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Article: A note on the spread between the rates of fixed and variable rate loans

TitleA note on the spread between the rates of fixed and variable rate loans
Authors
KeywordsLoan rate spread
Fixed rate loans
Variable rate loans
Mismatching
Issue Date1995
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jbf
Citation
Journal of Banking & Finance, 1995, v. 19, p. 1479-1487 How to Cite?
AbstractAn 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.
Persistent Identifierhttp://hdl.handle.net/10722/82353
ISSN
2015 Impact Factor: 1.485
2015 SCImago Journal Rankings: 1.264

 

DC FieldValueLanguage
dc.contributor.authorChang, ECen_HK
dc.contributor.authorRhee, MWen_HK
dc.contributor.authorWong, KPen_HK
dc.date.accessioned2010-09-06T08:28:19Z-
dc.date.available2010-09-06T08:28:19Z-
dc.date.issued1995en_HK
dc.identifier.citationJournal of Banking & Finance, 1995, v. 19, p. 1479-1487en_HK
dc.identifier.issn0378-4266en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82353-
dc.description.abstractAn 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.-
dc.languageengen_HK
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jbfen_HK
dc.relation.ispartofJournal of Banking & Financeen_HK
dc.rightsJournal of Banking & Finance. Copyright © Elsevier BV.en_HK
dc.subjectLoan rate spread-
dc.subjectFixed rate loans-
dc.subjectVariable rate loans-
dc.subjectMismatching-
dc.titleA note on the spread between the rates of fixed and variable rate loansen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0378-4266&volume=19&spage=1479&epage=1487&date=1995&atitle=A+note+on+the+spread+between+the+rates+of+fixed+and+variable+rate+loansen_HK
dc.identifier.emailWong, KP: donnawkp@hkucc.hku.hken_HK
dc.identifier.authorityWong, KP=rp00592en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/0378-4266(94)00113-H-
dc.identifier.scopuseid_2-s2.0-5844415396-
dc.identifier.hkuros15181en_HK

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