| 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 | en |
| ISSN | 0264-9993 |
| 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 | 是 |
| 國別 | NLD |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/79687 ) |
GoogleAnalytics