Title of article :
Price and hedging policy: The case of an intertemporarily risk averse bank
Author/Authors :
Johannes Jaenicke، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2001
Abstract :
n 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.
Keywords :
Non-separable utility , separation , Hedging , Interest rate risk , Banking firm
Journal title :
Economics Letters
Journal title :
Economics Letters