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:Optimal Bank Interest Margin Under Capital Regulation: Regret Aversion and Shadow Banking
學年107
學期2
出版(發表)日期2019/06/01
作品名稱Optimal Bank Interest Margin Under Capital Regulation: Regret Aversion and Shadow Banking
作品名稱(其他語言)
著者Xuelian Li; Jyh-Horng Lin; Fu-Wei Huang
單位
出版者
著錄名稱、卷期、頁數International Journal of Information and Management Sciences 30(2)頁169 - 184
摘要This paper takes a contingent claim approach to the market valuation of a banking firm's equity. A model is presented that explicitly takes into account the following: (i) the bank is regret-averse; (ii) the earning-asset portfolio of the bank includes regular banking loans, default-free liquid assets, and shadow banking wealth management products; and (iii) imposing heightened capital requirements on the bank emerges. We argue that it may not be regretful for the bank to conduct the WMPs, implying that these activities have been increasing over time. Increases in WMPs or capital requirements decrease the bank interest margin, which makes the bank more prone to loan risk-taking, thereby adversely affecting banking stability.
關鍵字Regret;shadow banking;bank interest margin;capital regulation
語言英文
ISSN
期刊性質國內
收錄於EI;
產學合作
通訊作者Jyh-Horng Lin
審稿制度
國別中華民國
公開徵稿
出版型式,電子版
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