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
Pages
6
From page
391
To page
396
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
Serial Year
2001
Journal title
Economics Letters
Record number
434799
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