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), p.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 en
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 是
國別 TWN
公開徵稿
出版型式 ,電子版
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/116974 )