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    題名: Risk and Regret Aversions on Optimal Bank Interest Margin under Capital Regulation
    作者: Tsai, Jeng-Yan
    貢獻者: 淡江大學國際企業學系
    關鍵詞: Interest margin;Capital regulation;Regret aversion;Risk aversion
    日期: 2012-11
    上傳時間: 2013-01-08 22:48:13 (UTC+8)
    出版者: Amsterdam: Elsevier BV * North-Holland
    摘要: This paper examines the bank's optimal loan rate (and thus the bank's interest margin) under more stringent capital regulation when the bank is not only risk-averse but also regret-averse. Risk-averse preferences are characterized by an option-based utility function that includes disutility from the dislike of bank equity risk. Regret-averse preferences feature an option-based utility function that includes disutility from having chosen ex-post suboptimal alternatives. We show that an increase in bank capital requirement results in an increased margin under risk aversion dominating regret aversion, whereas it results in a reduced margin under regret aversion dominating risk aversion. The former holds when risk aversion domination stems from increasing risk-averse preference, but not from decreasing regret-averse preference, while the latter holds when regret aversion domination results from either decreasing risk-averse or increasing regret-averse preference. Risk aversion, as such, makes the bank more prudent and less prone to risk-taking, while regret aversion, as such, makes the bank less prudent and more prone to risk-taking.
    關聯: Economic Modelling 29(6), pp.2190–2197
    DOI: 10.1016/j.econmod.2012.06.028
    顯示於類別:[國際企業學系暨研究所] 期刊論文

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