A REEXAMINATION OF MEAN-VARIANCE ANALYSIS OF BANK CAPITAL REGULATION

被引：166

作者：

KEELEY, MC ^{[1
]}

FURLONG, FT ^{[1
]}

机构：

[1] FED RESERVE BANK SAN FRANCISCO,SAN FRANCISCO,CA 94105

来源：

JOURNAL OF BANKING & FINANCE | 1990年 / 14卷 / 01期

关键词：

D O I：

10.1016/0378-4266(90)90036-2

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The mean-variance framework has been used to analyze the effects of bank capital regulation on the asset and bankruptcy risk of insured, utility-maximizing banks. This literature claims that more stringent capital regulation will increase asset risk and can increase bankruptcy risk. These conclusions are notable because they are opposite to those obtained for insured, value-maximizing banks. In this paper, we show that the utility-maximization literature does not support its conclusions regarding the effects of bank capital regulation because it has mischaracterized the bank's investment opportunity set by neglecting the option value of deposit insurance. © 1990.

引用

页码：69 / 84

页数：16

共 22 条

[1] APPROACH TO REGULATION OF BANK-HOLDING COMPANIES [J].