教師資料查詢 | 類別: 期刊論文 | 教師: 蔡政言 Tsai Jeng-yan (瀏覽個人網頁)

標題:Risk and Regret Aversions on Optimal Bank Interest Margin under Capital Regulation
學年101
學期1
出版(發表)日期2012/11/01
作品名稱Risk and Regret Aversions on Optimal Bank Interest Margin under Capital Regulation
作品名稱(其他語言)
著者Tsai, Jeng-Yan
單位淡江大學國際企業學系
出版者Amsterdam: Elsevier BV * North-Holland
著錄名稱、卷期、頁數Economic Modelling 29(6), pp.2190–2197
摘要This paper examines the bank's optimal loan rate (and thus the bank's interest margin) under more stringent capital regulation when the bank is not only risk-averse but also regret-averse. Risk-averse preferences are characterized by an option-based utility function that includes disutility from the dislike of bank equity risk. Regret-averse preferences feature an option-based utility function that includes disutility from having chosen ex-post suboptimal alternatives. We show that an increase in bank capital requirement results in an increased margin under risk aversion dominating regret aversion, whereas it results in a reduced margin under regret aversion dominating risk aversion. The former holds when risk aversion domination stems from increasing risk-averse preference, but not from decreasing regret-averse preference, while the latter holds when regret aversion domination results from either decreasing risk-averse or increasing regret-averse preference. Risk aversion, as such, makes the bank more prudent and less prone to risk-taking, while regret aversion, as such, makes the bank less prudent and more prone to risk-taking.
關鍵字Interest margin;Capital regulation;Regret aversion;Risk aversion
語言英文
ISSN0264-9993
期刊性質國外
收錄於SSCI;
產學合作
通訊作者蔡政言
審稿制度
國別荷蘭
公開徵稿
出版型式,電子版,紙本
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