کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5054846 1476537 2013 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Optimal bank interest margins under capital regulation in a call-option utility framework
ترجمه فارسی عنوان
حاشیه سود مطلوب بانک تحت تنظیمات سرمایه در یک چارچوب ابزار تماس گزینه
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی

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.

► A bank pursues higher return and low risk. ► Solve for the optimal bank interest margin under capital regulation. ► An increase in the capital regulation decreases the interest margin. ► This negative impact which ignores the dislike leads to significant underestimation. ► Capital regulations do not lead to risk-reducing and return-increasing.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 31, March 2013, Pages 557-565
نویسندگان
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