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

Authors
Jaenicke, J
Citation
J. Jaenicke, Price and hedging policy: The case of an intertemporarily risk averse bank, ECON LETT, 71(3), 2001, pp. 391-396
Citations number
16
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
71
Issue
3
Year of publication
2001
Pages
391 - 396
Database
ISI
SICI code
0165-1765(200106)71:3<391:PAHPTC>2.0.ZU;2-D
Abstract
In a two-period framework, we analyze the behavior of a maturity transformi ng, 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.