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Three essays on financial intermedia...

Lee, Hon Sing.

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Three essays on financial intermediation: Risk, maturity and liquidity.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Three essays on financial intermediation: Risk, maturity and liquidity./
Author:	Lee, Hon Sing.
Description:	163 p.
Notes:	Source: Dissertation Abstracts International, Volume: 65-05, Section: A, page: 1898.
Contained By:	Dissertation Abstracts International65-05A.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3132558
ISBN:	049679798X

Three essays on financial intermediation: Risk, maturity and liquidity.
Lee, Hon Sing.

Three essays on financial intermediation: Risk, maturity and liquidity. - 163 p.

Source: Dissertation Abstracts International, Volume: 65-05, Section: A, page: 1898.

Thesis (Ph.D.)--Northwestern University, 2004.

This thesis is a collection of three essays, analyzing how banks intermediate credit flow over different friction.

ISBN: 049679798XSubjects--Topical Terms:

626650
Economics, Finance.

Three essays on financial intermediation: Risk, maturity and liquidity.
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035 $a (UnM)AAI3132558
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040 $a UnM $c UnM
100 1 $a Lee, Hon Sing. $3 1927554
245 1 0 $a Three essays on financial intermediation: Risk, maturity and liquidity.
300 $a 163 p.
500 $a Source: Dissertation Abstracts International, Volume: 65-05, Section: A, page: 1898.
500 $a Adviser: Daniel F. Spulber.
502 $a Thesis (Ph.D.)--Northwestern University, 2004.
520 $a This thesis is a collection of three essays, analyzing how banks intermediate credit flow over different friction.
520 $a The first chapter proves that a monopolistic intermediary extracts rents from the risk aversion of traders. The rents, however, reach full monopolistic levels only if the traders' certainty equivalence equals to the wealth of the worst outcome scenario. Not all infinitely risk averse traders would pay such a high risk premium. Hence the intermediary is not always able to extract full monopolistic rents. The change in volume of trade intermediated as risk aversion increases, depends on how the risk premium grows. The change in volume may decrease, be constant, or switches from decreasing to increasing.
520 $a The second chapter shows that rollover refinancing risk and loan default risk disintermediate the loan maturity transformation activity of a bank. First, the effects of changing interbank interest rate and cash reserve requirement on loan maturity intermediation are analyzed in a risk-free environment. Then the chapter looks at how these effects change when there is rollover refinancing risk, and when there is loan default risk. The changes in sensitivity found show that the bank experiences both primary and secondary effects from the two risks. This is true regardless of the probability distributions of the two risks. The results of this paper are also applicable to the financing considerations of a firm undertaking a long term project.
520 $a The third chapter proves the existence of disintermediation when a bank faces uncertainty in supply of deposits and demand for loans. It further shows that disintermediation, such as manifested in terms of stochastic interest rate premiums, is larger for larger transaction size, larger cost factor and lower consumer sensitivity to interest rates. Disintermediation manifested as higher interbank account balance is larger for larger cash reserve ratio, transaction size, cost factor and price sensitivity. Disintermediation manifested as lower profit is larger for larger transaction volume level, and lower cash reserve ratio, inventory levels and price sensitivity. This model is compared with the classical Monte-Klein and Ho and Saunders models, yielding some similarities as well as some notable differences.
590 $a School code: 0163.
650 4 $a Economics, Finance. $3 626650
650 4 $a Business Administration, Banking. $3 1018458
650 4 $a Economics, General. $3 1017424
690 $a 0508
690 $a 0770
690 $a 0501
710 2 0 $a Northwestern University. $3 1018161
773 0 $t Dissertation Abstracts International $g 65-05A.
790 1 0 $a Spulber, Daniel F., $e advisor
790 $a 0163
791 $a Ph.D.
792 $a 2004
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3132558