Price and hedging policy: The case of an intertemporarily risk averse bank

Autor(en): Jaenicke, J
Stichwörter: banking firm; Business & Economics; Economics; FIRM; GERMANY; hedging; interest rate risk; MANAGEMENT; MARKETS; non-separable utility; RIGIDITY; separation; US
Erscheinungsdatum: 2001
Herausgeber: ELSEVIER SCIENCE SA
Journal: ECONOMICS LETTERS
Volumen: 71
Ausgabe: 3
Startseite: 391
Seitenende: 396
Zusammenfassung: 
In a two-period framework, we analyze the behavior of a maturity transforming, intertemporarily risk averse bank in the presence of a stochastic inter-bank: rate and futures markets. We show that the separation property holds, but that loan and deposit price decisions show non-linear dependence. (C) 2001 Elsevier Science B.V. All rights reserved.
ISSN: 01651765
DOI: 10.1016/S0165-1765(01)00385-8

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