教師資料查詢 | 類別: 期刊論文 | 教師: 林志鴻 Jyh-horng Lin (瀏覽個人網頁)

標題:Liquidity management and futures hedging under deposit insurance : an option-based analysis
學年93
學期1
出版(發表)日期2004/12/01
作品名稱Liquidity management and futures hedging under deposit insurance : an option-based analysis
作品名稱(其他語言)
著者Lin, Jyh-horng; Chang, Chuen-ping
單位淡江大學國際貿易學系暨國際企業研究所
出版者Faculty of Organizational Sciences, Belgrade, Mihajlo Pupin Institute, Belgrade, Economics Institute, Belgrade, Faculty of Transport and Traffic Engineering, Belgrade, Faculty of Mechanical Engineering, Belgrade
著錄名稱、卷期、頁數Yugoslav journal of operations research 14(2), pp.209-218
摘要Theories on financial futures hedging are generally based on a portfolio-choice approach. This paper presents an alterative: a firm-theoretic model of bank behavior with financial futures under deposit insurance. Assuming that the bank is a certificate of deposit (CD) rate-setter and faces random CDs, expressions for the optimal futures hedge are derived under the option-based valuation. When the bank is in a bad state of the world, a decrease in the short position of the futures decreases the loan rate and increases the CD rate; an increase in the deposit insurance premium increases the loan rate and decreases the CD rate. We also show that the bank’s amount of futures increases with a lower expected futures interest rate.
關鍵字liquidity; futures; deposit insurance; Black-Scholes valuation
語言英文
ISSN0354-0243;2334-6043
期刊性質國外
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