맜샭톧뗄뷇뛈뛔킡웳튵듻뿮쓑쳢뷸탐쇋뷢쫍ꎬ웤훐뇈뷏폐펰쿬뗄폐킡웳튵훜웚샭싛폫킡웳튵맘쾵듻뿮샭싛뗈ꆣ 맘폚놾볠맜뛔짌튵틸탐탅듻탐캪뗄펰쿬ꎬ뺭볃톧볒쏇뗃떽뗄뷡싛늢늻튻훂ꆣKim뫍Santomeroꎨ1988ꎩ럖뇰쳡돶ꎬ놾돤ퟣ싊튪쟳붫듙쪹틸탐톡퓱럧쿕룼룟뗄닺ퟩ뫏ꆣFurlong뫍Keelyꎨ1989ꎩꆢRochet (1992)죏캪ꎬ틸탐놾돤ퟣ탔풼쫸붫떼훂닺ퟩ뫏돶쿖뛠퇹뮯킧펦ꎬ듓뛸붵뗍틸탐뗄럧쿕욫뫃ꆣ뛸Dietrich뫍Jamesꎨ1983ꎩ좴죏캪놾돤ퟣ탔풼쫸늻믡펰쿬틸탐뗄탅듻뇤뮯ꆣSantomero 뫍 Watson (1977)ꆢPeek뫍Rosengrenꎨ1995ꎩ죏캪첫퇏룱뗄놾볠맜붫믡떼훂틸탐붵뗍탅폃릩룸뫍붵뗍짺닺탔춶ꆣChiuri, Ferri뫍Majnoinꎨ2001ꎩ죏캪놾돤ퟣ탔풼쫸ퟨ낭쇋틸탐뗄탅듻릩룸ꎬ뢺쏦펰쿬뫜듳ꆣMasaru Konishi뫍Yukihiro Yasudaꎨ2004ꎩ뗄퇐뺿쿔쪾ꎬ쯦ퟅ놾돤ퟣ탔풼쫸뗄볓잿ꎬ틸탐뗄럧쿕돐떣붫믡붵뗍ꆣKeely뫍Furlong ꎨ1990ꎩꆢHovakimian뫍Kane (2000)뗄퇐뺿퓲죏캪놾풼쫸늻믡떼훂틸탐탅폃맦쒣폫럧쿕욫뫃랢짺뇤뮯ꎬRimeꎨ2001ꎩ뛔죰쪿틸탐쫽뻝뗄쪵횤튲뗃떽쇋쿠춬뗄뷡맻ꆣ믆쿜뗈죋ꎨ2009ꎩ뛔놾돤ퟣ싊볠맜쿂틸탐뗄탅듻탐캪뷸탐쇋럖컶ꎬ죏캪퓚랢햹훐맺볒ꎬ놾돤ퟣ풼쫸볠맜믡떼훂틸탐탅듻탐캪룄뇤뫍복짙뛔럧쿕뗄돐떣ꎬ쟒놾쳘훊탔늻춬뗄틸탐뛔놾풼쫸뗷헻뗄쏴룐뛈늻튻퇹ꆣY. Altunbasꎬ S. Carboꎬ. Gardenerꎬ P. Molyneuxꎨ2007ꎩ죏캪ꎬ잿놾맜훆믡붵뗍짌튵틸탐폫뒢탮틸탐뛔럧쿕닺뗄욫뫃ꆣF. AllenꎬE. Carlettiꎬ R. Marquezꎨ2009ꎩ낵쪾놾맜훆웤쪵뛔짌튵틸탐탅듻탐캪뗄펰쿬늢늻뫜듳ꆣC. ꎬ K. Moranꎨ2010ꎩ죏캪ꎬ놾풼쫸떼훂쇋돶뿚폫춶뗄뮬웂ꎬ듓뛸볤뷓뗄펰쿬쇋짌튵틸탐뗄탅듻탐캪톡퓱ꆣ 틔짏톧헟평폚돶랢뗣믲볙짨뗄닮틬ꎬ늻춬뗄퇐뺿떼훂쇋늻춬뗄뷡싛ꎬ뛸쟒뷏짙폐톧헟맘힢틸탐놾풼쫸뗷헻뛔킡웳튵듻뿮뗄펰쿬ꆣ틲듋ꎬ컒쏇뎢쫔붫놾풼쫸폫킡웳튵듻뿮쓑솽룶랽쏦뷡뫏웰살
뷸탐퇐뺿ꎬ놾컄뗄뒴탂횮뒦퓚폚ꎺ헫뛔럧쿕쾵쫽실퓚뿉듻쟸볤쓚뗄룷샠웳튵ꎬ퓚샻싊맜훆폫샻싊ퟔ평뮯뗄늻춬잰쳡쿂ꎬ뛔짌튵틸탐뗄쫕틦ힴ뿶뷸탐샭싛럖컶ꎬ횸돶짌튵틸탐뻟폐킡웳튵듻뿮웧쫓뗄탐캪쳘헷ꎻ좻뫳폃뻟쳥뗄몯쫽틔벰훐맺뗄쫽뻝뷸탐럂헦쒣쓢뫍쪵횤볬퇩ꎬ횤쏷쇋놾잿풼쫸믡떼훂킡웳튵듻뿮웧쫓쓑쳢뗄뷸튻늽뛱뮯ꎻퟮ뫳쳡돶쿠맘뗄붨틩ꆣ 3 킡웳튵듻뿮웧쫓 놾늿럖믹폚짌튵틸탐뗄듻뿮웚췻쫕틦몯쫽ꎬ퓋폃쮫뇟늩?폫듸돵횵뗄캢럖랽돌퇐뺿쇋늻춬샻싊뮷뺳쿂늻춬짌튵틸탐뗄듻뿮탐캪톡퓱ꎬ듓뛸릹붨쇋킡웳튵듻뿮웧쫓럖컶뗄샭싛뿲볜ꆣ 샻싊맜훆쪱뗄킡웳튵듻뿮웧쫓 ꋙ샻싊맜훆쫇듳뛠쫽랢햹훐맺볒뗄뷰죚쿖쪵ꆣ샻싊맜훆죃짌튵틸탐컞램믱뗃돤럖뗄쿲킡웳튵듻뿮뗄럧쿕틧볛ꎬ쯹틔짌튵틸탐늻풸틢쿲럧쿕룼듳뗄킡웳튵듻뿮ꎬ틲듋듦퓚ퟅ뛔킡웳튵듻뿮뗄웧쫓ꆣ 듳틸탐뗄톡퓱 볙짨듳틸탐쏦쇙ퟅ솽훖톡퓱ꎺ듻뿮룸튻볒듳웳튵ꆢ믲헟듻뿮룸n볒킡웳튵ꎬ뛸헢솽훖톡퓱뚼뇘탫폫춶폚컞럧쿕횤좯믱뗃뗄쫕틦r뷸탐좨뫢뇈뷏ꆣ죴튻볒듳웳튵뗄듻뿮맦쒣M폫n볒킡웳튵뗄fbퟜ듻뿮맦쒣nM쿠뗈ꎬ샻싊맜훆쿂짌튵틸탐룸폨듳웳튵폫킡웳튵쿠춬뗄듻뿮샻싊rꆣ볙뚨짌튵틸탐s~뗄춶쫕틦캪쯦믺뇤솿ξꎬퟔ짭뗄뺭펪럧쿕쫇Dꆣ짌튵틸탐헫뛔쎿튻볒웳튵뗄듻뿮뗄돉놾뢶돶뻹캪bCꆣ춬쪱ꎬ볙뚨듳웳튵폫킡웳튵뗄캥풼룅싊럖뇰쫇p폫pꎬ맦쒣닮틬웳튵틲캪캥풼룸짌튵틸탐듸bs살뗄럧쿕쯰쪧쫇β폫βꎬ럧쿕쯰쪧쫇쯦믺뇤솿늢럾듓0떽ퟮ듳쫕틦횮볤뗄뻹퓈럖늼ꎬ벴bsβ~U(0,(1+r)M)ꆣ b,sb,s떱듳틸탐듻뿮룸튻볒듳웳튵쪱ꎬ웚췻쫕틦캪 ~*E(ξ)=max[(1+r)M−D−C](1−p)+[(1+r)M−β−D−C]p,(1+r)M)toBigbbbbbbbb ꎨ1ꎩ =max((1+r)M−D−C−pEβ,(1+r)M)bbbbb떱듳틸탐듻뿮룸n볒킡웳튵쪱ꎬ웚췻쫕틦캪 ~*E(ξ)=max[(1+r)nM−D−nC](1−p)+[(1+r)nM−nβ−D−nC]p,(1+r)nMtoSmallssssssssꎨ2ꎩ =max(1+r)nM−D−nC−pnEβ,(1+r)nMsssss평폚킡웳튵뗄캥풼룅싊튪룟폚듳웳튵뗄캥풼룅싊ꎬ폐p>pꎬ쯹틔폐ꎨ1ꎩ>ꎨ2ꎩꎬ틲듋듳틸sb탐믡톡퓱룸듳웳튵듻뿮ꎬ뛸늻믡폐뚯솦뛔킡웳튵랢럅듻뿮ꆣ ꋙ 훐맺쒿잰쪵쪩뗄뻍쫇퓚믹ힼ샻싊믹뒡짏뗄폐쿞뢡뚯뗄샻싊훆뛈ꆣ
킡틸탐뗄톡퓱 ~퓙살뾴킡틸탐뗄쟩탎ꎬ샠쯆볙짨죧잰ꆣ쇮쯦믺뇤솿η캪킡틸탐뗄춶쫕틦ꆣ쫜맦쒣쿞훆ꎬ떥튻뗄킡틸탐늻뿉쓜듻뿮룸듳웳튵ꎬ쯹틔킡틸탐뗄톡퓱쫇ꎺ튪쎴듻뿮룸튻볒킡웳튵ꎬ늢뛀햼듻뿮샻죳ꎻ튪쎴n볒킡틸탐ퟩ돉튻룶ꆰ틸췅ꆱ듻뿮룸튻볒듳웳튵ꎬ믱뗃쫕틦뫳퓙퓚틸췅쓚럖엤ꆣ캪볲뮯쳖싛ꎬ볙짨ꆰ틸췅ꆱ평n볒뗈맦쒣뗄킡틸탐ퟩ돉ꎬ틸췅믱뗃샻죳뫳튲퓚췅쳥쓚늿뻹럖ꎬ벴늻듦퓚럖엤돉놾ꆣ춬퇹뗄ꎬ헢솽훖톡퓱튲뚼뇘탫폫춶폚컞럧쿕횤좯쒱쟳좷뚨탔쫕틦뗄톡퓱뷸탐좨뫢뇈뷏ꆣ 떱킡틸탐듻뿮룸킡웳튵쪱ꎬ웚췻쫕틦캪 ~*E(η)=max([(1+r)M−D−C](1−p)+[(1+r)M−β−D−C]p,(1+r)M)toSmallssssssss ꎨ3ꎩ =max(1+r)M−D−C−pEβ,(1+r)M)sssss떱킡틸탐ퟩ돉틸췅듻뿮룸튻볒듳웳튵좻뫳욽럖샻죳쪱ꎬ웚췻쫕틦캪 ~MCMβCM*bbbbE(η)=max[(1+r)−D−](1−p)+[(1+r)−−D−]p,(1+r)toBigsbsbnnnnnnꎨ4ꎩ CEβb =max(1+r)M−D−−p,(1+r)Mssbsnn떱춶쫕틦룟폚컞럧쿕쫕틦쪱ꎬ폐ꎨ4ꎩ>ꎨ3ꎩꎬ뗃떽쇋폫듳틸탐샠쯆뗄톡퓱뷡맻ꆣ헢쮵쏷퓚듋쳵볾쿂ꎬ킡틸탐폐룼잿뗄뚯솦ퟩ돉틸췅헹좡듳쿮쒿뗄욫뫃ꎬ뛸뛔킡웳튵좱랦듻뿮뗄뚯솦뫍탋좤ꆣ평듋뗃떽ꎬ 쏼쳢1ꎺ퓚샻싊맜훆뗄잰쳡쿂ꎬ듦퓚ퟅ뛔킡웳튵듻뿮뗄웧쫓ꆣ 샻싊ퟔ평뮯쪱뗄킡웳튵듻뿮웧쫓 샻싊ퟔ평뮯뢳폨쇋짌튵틸탐퓚좷뚨럧쿕닮틬웳튵뗄듻뿮샻싊쪱뗄룼듳뗄ퟔ훷좨ꆣ평폚럧쿕뻶뚨샻싊ꎬ샻싊뻶뚨쫕틦ꎬ쯹틔퓚럧쿕뿉뿘랶캧쓚ꎬ틸탐뗄쫕틦쳥쿖돶폫듻뿮뛔쿳럧쿕뗄잿쿠맘탔ꆣ 럧쿕뛔폚틸탐쫕틦ꎬ쏷쿔쫇냑쮫죐붣ꎺ튻랽쏦ꎬ떱쏦쿲럧쿕뷏룟뗄웳튵쪱ꎬ틸탐뿉틔쯷좡룼룟뗄럧쿕틧볛ꎬ믱뗃룼듳뗄쫕틦ꎻ떫쇭튻랽쏦ꎬ캥풼럧쿕룼룟뗄웳튵좴믡쳡룟짌튵틸탐듻뿮놾뷰쯰뫄뗄뿉쓜탔ꎬ룸틸탐뗄풤웚쫕틦듸살뢺쏦펰쿬ꆣ쫐뎡샻싊늻춬쟸볤뛎뗄헽뢺킧펦뗄듋쿻뇋헇ꎬ뻶뚨쇋짌튵틸탐뗄ퟜ쳥쫕틦뗄룟뗍ꆣ믹폚듋ꎬ붨솢캢럖랽돌죧쿂ꎺ dR=F(β)G(β) ꎨ5ꎩ dβ늢룸돶죧쿂뗄쾵쇐뚨틥폫볙짨ꎺ Rꎺ틸탐뗄ퟜ쳥쫕틦ꎻ βꎺ듻뿮뛔쿳ꎨ웳튵ꎩ뗄캥풼럧쿕ꎻ dFF(β)ꎺ럧쿕듸살뗄헽킧펦ꎬ쟒>0ꎻ dβdGG(β)ꎺ럧쿕듸살뗄뢺킧펦ꎬ쟒<0ꆣ dβ
ꋙ평폚틸탐듻뿮뗄쫕틦훁짙튪듳폚춶폚컞럧쿕횤좯뗄쫕틦rꎬ쯹틔폐F(β)=max(f(β),r)ꎬff웤훐f(β)쫇듻뿮쫕틦싊ꆣ춬쪱볙짨G(β)=M−g(β)ꎬ웤훐M쫇틸탐듻뿮룸웳튵뗄뷰ꎬ뛸ppdfdgg(β)쫇웳튵뗄캥풼럧쿕뛔틸탐듻뿮놾뷰듸살뗄뿉쓜쯰쪧ꆣ쿔좻폐>0,>0ꆣ붫틔짏볙짨듸dβdβ죫ꎨ5ꎩ쪽ꎬ뗃떽틔쿂뗄ꎨ6ꎩ쪽ꎬ웤훐M(1+r)쫇틸탐뗄ퟮ뗍쫕틦벴캢럖랽돌뗄돵횵쳵볾ꆣ pfdR=f(β)(M−g(β))pdβ ꎨ6ꎩ R=M(1+r)0pfβ=0뷢틔짏캢럖랽돌ꎬ뗃떽ꎨ7ꎩ쪽 R=Mf(β)dβ−f(β)g(β)dβ+R ꎨ7ꎩ p0∫∫*−1쇮ꎨ7ꎩ쪽뗄튻뷗떼뗈폚0ꎬ뿉뗃벫횵뗣캪β=g(M)ꆣ평폚g(.)쫇떥뗷퓶몯쫽ꎬ쯹틔떱pdRdR−1−1β<g(M)쪱ꎬ폐<0ꎬR뗝복ꎻ떱β>g(M)쪱ꎬ폐>0ꎬR뗝퓶ꆣ틲듋떱ppdβdβ*−1β=g(M)쪱ꎬR뿉좡떽벫듳횵R=(Mf(β)dβ−f(β)g(β)dβ+R)ꆣ쇭췢ꎬpmaxp0∫∫*−1β=g(M)p2~~dRdfdg평폚=(M−g(β))−f(β)뗄좡횵뿉헽뿉뢺ꎬ틲듋쫕틦몯쫽듦퓚맕뗣βꆣ떱β<β쪱ꎬp2dβdβdβ22~dRdR폐>0ꎬ쫇춹몯쫽ꎻ뛸떱β>β쪱ꎬ폐<0ꎬ쫇낼몯쫽ꆣ 22dβdβ뺡맜듓쫽톧짏쮵ꎬ뇤솿β∈(−∞,+∞)ꎬ떫퓚쿖쪵짺믮훐늢늻뿉쓜ꆣ쫗쿈β쫇웳튵뗄럧쿕횵튪듳폚0ꎬ웤듎평폚컞럧쿕샻싊쫇틸탐춶ퟩ뫏쫕틦뗄쿂쿞ꎬ틲듋R=M(1+r)ꎬ웤폫쫕틦몯쫽뗄minpf−−−붻뗣쫇βꎬ쯹틔쫕틦몯쫽횻퓚[0,β]닅폐늨뚯웰럼ꆣ컒쏇냑[0,β]돆캪짌튵틸탐뗄뿉듻쟸볤ꎬ횻폐럧−쿕횵실퓚룃쟸볤쓚뗄웳튵닅뿉쓜듓짌튵틸탐믱뗃듻뿮횧돖ꆣ떱웳튵럧쿕룟폚β뫳ꎬ평폚쓦쿲톡퓱뫍뗀뗂럧쿕룸짌튵틸탐듸살뗄럧쿕쯰쪧뎬맽쇋짌튵틸탐뗄컞럧쿕쫕틦ꎬ쯹틔짌튵틸탐믡뻜뻸쿲헢샠웳튵듻뿮ꎬ뛸냑쯹폐뷰춶폚컞럧쿕닺ꆣ −*떫벴뇣퓚뿉듻뿮쟸볤[0,β]짏ꎬ짌튵틸탐뗄듻뿮틢풸튲늻쫇돊뻹퓈럖늼뗄ꆣ럧쿕횵캪β뢽뷼뗄 ꋙ 캪볲뇣웰볻ꎬ놾늿럖볙뚨틸탐뗄춶퓚듻뿮폫컞럧쿕횤좯횮볤톡퓱튻훖ꆣ룼튻냣뮯뗄쟩뿶ꎬ죴틸탐붫α뇈샽뷰춶듻뿮ꎬ붫1−α뇈샽뗄뷰춶폚컞럧쿕횤좯ꎬ퓲F(β)=αf(β)+(1−α)rꆣ쓇횻믡죃ꎨ6ꎩ쪽뇤뗃룼볓f뢴퓓ꎬ떫웤쪵몯쫽쳘탔좴늻믡틲듋뛸랢짺룄뇤ꆣ
훐탍웳튵ꎬ틲캪믡룸짌튵틸탐듸살ퟮ듳뗄샻죳ꎬ틲듋헢킩웳튵붫돉캪짌튵틸탐뺺쿠ힷ훰뗄쒿뇪ꆣ듋쪱ꎬ틸탐믡룹뻝ퟔ짭쳘뗣ꎬ짨훃튻룶횵쟸볤뷸탐듻뿮닙ퟷꎬ웳춼좡떽뿉쓜뗄쯹폐샻죳늢늻쿖쪵ꆣ*+β+δRdβ*−∫β−δ−퓚쿞훆쇋펯샻뿕볤µ횮뫳ꎬ퓚쯣쪽≤µ훐ꎬ뿉틔샻폃볆쯣믺쫽횵럖컶뗄랽램닢쯣δ폫−βRdβ∫0−+*+δ뗄듳킡ꎬ듓뛸뺫좷뗄좷뚨쳘뚨틸탐뗄ퟮ폅듻뿮럧쿕돐떣쟸볤ꆣ뛸럧쿕횵뒦폚[β+δ,β]뗄킡웳튵퓚쿖쪵뺭볃짺믮훐늻쓜믱좡떽돤럖뗄뷰횧돖ꎬ짌튵틸탐헫뛔룃늿럖킡웳튵쳥쿖돶쇋쏷쿔뗄듻뿮웧쫓뗄쳘헷ꆣ폚쫇뗃떽ꎬ 쏼쳢2ꎺ퓚샻싊ퟔ평뮯뗄잰쳢쿂ꎬ튲듦퓚ퟅ킡웳튵듻뿮웧쫓ꆣ 4 펰쿬폫룄뷸 틸탐놾풼쫸뗄펰쿬 내냍죻뛻킭틩뗄맦뚨ꎬ놾돤ퟣ싊ꎽ놾ꎯ럧쿕닺ꆣ떱볠맜떱뻖쳡룟쇋뛔짌튵틸탐놾돤ퟣꋙ싊뗄튪쟳쪱ꎬ평폚짌튵틸탐뛌웚쓚컞램톸쯙뫍믺뚯뗘쪵쿖놾삩돤ꎬ캪쇋싺ퟣ튪쟳ꎬ짌튵틸탐뻍뇘ꋚ탫톹쯵닺맦쒣틔놣횤뷏룟뗄놾돤ퟣ싊쮮욽ꆣ놾뿎쳢ퟩꎨ2005ꎩ퓚잰웚뗄퇐뺿훐ꎬ뛔놾풼쫸뇤뮯쪱짌튵틸탐뗄탅듻맦쒣뗄뇤뮯믺샭뷸탐쇋퇐뺿ꎬ붨쒣폫쪵횤뚼쿔쪾룼잿뗄놾풼쫸좷쪵붵뗍쇋짌튵틸탐뗄탅듻맦쒣ꎬ퓬돉쇋뷴쯵ꆣ 떱짌튵틸탐퓚붵뗍탅듻맦쒣쪱ꎬ뻍믡톹쯵뛔킡웳튵뗄듻뿮ꎬ뷸튻늽볓뻧킡웳튵뗄듻뿮쓑쳢ꆣ쿂쏦뷡뫏샻싊ퟔ평뮯쿂뗄듻뿮쫕틦쒣탍뛔듋뷸탐뷢쫍ꆣ퓚쒣탍훐ꎬ짌튵틸탐톹쯵탅듻맦쒣틢캶ퟅ뛔웳튵뗄룷샠듻뿮뗄뷰뛮ퟜ솿M쿂붵쇋ꆣ컒쏇살럖컶떱M쿂붵쪱ꎬ믡돶쿖쪲쎴뷡맻ꆣ pp*−1쫗쿈ꎬ뾼달벫횵뗣β=g(M) p**틲캪g(.)쫇떥뗷퓶몯쫽ꎬ쯹틔폐M↓⇒g(β)↓⇒β↓ꎬ뇭쏷쯦ퟅ듻뿮맦쒣놻톹쯵ꎬ짌튵틸p탐뗄샻죳벫횵뗣믡ퟳ틆ꆣ 웤듎ꎬ뾼달벫횵R max췆떼쿔쪾 d(Mf(β)dβ−f(β)g(β)dβ+R)p0∫∫*−1dRβ=g(M)pmax=dMdMpp−1dg(M)*p*ꋛ =f(β)dβ+f(β)(M−g(β)) ꎨ8ꎩ p∫*−1β=g(M)pdMp >0뇭쏷쯦ퟅ듻뿮맦쒣놻톹쯵ꎬ짌튵틸탐뗄ퟮ듳샻죳튲놻톹쯵쇋ꆣ ꋙ 냍죻뛻킭틩뛔짌튵틸탐뗄놾뷰살풴ꎨ뫋탄놾뫍뢽쫴놾ꎩ폐퇏룱맦뚨ꎬ쯼쏇퓚뛌웚쓚뚼컞램톸쯙삩돤ꆣ ꋚ 믆쿜ꎬ십샭ꎬ듺뻼톫ꎺꆰ놾돤ퟣ싊볠맜쿂틸탐탅듻럧쿕욫뫃폫톡퓱럖컶ꆱꎬ퓘ꆶ뷰죚퇐뺿ꆷ2005ꎨ7ꎩ ꎪ*ꋛ 퓚벫횵뗣βꎬ폐M−g(β)=0ꆣ놾쪽췆떼춬쪱뮹뇘탫폃떽솬탸몯쫽뗄샛떼샛믽뿉틔붻뮻듎탲뗄탔훊ꆣ p
−ퟮ뫳ꎬ뾼달틸탐뗄ퟮ듳듻뿮틢풸β 룃뗣쫇틸탐쫕틦폫컞럧쿕춶쫕틦뗄붻뗣ꎬ붫웤맘쾵쪽뇤탎캪 ϕ(M,β)=Mf(β)dβ−f(β)g(β)dβ+R−Mr ꎨ9ꎩ pp0pf∫∫쪹폃틾몯쫽쟳떼램퓲췆떼뗃떽 −−−f(β)dβ−r∂βf∫ꋙ=−>0 ꎨ10ꎩ −−∂Mpf(β)M−g(β)p헢뇭쏷쯦ퟅ듻뿮맦쒣놻톹쯵ꎬ짌튵틸탐ퟮ듳듻뿮뗄틢풸튲쿂붵쇋ꎬ킡웳튵듻뿮쓑쳢뇘좻믡뷸튻늽뛱뮯ꆣ듓뛸뗃떽ꎺ 쏼쳢3ꎺ놾잿풼쫸믺훆볓듳쇋짌튵틸탐뛔킡웳튵뗄듻뿮웧쫓ꆣ 죧뫎룄짆 놾돤ퟣ탔풼쫸쫇튻훖잿솦뗄뷰죚볠맜쫖뛎ꎬ쯼쓜릻폐킧뗄붵뗍틸탐튵뗄헻쳥럧쿕ꎬ떫웤뿍맛듦퓚뗄뢱ퟷ폃좴쫇퓚믺훆짏늻맄샸짌튵틸탐돐떣럧쿕ꎬ듓뛸뷸튻늽벤뮯쇋킡웳튵듻뿮쓑뗄쎬뛜ꎬ죃뫪맛뺭볃뗷헻퓶볓쇋쓑뛈ꎬ늢뢶돶쓑틔맀솿뗄듺볛ꆣ쯹틔ꎬ떱뻖좷쪵탨튪짨볆튻훖믺훆ꎬ볈쓜쪵쿖뛔짌튵틸탐헻쳥럧쿕뗄뿘훆ꎬ폖쓜ퟮ듳돌뛈뗄볦맋킡웳튵뗄듻뿮탨쟳ꎬ폐킧뗄듙뷸킡웳튵뗄뷸튻늽랢햹ꆣ *−1믘떽잰쏦뗄쒣탍ꆣ죴놾풼쫸떼훂뗄M↓늻뿉뇜쏢ꎬ폐훖랽램뿉틔ퟨ횹벫횵뗣β=g(M)ppdg(β)뗄ퟳ틆ꎬ쓇뻍쫇붵뗍뗄횵ꆣ퓚쿖쪵훐ꎬ쯦ퟅ웳튵럧쿕뗄퓶볓ꎬ틸탐듻뿮놾뷰쯰뫄뗄뿉쓜탔좷dβ쪵퓚퓶볓ꆣ떫죴볠맜떱뻖쓜릻퓚냍죻뛻킭틩뿲볜쿂ꎬ뫏샭뫍뢻폐떯탔뗄퓋폃놾풼쫸볠맜ꎻ헾뢮죴ꋚ쓜릻퓚램싉뫍헾닟닣쏦캪킡웳튵짨볆뫍쳡릩룼뛠뗄뿉볆솿뫍뿉퓋폃뗄뗖톺욷ꎬ맄샸뫍틽떼룼뛠뗄쏱볤놾뷸죫떣놣튵뫍퓙떣놣튵ꎬ캪킡웳튵쿲틸탐뷨듻췘뿭떣놣뢲룇쏦ꎬ뻍뿉벫듳뗘붵뗍틲킡웳튵럧쿕룟뛸떼훂뗄틸탐탅듻뷰쯰쪧뗄뿉쓜탔ꎬ틲뛸뇘좻믡벫듳뗘쳡룟짌튵틸탐뛔킡웳튵듻뿮뗄맘힢뛈ꆣ 늻맽헢퇹죔좻늻릻ꆣ틲캪g(β)뗄복킡횻쫇뗖쿻뗴쇋M복킡쯹듸살뗄쫕틦복킡ꎬ듓헻쳥짏뾴ꎬpdf(β)틸탐뗄쫕틦뿉쓜죔좻쎻폐퓶볓ꎬ틲듋헢늻쫇튻훖벤샸쿠죝뗄듌벤믺훆ꆣ쯹틔ꎬ뮹뇘탫쳡룟뗄dβ횵ꎬ맄샸짌튵틸탐ꎬ쳘뇰쫇훐킡틸탐룼뛠뗘돐떣뛔킡웳튵뗄뿉돐떣럧쿕ꎬ듓뛸죃짌튵틸탐퓚퓶볓쇋뛔킡웳튵뗄듻뿮횮뫳쓜릻퓚ퟜ쳥짏믱뗃샻죳뗄뷏듳퓶볓ꆣ듓믵뇒헾닟뗄뷇뛈뾴ꎬ펦떱뷸튻늽럅듳샻싊ퟔ평뮯뗄럹뛈ꎬ죃짌튵틸탐뿉ퟔ훷룹뻝웳튵뗄럧쿕살좷뚨샻싊뗄룟뗍ꎬ쒱쟳룼듳쫕틦ꆣ듓닆헾헾닟뗄뷇뛈뾴ꎬ뿉틔닉좡헾뢮늹쳹뗄랽쪽뛔럻뫏맺볒헾닟떼쿲뗄킡웳튵듻뿮뷸탐쳹쾢ꎬ복쟡킡웳튵뗄뢺떣ꆣ뫁컞틉컊ꎬ헾뢮닣쏦뗄뫪맛헾닟솢쳥ퟩ뫏뗷뿘ꎬ튪풶뇈틸탐볠맜늿쏅뗄떥튻헾닟뗷헻뗄킧맻튪뫃뗃뛠ꆣ폚쫇뗃떽ꎺ −−−dR*ꋙ 틲캪β>βꎬ쯹틔=f(β)M−g(β)<0ꎬ뛸r뷏킡ꎬ쯹틔폐룃욫떼듳폚0ꆣ pf−dβꋚ 샽죧탂뗄ꆶ컯좨램ꆷ뻍캪웳튵뗄뗖톺욷뒴탂쳡릩쇋룼뛠뗄램싉횧독ꆣ쒿잰ꎬ펦쫕헋뿮ꆢ뚯닺풴ꆢ뷰죚춶닺욷ꆢ쫕럑좨ꆢ횪쪶닺좨뗈뚼쫇짌튵틸탐뿉틔뷓쫜뗄훊톺욷ꆣ
쏼쳢4ꎺ헾뢮펦떱ퟛ뫏퓋폃룷훖헾닟쫖뛎ꎬ맄샸짌튵틸탐쳡룟돐떣럧쿕뗄쓚퓚뚯솦뫍틢풸ꎬ듓뛸폐킧뗘뮺뷢킡웳튵듻뿮웧쫓뗄쓑쳢ꆣ 5 럂헦쒣쓢 ꋙ 쒣탍폫몯쫽쳘탔 틔쿂룸돶튻룶뻟쳥뗄몯쫽ꎬ살뛔샻싊ퟔ평뮯잰쳡쿂뗄킡웳튵듻뿮웧쫓쿖쿳뷸탐럂헦쒣쓢ꎺ dRβ=(r+Kβ)(M−Ke)01P2dβR=M(1+r) ꎨ11ꎩ 0p0β=0R≥R0β=0럧쿕룸틸탐쫕틦듸살뗄헽킧펦퓋폃CAPM쒣탍살쒣쓢ꎬ웤훐r쫇컞럧쿕쫕틦샻싊ꎬKβ쫇럧01쿕횵캪β뗄웳튵뗄럧쿕틧볛ꆣ럧쿕룸틸탐쫕틦듸살뗄뢺킧펦훷튪쳥쿖퓚틸탐탅듻뷰M뗄뿉쓜쯰p뫄짏ꆣ쯦ퟅ웳튵캥풼럧쿕뗄볓듳ꎬ웤뛔틸탐탅듻뷰쯰뫄뗄뿉쓜탔붫돊럇쿟탔뗄놬헇쟷쫆ꎬ틲듋짨볆튻룶듸뎣쾵쫽뗄횸쫽몯쫽살쒣쓢헢훖쟩뿶ꆣ뛸틸탐쫕틦뗄ퟮ뗍쿂쿞쫇컞럧쿕쫕틦M(1+r)ꎬ뷢p0틔짏랽돌ꎬ뗃떽ꎺ KM1p2βR=rMβ+β+(KK−Kr−KKβ)e+(1+r)M+rK−KK ꎨ12ꎩ 0p1220120p02122쿠맘짨뚨쫽횵죧쿂ꎺ볙뚨튻쓪웚맺햮샻싊캪ꎥꎻ쫐뎡쓪욽뻹뎬뛮쫕틦싊캪10ꎥꆣ퓙쇮뎣쾵쫽K=5ꎬM=250ꎬ늢짨뚨돵횵캪β=0ꎬ늽뎤캪ꎬ컒쏇뛔랽돌뷸탐쇋욵싊캪5089듎뗄2p럂헦쒣쓢ꎨ틲캪듋쪱틸탐뗄춶쫕틦쫕솲폚컞럧쿕쫕틦ꎬ퓙췹뫳뗄틸탐춶쫕틦뚼폃컞럧쿕쫕틦싊듺쳦ꎩꆣ듓뛸뗃떽틸탐쫕틦폫듻뿮럧쿕뗄맘쾵춼ꎨ춼훐뷏룟뗄쓇쳵삶쿟쯹쪾ꎩꆣ ==ꛂ 춼1 틸탐듻뿮쳘헷ꎨMꎽ250,150ꎩ ꋙ 듓릫뾪뗄춳볆쇏ꎬ컒쏇컞램믱좡컒맺짌튵틸탐쳥쾵뗄듻뿮뷡릹뗄쿠맘탅쾢ꎬ쯹틔컞램췪돉놾풼쫸뗷헻폫킡웳튵듻뿮쿠맘탔뗄쪵횤볬퇩ꆣ퓚퇐뺿훐ꎬ컒쏇쪹폃럂헦쒣쓢뗄랽램ꎬ살뛔뗃떽뗄뷡싛뷸탐볬퇩ꆣ
*쟺쿟폫R훡뗄붻뗣쫇ꎬ틢캶ퟅ컞럧쿕쫕틦싊쫇ꎥꆣ룃춶퓚β=뒦믱뗃럥횵ꎬퟮ듳쫕틦캪ꎬ틢캶ퟅ뎬뛮쫕틦싊캪ꎥꆣ떱β>β=쪱ꎬ틸탐럅웺뛔룟럧쿕뗄ힷ훰ꎬ붫쯹폐뷰춶폚컞럧쿕횤좯ꆣ 틔짏춼탎횱맛뗄돊쿖쇋샻싊ퟔ평뮯잰쳡쿂ꎬ떱짌튵틸탐쏦뛔ퟅ늻춬뗄럧쿕웳튵쪱ꎬ퓚뿉듻쟸볤−[0,β]짏쯹뻟폐뗄듻뿮탐캪쳘헷ꆣ 떱β=0쪱ꎬ틢캶ퟅ짌튵틸탐뗄듻뿮뛔쿳쫇쳘듳탍웳튵ꎬ듻뿮뛔쿳벫잿뗄틩볛쓜솦뇘좻떼훂벫뗍뗄듻뿮샻싊ꎬ죴룃샻싊뇆뷼짵훁뗍폚컞럧쿕샻싊ꎬ짌튵틸탐믡럅웺듻뿮ꎬ뛸붫쯹폐뗄뷰춶폚컞럧쿕횤좯ꆣ 떱β>0쪱ꎬ쯦ퟅβ횵뗄퓶볓ꎬ틢캶ퟅ웳튵뗄럧쿕늻뛏퓶볓ꆣ튻냣살쮵웳튵뗄럧쿕뫍웳튵뗄맦쒣쫇믹놾뛔펦뗄ꎬ틲듋춼1뗄뫡훡춬쪱듺뇭쇋웳튵뗄럧쿕폫웳튵뗄맦쒣ꆣ춼탎쿔쪾ꎬβ뗄퓶볓떼훂*쇋틸탐쫕틦뗄퓶볓ꎬ늢퓚β뒦듯떽럥횵ꆣ *뛸맽쇋β횮뫳ꎬ럧쿕뗄뢺킧펦쿠뛔폚헽킧펦뛸퇔뾪쪼룼햼짏럧ꆣ쯦ퟅβ뗄퓶볓ꎬ쯦ퟅ웳튵맦쒣뗄뷸튻늽복킡ꎬ틸탐뗄쫕틦뾪쪼볓쯙쿂붵ꆣ퓚벫횵뗣뢽뷼좡뷏킡뗄δ쇚폲ꎬ뿉틔횤쏷늻뗈쪽돉솢dRdRꋙABS<ABSꎬ쯹틔룃쟺쿟퓚폒뇟튪룼뚸쟍ꎬ돊쿖튻훖뿬쯙뗄쿂붵쟷MMdβpdβpβ=ln−δβ=ln+δKK22쫆ꆣ 떱β>β쪱ꎬ평폚쓦쿲톡퓱뫍뗀뗂럧쿕듸살뗄쯰쪧쫇죧듋횮듳ꎬ틲듋떱틸탐쏦뛔ퟅ럧쿕횵룟폚β뗄킡웳튵쪱늻믡톡퓱듻뿮ꎬ뛸믡붫쯹폐뗄뷰춶폚컞럧쿕횤좯틔믱뗃M(1+r)뗄컈뚨뗄ퟮ킡p0쫕틦ꎬ듋쪱뗄틸탐쫕틦쟺쿟돊쮮욽ힴ첬ꎬ평듋뿉볻짌튵틸탐뗄듻뿮뛔쿳늻뿉쓜냼쓒쯹폐뗄킡웳튵듻뿮ꆣ떫럧쿕킡폚β뗄뿉틔튲펦떱믱뗃듻뿮횧돖뗄늿럖킡웳튵엶떽쇋듻뿮쓑쳢ꎬ죧잰쯹쫶*+β∈(β+δ,β)뗄킡웳튵평폚늻쓜룸틸탐듸살돤럖뗄샻죳쫕죫ꎬ쯹틔퓚짪쟫듻뿮쪱뒦폚놻웧쫓뗄뗘캻ꆣ 놾잿풼쫸뗄펰쿬 MMdRdRp−δpδꋙ 틲캪폐=Kln−δ(1−e)M뫍=K+lnδ(1−e)Mꎬ뿉틔1p1pMMppdβKdβKln−δ2ln+δ2KK22횤쏷잰헟뗄뻸뛔횵튪킡폚뫳헟뗄뻸뛔횵ꆣ
놾잿풼쫸퓚뛌웚쓚붫폐킧뗘붵뗍짌튵틸탐뗄듻뿮맦쒣Mꎬ뛸퓚M쿂붵쪱폐죧쿂뷡싛돉솢ꎺ ppdRmaxꋙ틲캪>0ꎬ쯹틔놾잿풼쫸믡떼훂짌튵틸탐샻죳쿂붵ꆣ dMpMpdlnK2틲캪>0ꎬ쯹틔놾잿풼쫸믡떼훂짌튵틸탐뗄ퟮ병듻뿮틢풸쿂붵ꆣ dMp−dβꋚ틲캪>0ꎬ쯹틔놾잿풼쫸믡떼훂짌튵틸탐늻풸틢돐떣쯼뿉틔돐떣뗄럧쿕틥컱ꎬ룼뛠뗄dMp킡웳튵틲듋컞램믱좡뷰횧돖ꎬ킡웳튵듻뿮쓑쳢뷸튻늽뛱뮯ꎬ뛸헢튻늿럖뷰쪹폃폖잡잡쫇엤훃짧믡뷰풴뗄ퟮ병랽쪽횮튻ꆣ 컒쏇붫M뗷헻캪150ꎬ웤쯻짨뚨횵늻뇤ꎬ뷸탐쇋4486듎럂헦쒣쓢ꎨ듋쪱틸탐춶쫕틦쫕솲폚p컞럧쿕쫕틦싊ꎩꎬ듓뛸뗃떽춼1훐쓇쳵뷏뗍뗄뫬즫쟺쿟ꆣ룃쟺쿟폫R훡뗄붻뗣쫇ꎬ틢캶ퟅ컞럧*쿕쫕틦싊쫇ꎥꆣ룃춶퓚β=뒦믱뗃럥횵ꎬퟮ듳쫕틦캪ꎬ틢캶ퟅ뎬뛮쫕틦싊캪ꎥꆣ떱β>β=쪱ꎬ틸탐럅웺뛔룟럧쿕뗄ힷ훰ꎬ붫쯹폐뷰춶폚컞럧쿕횤좯ꆣ뫜쏷쿔ꎬ놾잿풼쫸톹쯵쇋짌튵틸탐뗄탅듻맦쒣폫춶쫕틦ꎬ뿉듻쟸볤뗄쫕쯵죃룼뛠뗄킡웳튵쿝죫쇋듻뿮쓑뗄삧뺳ꆣ 듋쪱ꎬ죴폐헾닟쓜릻복킡Kꎬ삩듳Kꎬ퓲뿉틔붫짌튵틸탐풸틢돐떣뗄ퟮ듳듻뿮럧쿕폫ퟮ병듻21뿮틢풸삩듳ꎬ춬쪱퓶볓짌튵틸탐뗄샻죳ꎬ듓뛸폐킧뗄뮺뷢킡웳튵듻뿮웧쫓뗄쓑쳢ꆣ틔짏뷡싛폫잰컄쯹쫶뗄쿠맘쏼쳢뚼췪좫컇뫏ꆣ 6 쪵횤볬퇩 놾늿럖붨솢쇋튻룶탅듻탐캪욫뫃횸쫽살뿌뮭짌튵틸탐뗄럧쿕욫뫃ꎬ늢믹폚훐맺뗄쫽뻝뛔놾풼쫸뗄늻춬킧펦뷸탐럖컶ꆣ평폚훐맺쫇랢햹훐맺볒뗄뗤탍듺뇭ꎬ틲듋뗃떽뗄쿠맘뷡싛튲죝틗췘햹떽헻룶랢햹훐맺볒쇬폲ꆣ 춳볆쏨쫶 퓚훐맺ꎬ뛔짌튵틸탐쳥쾵쪵탐퇏룱뗄놾돤ퟣ탔풼쫸쫇듓2004쓪1벾뛈뾪쪼뗄ꎬ놾컄쫕벯떽뗄쫽뻝쪼폚2002쓪1벾뛈ꎬ뷡쫸폚2006쓪2벾뛈쒩ꎬ틲듋뫜뫃뗄뢲룇쇋헾닟킧펦뗄돥믷뗣늢쓜뛔쳘뚨뛔쿳뗄탐캪뇤뮯ퟶ돶뷏뫃뗄럖컶ꆣ뛸평폚2006쓪쿂냫쓪뾪쪼뗄퇏룱뫪맛뗷뿘뫍2008쓪10퓂뾪쪼 2MMdRKppꋙmax1 =rln+ln>0 0dMK2Kp22K21−rβ+β0dβꋚ2 =−>0ꎬ듋뒦튪폃떽틾몯쫽뗄쟳떼램퓲 βdM(M−Ke)(r+Kβ)pp201
뗄탅듻듌벤헾닟ꎬ쯹틔2006쓪쿂냫쓪틔뫳훐맺짌튵틸탐뗄탅듻탐캪뻟폐룼뛠뗄뫪맛헾닟떼쿲ꎬ틲듋쎻폐뾼싇퓚놾컄뗄쫽뻝뢲룇랶캧쓚ꆣ 300000250000벯췅웳튵듻뿮200000듳탍웳튵듻뿮150000훐탍웳튵듻뿮킡탍웳튵듻뿮100000웤쯻웳튵듻뿮500000201202203204301302303304401402403404501502503504601602 ꋙ춼2 듳탍짌튵틸탐듻뿮ꎨ내뛔쿳뮮럖ꎬ2002ꎭ2006ꎩ 800007000060000벯췅웳튵듻뿮50000듳탍웳튵듻뿮40000훐탍웳튵듻뿮30000킡탍웳튵듻뿮20000웤쯻웳튵듻뿮100000201202203204301302303304401402403404501502503504601602-10000 춼3 훐탍짌튵틸탐듻뿮ꎨ내뛔쿳뮮럖ꎬ2002ꎭ2006ꎩ 200001800016000벯췅웳튵듻뿮14000듳탍웳튵듻뿮1200010000훐탍웳튵듻뿮8000킡탍웳튵듻뿮6000웤쯻웳튵듻뿮400020000201202203204301302303304401402403404501502503504601602 춼4 킡탍짌튵틸탐듻뿮ꎨ내뛔쿳뮮럖ꎬ2002ꎭ2006ꎩ 놾늿럖퇐뺿뗄짌튵틸탐뗄듻뿮뛔쿳릲럖돉컥샠ꎺ벯췅웳튵듻뿮ꆢ듳탍웳튵듻뿮ꆢ훐탍웳튵듻뿮ꆢ킡탍웳튵듻뿮ꆢ웤쯻웳튵듻뿮ꎻ짦벰떽뗄틸탐폐훐맺릤짌틸탐ꆢ훐맺얩튵틸탐ꆢ훐맺틸탐ꆢ훐맺붨짨틸탐ꆢ훐맺붻춨틸탐ꆢ훐탅틸탐ꆢ뮪쿄틸탐ꆢ맢듳틸탐ꆢ헐짌틸탐ꆢ웖뚫랢햹틸탐ꆢ쏱짺틸탐ꆢ맣뚫랢햹틸탐ꆢ탋튵틸탐뫍늻춬뗄돇쫐짌튵틸탐ꎬ튻릲쫇29볒ꆣ쫽뻝살풴폚벸룶랽쏦ꎺ튻쫇BankscopeꆢBankerꆢCCER뗈쫽뻝뿢ꎻ뛾쫇ꆶ훐맺뷰죚쓪본ꆷ폫ꆶ훐맺춳볆쓪본ꆷꎻ죽쫇룷볒막럝훆짌튵틸탐뗄쓪놨폫벾놨ꎬ뛸쿠맘좱쯰쫽뻝뗄늹돤퓲살ퟔ폚뛔쳘뚨짌튵틸탐뗄쪵뗘뗷퇐ꆣ본폚훐맺뗄쿖쪵쟩뿶ꎬ뾼싇떽쯄듳맺폐짌튵틸탐ꎨ듳탍틸탐ꎩꆢ막럝훆짌튵틸탐ꎨ훐탍틸탐ꎩꆢ돇쫐짌튵틸탐ꎨ킡 ꋙ 틲업냦맘쾵ꎬ춼2ꆢ3ꆢ4뗄ퟸ뇪뫡훡뿌뛈샽죧404틢캶ퟅ2004쓪뗚4벾뛈ꎬ웤폠샠췆ꆣ
탍틸탐ꎩ퓚놾맦쒣뫍퓚ퟜ쳥뺭볃훐펰쿬솦뗘캻뗄닮틬ꎬ컒쏇붫짌튵틸탐럖돉죽샠뷸탐춳볆쏨쫶ꆣ죧춼2훁춼4ꆣ 듓춼탎짏맛달ꎬ훐맺뗄룷짌튵틸탐뗄듻뿮폠뛮퓚2004쓪폐튻룶쪮럖쏷쿔뗄싶돥늨뚯ꆣ샽죧뛔벯췅웳튵뗄듻뿮폠뛮돊헽쿲늨뚯ꎬ뛸뛔킡탍웳튵뗄듻뿮폠뛮돊랴쿲늨뚯ꎬ헢쮵쏷폐룶췢늿틲쯘떼훂쇋짌튵틸탐뗄탐캪톡퓱랢짺쇋룄뇤ꆣ퓚냍죻뛻킭틩쪵쪩뗄떱쓪ꎬ짌튵틸탐퓚놾돤ퟣ탔풼쫸뗄펰쿬쿂ꎬꋙ룼뛠뗄톡퓱쇋컈붡뗄삩헅랽쪽ꎬ춬쪱톹쯵쇋럧쿕뷏듳뗄탅듻탐캪랽쪽ꆣ 뚨틥뇤솿폫쫽뻝뒦샭 컒쏇냑2002쓪1벾뛈뚨틥캪믹웚ꎬ춬쪱릹퓬짌튵틸탐뗄ꆰ탅듻뷡릹욫뫃횸쫽ꆱ캪ꎺ K∆Lirisk=αꎬ ∑iLi=1i0웤훐α쫇좨훘쾵쫽ꎬK쫇듻뿮뛔쿳닮틬뗄쾸럖돌뛈ꎬL쫇믹웚뗄틸탐쏦쿲i샠탍웳튵뗄듻뿮듦솿ꎬii0∆L쫇i샠탍웳튵듻뿮쿠뛔폚믹웚뗄퓶솿ꆣ탅듻욫뫃횸쫽뿉좡헽뢺횵뫍쇣ꎬ쟒횵풽듳듺뇭짌튵틸탐뗄i탅듻뷡릹쳘뗣풽컈붡ꆢ럧쿕풽킡ꎻ횵풽킡듺뇭짌튵틸탐뗄탅듻뷡릹쳘뗣풽믮풾ꆢ럧쿕풽듳ꆣ쯹틔ꎬriskꋚ쫇뛔짌튵틸탐탅듻뷡릹뇤뮯쓋훁럧쿕욫뫃뗄튻룶뫜뫃뗄뿌뮭횸뇪ꆣ 2015틸탐쳥쾵럧쿕쾵쫽10듳탍틸탐럧쿕쾵쫽5훐탍틸탐럧쿕쾵쫽0킡탍틸탐럧쿕쾵쫽206209212303306309312403406409412503506509512603606-5-10ꋛ춼5 짌튵틸탐럧쿕쾵쫽ꎨ헻쳥폫럖샠ꎩ 뻹횵 훐캻쫽 ퟮ듳횵 ퟮ킡횵 뇪ힼ닮 짌튵틸탐쳥쾵럧쿕쾵쫽탲쇐 듳탍짌튵틸탐럧쿕쾵쫽탲쇐 훐탍짌튵틸탐럧쿕쾵쫽탲쇐 킡탍짌튵틸탐럧쿕쾵쫽탲쇐 뇭1 럧쿕쾵쫽뗄춳볆쳘헷 ꋙ 웤쯻듻뿮뛔쿳뗄맦쒣평폚뷩폚벯췅웳튵폫킡탍웳튵횮볤ꎬ틲듋웤싶돥늨뚯늻죧뛋뗣뛔쿳뗄싶돥늨뚯듳ꎬ떫뚼랴펳돶퓚췢늿틲쯘펰쿬쿂뗄탐캪뇤뮯ꆣ ∆L∆Lꋚbs 놾컄캪쇋룼볓볲튪쮵쏷컊쳢ꎬ뷸탐쇋볲뮯ꆣ쪹폃뗄쫇risk=−ꆣ웤훐ꎬL쫇믹웚뗄듳웳튵듻뿮듦솿ꎬb0LLb0s0∆L쫇듳웳튵듻뿮쿠뛔폚믹웚뗄퓶솿ꎬL쫇믹웚뗄킡웳튵듻뿮듦솿ꎬ∆L쫇킡웳튵듻뿮쿠뛔폚믹웚뗄퓶솿ꆣ뇭쏦bs0s짏뾴ꎬ놾컄쪵횤맽돌훐쪹폃뗄ꆰ탅듻뷡릹욫뫃횸쫽ꆱ뗄탎쪽럇뎣볲떥ꎬ떫쫇틀∆L폫∆L듋쿻뇋헇뗄돌뛈ꎬ틑뺭퓌bs몬ퟅ쇹훖헽뢺늻뗈뗄뇤뮯ꆣ헢퇹볲뮯뒦샭ꎬ늻떫쓜릻놣횤탅듻뷡릹욫뫃횸쫽뗄탔훊ꎬ뛸쟒쓜뺡ퟮ듳뿉쓜쿔뮯룃횸쫽ꎬ쪹쪵횤뷡싛룼볓쏷쿔ꆣ ꋛ 틲업냦맘쾵ꎬ춼4뗄ퟸ뇪뫡훡뿌뛈샽죧412틢캶ퟅ2004쓪12퓂ꎬ웤폠샠췆ꆣ
죧듋튻살ꎬ뗃떽벸룶뇤솿탲쇐ꎬ좻뛸룷탲쇐뗄욵싊쫇늻튻훂뗄ꎬ샽죧틸탐럧쿕쾵쫽쫇벾뛈쫽뻝ꎬ뛸GDP퓶싊쫇쓪뛈쫽뻝ꆣ뿶쟒ꎬퟶ훍뫳웚쪵횤뮹튪쯰쪧ퟔ평뛈ꎬ맽뗍욵싊뗄쫽뻝틲듋늻ퟣ틔룸돶뿉ꋙ탅뗄쪵횤뷡맻ꆣ폚쫇ꎬ컒쏇뛔퇹놾쟸볤쓚뗄쫽뻝퓋폃뛠듎닥횵램뷸탐쇋춳튻ꎬ웤훐틸탐럧쿕쾵쫽내ퟜ솿폫럖샠뷸탐쇋64듎닥횵ꎬGDP퓶싊뷸탐쇋5듎닥횵ꎬ뗃떽뿉폃뗄쫽뻝뇭쿪볻뢽슼2ꆣ춬쪱ꎬ컒쏇냑내헻쳥폫럖샠뒦샭뫳뗄짌튵틸탐럧쿕쾵쫽뗄횱맛춼폫춳볆쳘헷퓚춼5폫뇭1훐뿌뮭돶살ꆣ 듓춼5폫뇭1ꎬ컒쏇쓜릻쟥돾랢쿖죧쿂쫂쪵ꎺ쫗쿈ꎬ늻맜쫇듓ퟜ솿뮹쫇듓럖샠살뾴ꎬ짌튵틸탐뗄럧쿕톡퓱2004쓪퓚놾풼쫸헾닟뗄쪵쪩쿂뚼폐튻룶럇뎣쏷쿔뗄싶돥뇤뚯ꎻ웤듎ꎬ놾돤ퟣ탔풼쫸듸살뗄돥믷뛔훐탍훆짌튵틸탐뗄펰쿬ퟮ듳ꎬ평듋떼훂뗄뇪ힼ닮룟듯ꎬ뛸뛔듳탍짌튵틸탐뗄펰쿬ퟮ킡ꎬ뇪닮횻폐ꎻ퓙듎ꎬ싶돥늨뚯훐ꎬ헻룶짌튵틸탐쳥쾵뗄늨뚯폫듳탍짌튵틸탐뗄늨뚯럇뎣뷓뷼ꎬ뛸폫웤쯻샠탍짌튵틸탐뗄늨뚯닮뻠뷏듳ꆣ 캪쇋퇏룱뗄듓쫽뻝훐볬퇩틔짏뿍맛듦퓚뗄헾닟돥믷킧펦ꎬ짨훃탩쓢뇤솿 0ꎬ 쎻폐놾풼쫸ꎨ2004쓪1퓂횮잰ꎩInstitute1= 1ꎬ 폐놾풼쫸ꎨ2004쓪1퓂 횮뫳ꎩ내헕컒쏇ퟮ돵뗄짨쿫ꎬ놾풼쫸믡떼훂짌튵틸탐뗄탅듻뷡릹랢짺뇤뮯ꎬ뛸쟒죧맻놾풼쫸튻횱듦퓚ꎬ쓇쎴헢훖뇤뮯뻍펦룃튻횱뗄쿔쿖늢놣돖쿂좥ꎬ떫쫇훐맺뗄쪵볊쫽뻝좴쯆뫵돶쿖쇋늻튻퇹뗄뇤뮯쟷쫆ꆣ2004쓪퓚놾풼쫸쿂ꎬ짌튵틸탐뗄탅듻뷡릹좷쪵랢짺쇋뇤뮯ꎬ떫쫇듓2005쓪1벾뛈뾪쪼ꎬ퓚놾풼쫸죔좻듦퓚뗄쟩뿶쿂ꎬ룷짌튵틸탐뗄탅듻뷡릹좴폖믘뢴떽쇋쎻폐놾풼쫸쪱뗄ힴ첬ꎬ죧춼ꋚ2훁춼4ꆣ돶쿖헢훖쿖쿳쫇틲캪폐룶쪼폚2005쓪1벾뛈뗄탂튪쯘닺짺쇋뢺킧펦ꎬ듓뛸늿럖뗖쿻쇋놾풼쫸쯹듸살뗄쿈웚펰쿬ꎬ헢룶뢺킧펦뻍쫇냍죻뛻킭틩뗄죭풼쫸킧펦ꆣ솽뷗뛎늩?죧쿂ꎺ뗚튻뷗뛎ꎬ볠맜떱뻖쳡돶퇏룱뗄놾풼쫸뗄튪쟳ꎬ짌튵틸탐믹폚쫕틦풤웚ퟶ돶쇋믽벫뗄랴펦ꎻ뗚뛾뷗뛎ꎬ짌튵ꋛ틸탐랢쿖냍죻뛻킭틩쫇훖죭풼쫸ꎬ캥랴뗄뫳맻웤쪵늢쎻폐쓇쎴ꆰ뿉엂ꆱꎬ폚쫇럗럗쒱쟳쫕틦ퟮ듳뮯ꎬ럅웺쇋뛔컈붡뗄탅듻뷡릹뗄ힷ쟳ꎬ튻쟐폖믘떽쎻폐놾풼쫸쪱뗄샏퇹ퟓꆣ 믹폚듋ꎬ컒쏇짨훃튻룶탂뗄탩쓢뇤솿ꎺ 0ꎬ 놾풼쫸풤웚폐킧ꎨ2005쓪1퓂횮잰ꎩInstitute2= 1ꎬ 놾풼쫸쪵볊죭뮯ꎨ2005쓪1퓂횮뫳ꎩ ퟜ솿볬퇩 쫗쿈붫쯹폐짌튵틸탐쫓캪튻룶헻쳥뷸탐럖컶ꆣ뛔믱뗃뗄벸룶쫽뻝탲쇐ퟶ떥캻룹볬퇩ꎬ랢쿖뻹컞램춨맽볬퇩ꎬ쫇럇욽컈탲쇐ꎬ폚쫇뮳틉쯻쏇횮볤듦퓚킭헻맘쾵ꆣ ퟶ튻듎믘맩볬퇩ꎬ뷡맻쫇ꎺ risk=+−−∆GDP%+u all틔짏ퟔ뇤솿뗄쾵쫽뚼쎻폐춨맽t볬퇩ꎬ떫쫇뛔틔짏뷡맻쯹믱뗃뗄닐닮탲쇐u뷸탐떥캻룹볬퇩ꎬ랢쿖쫇욽컈탲쇐ꎬ쮵쏷쿈잰뗄닂닢쫇헽좷뗄ꎬ벸룶훷튪훷튪뇤솿risk,institute1,institute2,∆GDP%횮볤좷쪵듦퓚ퟅ킭헻맘쾵ꆣ떫쫇볬퇩닐닮탲쇐뗄ퟔ쿠맘폫욫ퟔ쿠맘쾵쫽좴늻샭쿫ꎬ틲듋폃닐닮뗄AR(1) ꋙ 헢웤쪵쫇뛔붫튪뒦샭뗄탲쇐퓚쳘뚨뗄쟸볤뛎뷸탐쇋MA(i),i=4,12뗄뮬뚯욽뻹ꆣ ꋚ 헢룶쿖쿳뛔폚웳튵맦쒣뇤솿쟸볤뗄솽룶뛋뗣ꎺ벯췅웳튵듻뿮폫킡웳튵듻뿮ꎬ폈웤럇뎣쏷쿔ꆣ ꋛ 냍죻뛻킭틩훐뗄놾돤ퟣ탔풼쫸폐룶볙짨잰쳡쳵볾ꎬ벴볙뚨놾쿠뛔낺맳ꎬ헢퇹떱놾돤ퟣ싊튪쟳쳡룟뛸짌튵틸탐폖늻쓜쟡틗쳡룟놾쪱ꎬ뻍뿉틔웈쪹짌튵틸탐춨맽뗷헻ퟜ닺뗄맦쒣믲뷡릹살쫊펦냍죻뛻킭틩뗄튪쟳ꆣ떫쿠뛔폚맺췢뗄춬탐ꎬ훐맺뗄짌튵틸탐뗄놾돉놾늢쎻폐쓇쎴룟낺ꎬ짌튵틸탐뒦폚헾뢮뫍맺볒뗄놣뮤횧돖횮쿂ꎬ폐뛠훖뗍돉놾뗄춾뺶살늹돤놾ꎬ틲듋놾뷡릹뗄뗷헻뻍쿔뗃늻쓇쎴탨튪쇋ꆣ샽죧듓샺쪷짏뾴ꎬ늻솼닺훃뮻ꆢ힢쿺듴헊ꆢ횱뷓늹돤쿖뷰놾ꆢ놾쫐뎡죚뗈뚼쫇훐맺뗄짌튵틸탐퓸뺭쪹폃맽뗄뗍돉놾삩돤놾뗄폐킧냬램ꆣ
살탞헽랽돌늢룸돶믘맩뷡맻죧쿂ꎺ risk=+−−∆GDP%++εall,ttttt−1t .=() () () () () t=() () (−) (−) ()뛔폚튻룶뺭볃뇤솿살쮵ꎬ웤뇤뮯폐ퟔ짭뗄퓋뚯맦싉ꎬ뿉쓜잰죴룉웚뗄뇤뮯믡떼훂놾웚탐캪뗄뇤뮯ꆣ룃킧펦퓚틸탐럧쿕탐캪뗷헻맽돌훐좷쪵듦퓚ꎬ틲캪틸탐퓚샻죳ퟮ듳뮯뗄잰쳢쿂ꎬ믡늻뛏탞룄잰웚뗄닺ퟩ뫏ꎬ뗷헻럧쿕뷡릹틔쫊펦볠맜튪쟳ꆣ컒쏇폃risk뗄AR(1)ꆢAR(2)ꆢAR(3)뷸탐쇋뛠t듎닢쯣ꎬퟛ뫏움볛웰살AR(1)킧맻쿠뛔샭쿫ꎬ틲캪훍뫳2웚틔짏뗄믘맩뚼돶쿖쇋럻뫅쿠랴뗄ퟔ뇤솿쿮ꎬ좱랦뺭볃톧몬틥ꆣ폚쫇ꎬ룸돶쿠맘뷡맻죧쿂ꎺ risk=+−−∆GDP%++εall,ttttall,t−1t .=() () () () () t=() () (−) (−) ()ퟛ맛틔짏솽듎볬퇩뷡맻ꎬ횵뗃힢틢뗄쫇탲쇐∆GDP%뗄t볬퇩뚼늻쓜춨맽ꎬ늻쓜업돽룃뇤솿뗄쾵쫽쿔훸캪0뗄볙짨ꆣ틲듋ꎬ컒쏇뎢쫔좥뗴룃탲쇐ꎬ훘ퟶ쪵횤ꆣ 뗃떽맘폚닐닮탲쇐뗄AR(1)쒣탍뷡맻쫇ꎺ risk=−+−+,tttt−1 .=() () () () t=(−) () (−) () 뗃떽맘폚틸탐럧쿕쾵쫽탲쇐뗄AR(1)쒣탍뷡맻쫇ꎺ risk=−+−+,tttall,t−1 .=() () () () t=(−) () () () 뷡맻훐ꎬ솽듎볬퇩닺짺뗄탂뗄닐닮탲쇐ε뻹춨맽쇋떥캻룹볬퇩ꎬ쫇욽컈탲쇐ꎬ쮵쏷뇤솿볤뗄킭t헻맘쾵쎻폐웆뮵ꎬ믘맩랽돌뗄벼쫵잰쳡죔좻듦퓚ꎻ닐닮탲쇐뗄ퟔ쿠맘폫욫ퟔ쿠맘쾵쫽뚼뇈뷏샭쿫ꎬ쮵쏷풭닐닮믲쫇풭럧쿕쾵쫽탲쇐뗄AR(1)탞헽쇋ퟔ쿠맘뗄쓑쳢ꆣ듓춳볆벼쫵짏뾴ꎬ쫇뇈뷏뫏샭뗄믘맩볬퇩ꎬ뿉틔폃살뷢쫍뺭볃쿖쿳ꆣ 럖샠볬퇩 짏쫶볬퇩쫇붫짌튵틸탐쳥쾵ퟷ캪튻룶헻쳥뛔쿳살뷸탐럖컶ꎬ떫ퟷ캪룶쳥살쮵ꎬ짌튵틸탐퓚뺭펪맽돌훐뻟폐쿔훸뗄틬훊탔쳘헷ꎬ헫뛔쿠춬뗄놾풼쫸헾닟뛸뷸탐뗄럧쿕탐캪뗷헻뗄럹뛈튲늻튻훂ꆣ틲듋컒쏇뎢쫔냑짌튵틸탐내맦쒣폫펰쿬솦럖돉죽샠뷸탐퓙듎뗄쪵횤볬퇩ꎬ틔톰헒퓚놾풼쫸쿂뗄늻춬뗄룶쳥쳘헷ꆣ 뗚튻샠ꎬ듳탍틸탐 붨솢risk뗄AR(1)폫닐닮탲쇐뗄AR(1)쒣탍뷸탐볬퇩ꎬ뷡맻죧쿂ꎺ big,t
risk=−+−+−,tttbig,t−1t−1 .=() () () () () t=(−) () (−) () (−) 뗚뛾샠ꎬ훐탍틸탐 붨솢risk뗄AR(1)폫닐닮탲쇐뗄AR(1)쒣탍뷸탐볬퇩ꎬ뷡맻죧쿂ꎺ middle,trisk=−+−+−,tttmiddle,t−1t−1 .=() () () () () t=(−) () (−) () (−) 뗚죽샠ꎬ킡탍틸탐 붨솢risk뗄AR(1)폫닐닮탲쇐뗄AR(1)쒣탍뷸탐볬퇩ꎬ뷡맻죧쿂ꎺ small,trisk=−+−+−,tttsmall,t−1t−1 .=() () () () () t=(−) () (−) () (−)듓벼쫵횸뇪짏뾴ꎬ틔짏룷룶믘맩쒣탍퓚헻룶뗄뿉뗃뗄쫽뻝퇹놾쟸볤짏뗄쓢뫏킧맻뫜뫃ꆣ뗷헻뫳뗄쓢뫏폅뛈뻹캪틔짏ꎬAIC폫SC볬닢솿럇뎣킡ꎬ훷튪뇤솿뚼퓚%짏춨맽쇋t볬퇩ꆣ탂뗄닐닮탲쇐ε춨맽떥캻룹볬퇩쫇욽컈탲쇐ꎬ쮵쏷탲쇐볤듦퓚럇뎣쏷쿔뗄킭헻맘쾵ꎻ닐닮탲쇐뗄ퟔ쿠맘폫t욫ퟔ쿠맘쾵쫽뚼뇈뷏샭쿫ꎬ쮵쏷풭닐닮믲풭럧쿕쾵쫽탲쇐뗄AR(1)탞헽쇋ퟔ쿠맘뗄쓑쳢ꆣ듓춳볆벼쫵짏뾴ꎬ쫇뇈뷏뫏샭뗄믘맩볬퇩ꎬ뿉틔폃살뷢쫍뺭볃쿖쿳ꆣ 쪵횤볬퇩뗄뷡맻 ퟜ솿볬퇩쿔쪾ꎬ놾풼쫸뛔짌튵틸탐뗄럧쿕탐캪톡퓱뗄펰쿬럇뎣뻞듳ꆣ퓚늻뾼싇risk뗄쪱볤탲쇐쳘헷뗄잰쳢쿂ꎬ1룶냙럖뗣뗄놾돤ퟣ싊뗄뇤뚯붫떼훂짌튵틸탐럧쿕쾵쫽룶냙럖뗣뗄춬쿲뇤뚯ꎬ쯹틔놾풼쫸풽퇏룱ꎬ짌튵틸탐뗄탅듻뷡릹뗷헻풽듳ꎬ뺭펪풽컈붡ꎬ럧쿕풽뗍ꎻ웤듎ꎬ믘맩뷡맻튲횸돶ꎬ놾풼쫸죭뮯믡룸짌튵틸탐뗄탅듻뷡릹뗷헻듸살럇뎣늻샻뗄펰쿬ꎬ솽헟뗄쿠뛔뇈싊듯떽뢺뗄ꎬ뢺쿲킧펦벸뫵췌쫉뗴쇋놾풼쫸듸살뗄뻸듳늿럖폐샻펰쿬ꎬ헢틢캶ퟅ놾풼쫸풽죭뮯ꎬ짌튵틸탐뗄놾뷡릹풽믮풾ꎬ뺭펪럧쿕풽듳ꎬ쯹틔볠맜닣펦떱퇏럀놾풼쫸죭뮯뫍뷰죚볠맜쇷폚탎쪽ꆣ 럖샠볬퇩쿔쪾ꎬ훐킡탍틸탐뛔헾닟뗄쏴룐뛈룼듳ꎬ헢쫇틲캪쯻쏇뗄뺭펪룼볓쫐뎡뮯ꎬ뛸ힷ쟳쫕틦ퟮ듳뮯떼훂훐킡탍틸탐룼볓뫏샭뗄낲업ퟔ벺뗄듻뿮탐캪ꆣ쟒헢솽샠틸탐퓚쏦뛔ퟅ헾닟뇤뮯쪱ꎬinstitute1뗄쾵쫽뗄뻸뛔횵튪듳폚institute2뗄쾵쫽뗄뻸뛔횵ꎬ헢틢캶ퟅ훐킡탍틸탐룼짆폚늶ힽ헾닟뇤뮯뿉쓜룸ퟔ짭쫕틦듸살뗄돥믷ꎬ듓뛸톸쯙ퟶ돶뗷헻ꆣ떫훐맺뗄듳탍짌튵틸탐평폚풴폚릫폐훆뺭볃ꎬ쳥쿖돶뛔볠맜헾닟뗄쿠뛔뷏뗍뗄맘힢뛈폫뇤뮯ꎬ틲듋쒿잰퓚훐맺ꎬ틸탐볠맜룼듳뿉쓜쫇뛔훐킡탍틸탐웰떽쇋ퟷ폃ꎬ뛸뛔듳탍틸탐쫕킧쿠뛔뷏죵ꆣ 쪵횤훐뗄쯹폐럖컶뚼쿔쪾∆GDP%탲쇐뗄쾵쫽캴춨맽t볬퇩ꎬ늻쓜업돽웤쾵쫽쿔훸늻캪0뗄볙짨ꎬퟮ훕뇆웈컒쏇퓚쪵횤훐즾좥쇋GDP헢룶뇤솿ꎬ헢뫍룕뾪쪼뗄퇐뺿횱뻵폐뫜듳돶죫ꎬ틢캶ퟅ훐맺틸탐쳥쾵뗄랢햹뫍뫪맛뺭볃횮볤좱랦럇뎣쏷쿔뗄잿쿠맘맘쾵ꆣ헢쪵볊짏쫇쯹폐랢햹훐맺볒짌튵틸탐
쳥쾵뗄쿠춬랢햹쿖쪵ꎬ평폚볆뮮뺭볃뗄쳘뗣죔좻쏷쿔ꎬ쯹틔랢햹훐맺볒뗄짌튵틸탐쳥쾵뗄쫐뎡뮯룄룯뮹탨뷸튻늽짮죫ꆣ 7 뷡싛 놾컄쫗쿈샻폃쮫뇟늩?뗄뻹뫢뷡맻뷸탐뇈뷏럖컶ꎬ횤쏷쇋퓚샻싊맜훆뗄잰쳡쿂ꎬ짌튵틸탐퓚톡퓱듻뿮뛔쿳뗄맽돌훐듦퓚ퟅ킡웳튵듻뿮웧쫓뗄탐캪쳘헷ꆣ좻뫳폃듸돵횵폫쿂뷧뗄캢럖랽돌ꎬ럖컶쇋웳튵럧쿕룸틸탐쫕틦듸살뗄헽뢺킧펦ꎬ믹폚몯쫽쳘탔톰헒떽쇋짌튵틸탐뗄뿉듻쟸볤폫ퟮ듳샻죳뗣ꎬ퓚샻죳ퟔ평뮯뗄잰쳡쿂횤쏷쇋짌튵틸탐튲뻟폐킡웳튵듻뿮웧쫓뗄쳘뗣ꆣ떱놾돤ퟣ싊풼쫸볓잿쪱ꎬ틲캪짌튵틸탐뿉듻쟸볤뗄뎤뛈뫍샻죳뿕볤놻톹쯵ꎬ쯹틔믡떼훂짌튵틸탐뗄탅듻쫕쯵뫍럧쿕욫뫃뗄뗷헻ꎬퟮ훕뷸튻늽볓뻧쿖쪵뺭볃훐놾틑듦퓚뗄킡웳튵듻뿮쓑쳢ꆣ 퓚쫽샭쒣탍췆떼뗄믹뒡짏ꎬ놾컄짨볆쇋뻟쳥뗄몯쫽살뛔뷡싛뷸탐럂헦쒣쓢ꆣ웤훐ꎬ럧쿕듸살뗄헽킧펦폃CAMP쒣탍쳦듺ꎬ럧쿕듸살뗄뢺킧펦폃듸뎣쾵쫽뗄횸쫽몯쫽쳦듺ꆣ춬쪱ꎬ좡ퟮ탂뗄튻쓪웚맺햮헐뇪샻싊ퟷ캪컞럧쿕샻싊ꎬ짨뚨쫐뎡뎬뛮샻죳쫇10ꎥꎬ퓚듻뿮ퟜ솿럖뇰캪250폫150쪱ퟶ쇋6000듎뗄럂헦ꆣ뗃떽뗄뷡싛뫍샭싛췆떼뗄뷡맻럇뎣컇뫏ꎬ횱맛뗄춼탎튻랽쏦랴펳쇋짌튵틸탐좷쪵뻟폐킡웳튵듻뿮웧쫓뗄탐캪쳘헷ꎻ쇭튻랽쏦튲쿔쪾돶놾풼쫸뗄볓잿ꎬ믡톹쯵짌튵틸탐뗄뿉듻쟸볤폫ퟮ듳샻죳ꎬ떱뿉듻쟸볤뗄폒뛋뗣ퟳ틆쪱ꎬ킡웳튵듻뿮쓑쳢틲듋놻뷸튻늽뛱뮯ꆣ샻폃훐맺쫽뻝뷸탐뗄쪵횤볬퇩튲횤쏷쇋놾컄샭싛췆떼쯹믱뗃뗄쿠맘뷡싛ꆣ 캪쇋폐킧뗘뮺뷢킡웳튵듻뿮웧쫓뗄쓑쳢ꎬ럀횹킡웳튵퓚뷰죚럾컱쳥쾵훐놻훰붥뇟풵뮯ꆣ볠맜닣펦떱뫏샭탞헽놾볠맜헾닟틔맄샸짌튵틸탐쳡룟돐떣럧쿕뗄쓚퓚뚯솦뫍틢풸ꎬ쿠맘뻟쳥듫쪩폐ꎺꎨ1ꎩ킡틸탐내헕닺뛸늻쫇럧쿕닺볆쯣놾돤ퟣ싊ꎬ붵뗍뫏맦돉놾ꎬ죵뮯냍죻뛻킭틩샭쓮뫍럧쿕볆솿랽램쿂뇘좻탎돉뗄ꆰ럧쿕쏅볷ퟔ뚯즸톡믺훆ꆱ ꎬ쿻돽웤탎돉뗄뛔킡웳튵뗄럧쿕웧쫓ꎻꎨ2ꎩ틀뻝킡웳튵듻뿮뗄캥풼싊뫍뺭뗷헻뫳뗄쪵볊쯰쪧쟩뿶ꎬ뗷뗍킡웳튵탅폃럧쿕볠맜놾튪쟳ꎻꎨ3ꎩ본폚랢햹훐맺볒뗄짌튵틸탐듳뛠뛔훐킡웳튵듻뿮쪵탐뛀솢퓋ퟷ뫍뛀솢뫋쯣ꎬ틲듋뿉틔쏷좷내헕쇣쫛튵컱볆솿훐킡웳튵뷰죚튵컱뗄볠맜놾햼폃ꎻꎨ4ꎩ쏷좷맦뚨튻뚨맦쒣틔쿂뗄킡웳튵듻뿮내헕쇣쫛튵컱볆솿놾햼폃ꎬ틔붵뗍훐킡웳튵탅폃럧쿕놩슶뗄놾햼폃뇪ힼꎻꎨ5ꎩ룹뻝훐킡웳튵뗄쪵볊닺ힴ뿶ꎬ퓚뫏룱뗖훊톺욷훐쏷좷횪쪶닺좨뗈컞탎닺ꎬ늢쏷좷횪쪶닺좨뗈컞탎닺뗄ퟮ뗍캥풼쯰쪧싊ꎻꎨ6ꎩ쳡룟룷벶헾뢮폫쏱볤놾뗄닎폫솦뛈ꎬ볓잿뫍룄짆떣놣뮷뺳ꆣ틔짏듫쪩뿉틔퓚샻폃놾풼쫸붵뗍틸탐쳥쾵헻쳥탔럧쿕뗄춬쪱ꎬ냯훺짌튵틸탐쳡룟뛔킡웳튵뗄듻뿮릩룸ꎬ듙뷸킡웳튵뗄랢햹뫍뺭볃뷡릹뗄뗷헻ꆣ 놾컄뗄ퟅ훘뗣쫇퇐뺿틸탐놾풼쫸폫킡웳튵듻뿮쓑솽헟횮볤뗄쿠맘탔ꎬ웤뒴탂횮뒦퓚폚ꎺ헫뛔럧쿕쾵쫽실퓚뿉듻쟸볤쓚뗄룷샠웳튵ꎬ럖샻싊맜훆폫샻싊ퟔ평뮯ꎬ횤쏷쇋짌튵틸탐뻟폐킡웳튵듻뿮웧쫓뗄탐캪쳘헷ꎻ좻뫳폃뻟쳥뗄몯쫽틔벰훐맺뗄쫽뻝뷸탐럂헦쒣쓢뫍쪵횤볬퇩ꎬ횤쏷쇋놾잿풼쫸믡떼훂킡웳튵듻뿮웧쫓쓑쳢뗄뷸튻늽뛱뮯ꎻퟮ뫳쳡돶쿠맘뗄붨틩ꆣ놾컄쪹폃뗄쫽샭쒣탍랽램캴볻폚웤쯻컄쿗ꎬ춬쪱튲쫇쫗듎좫쏦뗄샻폃훐맺뗄짌튵틸탐뗄럖샠쫽뻝뛔놾풼쫸뗄헽뢺킧펦뷸탐쪵횤볬퇩ꆣ 뢽슼ꎺ믘맩볬퇩뗄쫽뻝뇭 risk risk risk risk Time Institute1 ∆GDP%Institute2bigallmiddlesmall200206 0 0 200207 0 0 200208 0 0 200209 0 0 200210 0 0
200211 0 0 200212 0 0 200301 0 0 200302 0 0 200303 0 0 200304 0 0 200305 0 0 200306 0 0 200307 0 0 200308 0 0 200309 0 0 200310 0 0 200311 0 0 200312 0 0 200401 1 0 200402 1 0 200403 1 0 200404 1 0 200405 1 0 200406 1 0 200407 1 0 200408 1 0 200409 1 0 200410 1 0 200411 1 0 200412 1 0 200501 1 1 200502 1 1 200503 1 1 200504 1 1 200505 1 1 200506 1 1 200507 1 1 200508 1 1 200509 1 1 200510 1 1 200511 1 1 200512 1 1 200601 1 1 200602 1 1 200603 1 1 200604 1 1 200605 1 1 200606 1 1
뢽슼ꎺ풴돌탲듺싫 #include "" #include<> double R; double r=; double k1=,k2=5; double calculate(double x,float M) {R=r*M*x+k1*M/2*x*x+(k1*k2-k2*r-k1*k2*x)*exp(x)+(1+r)*M+k2*r-k1*k2; return R;} void main() { double s; double x; for(x=;x<5;x+=) { s=calculate(x,200); printf("r=,k1=,k2=5,M=200,β=%f,R=%lf\n",x,s); }} 닎뾼컄쿗 (1) 믆쿜ꎬ십샭ꎬ듺뻼톫ꎺꆶ놾돤ퟣ싊볠맜쿂틸탐탅듻럧쿕욫뫃폫톡퓱럖컶ꆷꎬꆶ뷰죚퇐뺿ꆷꎬ2005쓪뗚7웚 (2) 샮횾?ꎺꆶ틸탐뷡릹폫훐킡웳튵죚ꆷꎬꆶ뺭볃퇐뺿ꆷꎬ2002쓪뗚6웚 (3) 쇖틣럲ꎬ샮톧뻼ꎺꆶ훐킡뷰죚믺릹랢햹폫훐킡웳튵죚ꆷꎬꆶ뺭볃퇐뺿ꆷꎬ2001쓪뗚1웚 (4) Ben , William III, and James , 2007, “Small Firm Finance, Credit Rationing, and the Impact of SBA-guaranteed Lending on Local Economic Growth”, Journal of Small Business Management, , pp. 116-132 (5) B Rimeꎬ2001, “Capital requirements and bank behaviour: Empirical evidence for Switzerland”, Journal of Banking & Finance, Vol. 25, pp. 789-805 (6) Cesaire , Kevin Moran, 2010, “The Role of Bank Capital in the Propagation of Shocks”, Journal of Economic Dynamics and Control, , pp. 555-576 (7) Daisuke Tsuruta, 2008, “Bank Information Monopoly and Trade Credit, Do Only Banks have Information about Small Business?”, Applied Economics, Vol 40, pp. 981-996 (8) Dietrich, ., James, C., 1983, “Regulation and the determination of bank capital changes: A note.” Journal of Finance, Vol. 38,-1658 (9) Ernet Baltensperger, 1980, “Alternative approaches to the theory of the banking firm”, Journal of Monetary Economics, Vol 6,pp. 1-37 (10) Francesco Columba, Leonardo Gambacorta, and Paolo Emilio Mistrulli, 2010, “Mutual Guarantee Institutions and Small Business Finance”, Journal of Financial Stability, , pp. 45-54 (11) Franklin Allen, Elena Carletti, and Robert Marquez, 2009, “Credit Market Competition and Capital Regulation”, Review of Financial Studies, online published on the 23th November (12) Furlong, F., Keeley, M., 1989, “Capital Regulation and Bank Risk Taking: A Note”, Journal of Banking and Finance , Vol. 13, pp. 883-891. (13) , 1970, “The market for ‘Lemons’: quality uncertainty and the market mechanicsm”, Quarterly Journal of Economics, pp. 488-500 (14) , , 1977, “Informational asymmetries, financial structure, and financial intermediation”, Journal of Finance, Vol. XXXII, 2, May,pp. 371-386 (15) Hovakimian, A., Kane, E. J., 2000, “Effectiveness of capital regulation at US commercial banks”, Journal of Finance, Vol. 55, pp. 451-469 (16) , , 1999, “How Important are Small Banks to Small Business Lending, New Evidence from a Survey of Small Firms”, Journal of Banking and Finance, Vol. 23, Feb, pp. 427-458 (17) Keely, M., Furlong, F., 1990, “A reexamination of mean-variance analysis of bank capital regulation”, Journal of Banking and Finance, Vol. 14, pp. 69-84 (18) Kim, Daesik, and Anthony M. Santomero, 1988. “Risk in Banking and Capital Regulation,”Journal of Finance, Vol. 43, pp. 1219-1233. (19) Lisa , 1999, “Trade Credit and Bank Financing Small Firms in Russia”, Journal of Business Venturing, Vol. 14, pp. 493-518 (20) Masaru Konishi, Yukihiro Yasuda,2004, “Factors affecting bank risk taking: Evidence from Japan”, Journal of Banking
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