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Are Banks Risk-Averse?

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  • Yasuo Nishiyama

    ({ennsylvania State University - Hazleton)

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.

Suggested Citation

  • Yasuo Nishiyama, 2007. "Are Banks Risk-Averse?," Eastern Economic Journal, Eastern Economic Association, vol. 33(4), pages 471-490, Fall.
    • Handle: RePEc:eej:eeconj:v:33:y:2007:i:4:p:471-490
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    File URL: http://web.holycross.edu/RePEc/eej/Archive/Volume33/V33N4P471_490.pdf
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    References listed on IDEAS

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    Cited by:

    1. Bedoui, Rihab & Hamdi, Haykel, 2015. "Option-implied risk aversion estimation," The Journal of Economic Asymmetries, Elsevier, vol. 12(2), pages 142-152.
    2. Ritz, Robert A. & Walther, Ansgar, 2015. "How do banks respond to increased funding uncertainty?," Journal of Financial Intermediation, Elsevier, vol. 24(3), pages 386-410.
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    4. Anna Grodecka‐Messi, 2019. "Subprime borrowers, securitization and the transmission of business cycles," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 52(4), pages 1600-1654, November.
    5. Yasuo Nishiyama, 2006. "The Asian Financial Crisis and Investors’ Risk Aversion," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(3), pages 181-205, September.

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