| Optimal bank interest margins under capital regulation in a call-option utility framework | |
|---|---|
| 學年 | 101 |
| 學期 | 2 |
| 出版（發表）日期 | 2013-03-01 |
| 作品名稱 | Optimal bank interest margins under capital regulation in a call-option utility framework |
| 作品名稱（其他語言） | |
| 著者 | 蔡政言; 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 31, pp.557-565 |
| 摘要 | This paper examines the optimal bank interest margin under capital regulation when the bank's preference admits an additive call-option representation including both the like of higher equity return and the dislike of higher equity risk. In the call-option utility maximization, an increase in the capital requirement results in an increased amount of loans held by a bank at a reduced margin when loan quality is in distress. We also show that the impact on the bank interest margin from an increase in the capital requirement which ignores the dislike, that we call such behavior call-option equity maximization, leads to significant underestimation. Our results cast doubt on the effectiveness of capital regulation to exert a risk-reducing and return-increasing effect on the bank in particular where loan quality becomes worse, thereby adversely affecting the stability of the banking system. |
| 關鍵字 | Call-option utility maximization;Call-option equity maximization;Bank interest margins;Capital regulation |
| 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/987654321/80536 ) |
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