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Are Banks Risk-Averse?

  • Yasuo Nishiyama

    ()

    ({ennsylvania State University - Hazleton)

Registered author(s):

    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.

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    File URL: http://college.holycross.edu/RePEc/eej/Archive/Volume33/V33N4P471_490.pdf
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    Article provided by Eastern Economic Association in its journal Eastern Economic Journal.

    Volume (Year): 33 (2007)
    Issue (Month): 4 (Fall)
    Pages: 471-490

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    Handle: RePEc:eej:eeconj:v:33:y:2007:i:4:p:471-490
    Contact details of provider: Postal: c/o Dr. Alexandre Olbrecht, The Anisfield School of Business 205, Ramapo College, 505 Ramapo Valley Road, Ramapo, New Jersey 07430, USA
    Phone: (201) 684-7346
    Web page: http://www.ramapo.edu/eea/journal.html
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    21. Erik Heitfield & Robin A. Prager, 2002. "The geographic scope of retail deposit markets," Finance and Economics Discussion Series 2002-49, Board of Governors of the Federal Reserve System (U.S.).
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