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Article: Banking firm and hedging over the business cycle

TitleBanking firm and hedging over the business cycle
Authors
Broll, UWong, KP
KeywordsBanks
Business cycle
Hedging
Return risk
State-dependent utility
Issue Date2010
PublisherSpringer Verlag. The Journal's web site is located at http://www.springer.com/economics/journal/10258
Citation
Portuguese Economic Journal, 2010, v. 9 n. 1, p. 29-33 How to Cite?
DOI: http://dx.doi.org/10.1007/s10258-010-0055-7
AbstractThis paper examines the behavior of a banking firm under risk. The banking firm can hedge its risk exposure by trading futures contracts. The banking firm is risk averse and possesses a utility function defined over its end-of-period income and a state variable that denotes the business cycle of the economy. We show that the banking firm optimally opts for an over-hedge or an under-hedge, depending on whether the returns on the futures contracts are negatively or positively correlated with the business cycle of the economy, respectively. Thus, the business cycle of the economy is an important determinant in shaping the banking firm's optimal hedging strategy. © Springer-Verlag 2010.
Persistent Identifierhttp://hdl.handle.net/10722/124052
ISSN
1617-982X
2021 Impact Factor: 1.342
2020 SCImago Journal Rankings: 0.169
ISI Accession Number ID
WOS:000275697700003
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorBroll, Uen_HK
dc.contributor.authorWong, KPen_HK
dc.date.accessioned2010-10-19T04:36:16Z-
dc.date.available2010-10-19T04:36:16Z-
dc.date.issued2010en_HK
dc.identifier.citationPortuguese Economic Journal, 2010, v. 9 n. 1, p. 29-33en_HK
dc.identifier.issn1617-982Xen_HK
dc.identifier.urihttp://hdl.handle.net/10722/124052-
dc.description.abstractThis paper examines the behavior of a banking firm under risk. The banking firm can hedge its risk exposure by trading futures contracts. The banking firm is risk averse and possesses a utility function defined over its end-of-period income and a state variable that denotes the business cycle of the economy. We show that the banking firm optimally opts for an over-hedge or an under-hedge, depending on whether the returns on the futures contracts are negatively or positively correlated with the business cycle of the economy, respectively. Thus, the business cycle of the economy is an important determinant in shaping the banking firm's optimal hedging strategy. © Springer-Verlag 2010.en_HK
dc.languageengen_HK
dc.publisherSpringer Verlag. The Journal's web site is located at http://www.springer.com/economics/journal/10258en_HK
dc.relation.ispartofPortuguese Economic Journalen_HK
dc.subjectBanksen_HK
dc.subjectBusiness cycleen_HK
dc.subjectHedgingen_HK
dc.subjectReturn risken_HK
dc.subjectState-dependent utilityen_HK
dc.titleBanking firm and hedging over the business cycleen_HK
dc.typeArticleen_HK
dc.identifier.emailWong, KP: kpwongc@hkucc.hku.hken_HK
dc.identifier.authorityWong, KP=rp01112en_HK
dc.description.naturelink_to_OA_fulltext-
dc.identifier.doi10.1007/s10258-010-0055-7en_HK
dc.identifier.scopuseid_2-s2.0-77949423102en_HK
dc.identifier.hkuros169387-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-77949423102&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume9en_HK
dc.identifier.issue1en_HK
dc.identifier.spage29en_HK
dc.identifier.epage33en_HK
dc.identifier.eissn1617-9838en_HK
dc.identifier.isiWOS:000275697700003-
dc.publisher.placeGermanyen_HK
dc.description.otherSpringer Open Choice, 01 Dec 2010-
dc.identifier.scopusauthoridBroll, U=7004024398en_HK
dc.identifier.scopusauthoridWong, KP=7404759417en_HK
dc.identifier.citeulike6800299-
dc.identifier.issnl1617-982X-

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