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 en
ISSN 0354-0243 2334-6043
期刊性質 國外
收錄於
產學合作
通訊作者
審稿制度
國別
公開徵稿
出版型式 紙本
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