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    題名: Optimal bank interest margin and default risk in equity returns under the return to domestic retail with structural breaks
    作者: Tsai, Jeng-Yan;Lin, Jyh-Horng
    貢獻者: 淡江大學國際企業學系
    關鍵詞: bank interest margin;structural break;retail banking;political pressure
    日期: 2011-10-13
    上傳時間: 2011-10-17 16:12:32 (UTC+8)
    出版者: Abingdon: Routledge
    摘要: A retrenchment in crossborder credit is under way, the product of both market forces and political pressure on international banks to lend at home (Economist, 2009). In addition, banks, particularly the largest, have also dramatically expanded their retail banking operations over the past few years (Hirtle and Stiroh, 2007). Our goal, in this article, is to study the effects of default risk on equity returns through bank interest margin management under a renewed focus on domestic retail banking, a trend often attributed to the stability of banking activities. Specifically, this article explores the determinants of optimal bank interest margins based on an option-based firm-theoretical model with multiple sources of structural breaks due to political pressure. The model demonstrates how capital regulation and political pressure on foreign lending return and risk conditions jointly determine the optimal bank interest margin decision. We show that a more stringent capital requirement is linked with lower equity return, but higher default risk of the bank in the return to domestic retail banking. An increased focus on the political pressure on foreign lending return is linked with higher equity return and default risk of the bank. It is also showed that an increased focus on the political pressure on foreign lending risk decreases the bank's equity return and default risk. We conclude that the return to domestic retail banking may be a relatively stable activity when the political pressure decision impacts only the expected risk of the bank's foreign lending and not the return.
    關聯: Applied Economics Letters 45(6), pp.753-764
    DOI: 10.1080/00036846.2011.610755
    顯示於類別:[國際企業學系暨研究所] 期刊論文

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