教師資料查詢 | 類別: 期刊論文 | 教師: 李培齊 Lii, Pei-chi (瀏覽個人網頁)

標題:Optimal Bank Interest Margin, Capital Regulation and Deposit Insurance under a Cap Valuation
學年93
學期2
出版(發表)日期2005/07/01
作品名稱Optimal Bank Interest Margin, Capital Regulation and Deposit Insurance under a Cap Valuation
作品名稱(其他語言)
著者林志鴻; Lin, Jyh-hong; 李培齊; Lii, Peirchyi; 張純萍; Chang, Chuen-ping
單位淡江大學經營決策學系
出版者India : University of Allahabad
著錄名稱、卷期、頁數Indian Journal of Economics 86(340), pp.35-48
摘要This paper derives the bank’s optimal interest margin and relates it to the regulatory parameters under a cap valuation. This valuation helps the bank handle the volatilities so characteristic of lending markets. We find that the bank's interest margin is an increasing (decreasing) function of the capital-to-deposits ratio, the deposit insurance premium, and the actual number of days during the cap period if both the bank's marginal equity effect and the risk effect are positive (negative). The bank's optimal interest margin is an increasing (decreasing) function of the strike price if its marginal equity with expiration at the end of the period is negative (positive). Our findings demonstrate the important effects that regulatory parameters and cap pricing have on the bank's optimal interest margin.
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語言英文
ISSN0019-5170
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