Share and Export
Share and Export
Pecchenino, Rowena A. (1998) Risk averse bank managers: Exogenous shocks, portfolio reallocations and market spillovers. Journal of Banking and Finance, 22 (2). pp. 161-174. ISSN 0378-4266
Preview
1-s2.0-S0378426697000502-main.pdf
Download (157kB) | Preview
Abstract
This paper develops a model of the banking market in which individual banks make
decisions concerning both the size and risk characteristics of their portfolios, and in
which actions of one bank spill over to affect actions of other banks. Various observed
banking market behaviors, such as herding, credit crunches, bank reaction to policy
changes, etc., are explained as optimal bank responses to idiosyncratic or systemic
shocks.
| Item Type: | Article |
|---|---|
| Keywords: | Portfolio allocation; Spillovers; Credit crunch; |
| Academic Unit: | Faculty of Social Sciences > Economics, Finance and Accounting |
| Item ID: | 8513 |
| Identification Number: | 10.1016/S0378-4266(97)00050-2 |
| Depositing User: | Prof. Rowena Pecchenino |
| Date Deposited: | 26 Jul 2017 08:27 |
| Journal or Publication Title: | Journal of Banking and Finance |
| Publisher: | Elsevier |
| Refereed: | Yes |
| Related URLs: | |
| URI: | https://mural.maynoothuniversity.ie/id/eprint/8513 |
| Use Licence: | This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here |
Repository Staff Only (login required)
- Item control page
Downloads
Downloads per month over past year
