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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/118807


    Title: Optimal Bank Interest Margin Under Capital Regulation: Regret Aversion and Shadow Banking
    Authors: Li, Xuelian;Lin, Jyh-Horng;Huang, Fu-Wei
    Keywords: Regret;shadow banking;bank interest margin;capital regulation
    Date: 2019-06
    Issue Date: 2020-06-30 12:10:19 (UTC+8)
    Publisher: International Journal of Information and Management Sciences
    Abstract: 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 merges. 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.
    Relation: International Journal of Information and Management Sciences 30(2), p.169-184
    DOI: 10.6186/IJIMS.201906 30(2).0005
    Appears in Collections:[Graduate Institute & Department of International Business] Journal Article

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