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    題名: Optimal Bank Interest Margin Under Capital Regulation: Regret Aversion and Shadow Banking
    作者: Xuelian Li;Jyh-Horng Lin;Fu-Wei Huang
    關鍵詞: Regret;shadow banking;bank interest margin;capital regulation
    日期: 2019-06
    上傳時間: 2019-09-13 12:10:18 (UTC+8)
    出版者: IJIMS
    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.
    關聯: International Journal of Information and Management Sciences 30(2), p.169 - 184
    DOI: 10.6186%2fIJIMS.201906_30(2).0005
    顯示於類別:[國際企業學系暨研究所] 期刊論文

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