Optimal bank interest margins under capital regulation in a call-option utility framework

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題名:	Optimal bank interest margins under capital regulation in a call-option utility framework
作者:	蔡政言;Tsai, Jeng-Yan
貢獻者:	淡江大學國際企業學系
關鍵詞:	Call-option utility maximization;Call-option equity maximization;Bank interest margins;Capital regulation
日期:	2013-03
上傳時間:	2013-01-30 10:59:12 (UTC+8)
出版者:	Elsevier BV
摘要:	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.
關聯:	Economic Modelling 31, pp.557-565
DOI:	10.1016/j.econmod.2012.12.024
顯示於類別:	[國際企業學系暨研究所] 期刊論文

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