A NOTE ON THE SPREAD BETWEEN THE RATES OF FIXED AND VARIABLE-RATE LOANS

被引：1
|
作者：
CHANG, EC
RHEE, MW
WONG, KP
机构：
[1] TOWSON STATE UNIV,BALTIMORE,MD 21204
[2] POSCO,RES INST,SEOUL,SOUTH KOREA
[3] HONG KONG UNIV SCI & TECHNOL,HONG KONG,HONG KONG
来源：
JOURNAL OF BANKING & FINANCE | 1995年 / 19卷 / 08期
关键词：
LOAN RATE SPREAD; FIXED RATE LOANS; VARIABLE RATE LOANS; MISMATCHING;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
An expression of the optimal expected spread between the rates of fixed and variable rate loans offered by a competitive risk-averse bank is derived. We find that the expected spread varies directly with the volatility of the funding cost, the bank's degree of risk aversion, and the competitive profit margin on variable rate loans. Our analysis also characterizes the optimal mix of fixed and variable rate lending in a bank's loan portfolio.
引用
收藏
页码：1479 / 1487
页数：9
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