Earticle

초록

영어

This paper aims to explore a common practice in which a bank designs an optimal double-layered debt contract through the means of controlling a lending rate and a deposit rate. For this study, I modify a monopolistic version of the Monti-Kelin model interpreted by Freixas and Rochet (2008). Positioned between depositors and borrowers, the bank takes into account the likelihood of a borrower exercising his or her limited liability in case of a negative income shock. On the other hand, the bank could also exercise its own limited liability against depositors if necessary. Thus, anticipating the consequences of dually limited liability, the bank specifies the conditions of loan and deposit contracts. In this regard, this paper contributes to the existing literature in that it explains endogenous determinations of credit ceiling and capital buffer of the two debt contracts a bank is involved in. It examines how the contracts can vary (asymmetrically) throughout a business cycle jointly with the deposit and the lending rates. A major result from the model is that a lending rate for a fully collateralized loan as well as a deposit rate for an unsecured loan may exhibit asymmetric and even adverse responses to the counter-cyclical policy rate adjustments. Furthermore, in the presence of capital regulation, it is deduced that the countercyclical interest rate policy may amplify the pro-cyclicality of bank lending.

목차

Abstract
 Ⅰ. Introduction
 Ⅱ. A Model
 Ⅲ. An Equilibrium of a Loan Fully Secured by Collateral
 Ⅳ. An Equilibrium of an Unsecured Loan
 Ⅴ. An Equilibrium under Capital Requirement
 VI. Concluding Remarks
 References
 Appendix

키워드

저자

• Seok-Kyun Hur [ Assistant Professor, College of Business and Economics, Chung-Ang Univesity ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330