Are Banks Risk-Averse? (Nishiyama Y.)

Interest Rates Risk-taking and Risk Management

Abstract The paper investigates, and estimates, banks’ risk aversion that is factored into the spread between the interest rate on time deposits and the interest rate on non-time deposits. The estimation results indicate that the relative risk aversion coefficient estimates of individual banks fall between 0 and 1, but mostly around 0.2, thereby indicating that banks are risk-averse but close to being risk-neutral.
External link Download
Libref/ Nishiyama Y. (2007) "Are Banks Risk-Averse?", Eastern Economic Journal, Vol. 33, Issue 4, pp. 471-490
© Программирование — Александр Красильников, 2008
    Дизайн — переработанная версия стартовой страницы ГУ–ВШЭ.