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Transactions: WSEAS TRANSACTIONS ON MATHEMATICS
Transactions ID Number: 53-503
Full Name: Shih-heng Pao
Position: Associate Professor
Age: ON
Sex: Male
Address: Depatment of International Business, Tamkang University, 151 Ying-chuan Road, Tamsui, Taipei County, Taiwan 25137, R.O.C.
Country: TAIWAN
Tel: 886-2-2633-2218
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Fax: 886-2-2634-0552
E-mail address: psh@mail.tku.edu.tw
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Title of the Paper: The effects of the change of bond insurance premium and capital regulatory ratio on loan and deposit rates: an option-pricing model
Authors as they appear in the Paper: Shin-heng Pao; Jyh-horng Lin; Shu-hui Chang
Email addresses of all the authors: psh@mail.tku.edu.tw, Lin9015@mail.tku.edu.tw,shchang@takming.edu.tw
Number of paper pages: 11
Abstract: We propose an option-based model that examines the relationships among municipal bonds with prepackaged insurance, capital insurance, and optimal bank interest margins. If the elasticity effect is positive (negative), then an increase in the bond insurance premium will increase the bank¡¦s optimal loan rate (optimal deposit rate). If the elasticity effect is negative (positive), then an increase in the capital-to-deposit ratio will increase (decrease) the bank¡¦s optimal loan rate. But an increase in the capital-to- deposit ratio increase the bank¡¦s optimal deposit rate under the positive elasticity effect.
Keywords: Municipal bond, Capital-to-deposit ratio, Interest margins, Bond insurance, Elasticity, option
EXTENSION of the file: .pdf
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