메뉴 건너뛰기




Volumn 13, Issue 3, 2006, Pages 181-205

The Asian financial crisis and investors' risk aversion

Author keywords

Asian financial crisis; Banks; Chow test; Relative risk aversion; Time varying parameter model

Indexed keywords


EID: 34548091513     PISSN: 13872834     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10690-007-9041-1     Document Type: Article
Times cited : (8)

References (48)
  • 1
    • 0002804196 scopus 로고    scopus 로고
    • Nonparametric risk management and implied risk aversion
    • Aït-Sahalia, Y., & Lo, A. W. (2000). Nonparametric risk management and implied risk aversion. Journal of Econometrics, 94(1-2), 9-51.
    • (2000) Journal of Econometrics , vol.94 , Issue.1-2 , pp. 9-51
    • Aït-Sahalia, Y.1    Lo, A.W.2
  • 2
    • 0025625259 scopus 로고
    • Technical, scale, and allocative efficiencies in U.S. banking: An empirical investigation
    • Aly, H. Y., Grabowski, R., Pasurka, C., & Rangan, N. (1990). Technical, scale, and allocative efficiencies in U.S. banking: An empirical investigation. Review of Economics and Statistics, 72(2), 211-218.
    • (1990) Review of Economics and Statistics , vol.72 , Issue.2 , pp. 211-218
    • Aly, H.Y.1    Grabowski, R.2    Pasurka, C.3    Rangan, N.4
  • 3
    • 0030702360 scopus 로고    scopus 로고
    • Commercial bank net interest margins, default risk, interest-rate risk, and off-balance sheet banking
    • Angbazo, L. (1997). Commercial bank net interest margins, default risk, interest-rate risk, and off-balance sheet banking. Journal of Banking and Finance, 21(1), 55-87.
    • (1997) Journal of Banking and Finance , vol.21 , Issue.1 , pp. 55-87
    • Angbazo, L.1
  • 4
    • 0034399176 scopus 로고    scopus 로고
    • Are banks risk averse? Intraday timing of operations in the interbank market
    • Angelini, P. (2000). Are banks risk averse? Intraday timing of operations in the interbank market. Journal of Money, Credit, and Banking, 32(1), 54-73.
    • (2000) Journal of Money, Credit, and Banking , vol.32 , Issue.1 , pp. 54-73
    • Angelini, P.1
  • 5
    • 34548056288 scopus 로고    scopus 로고
    • Technical Working Paper 253, National Bureau of Economic Research
    • Attanasio, O. P., & Low, H. (2000). Estimating Euler equations. Technical Working Paper 253, National Bureau of Economic Research.
    • (2000) Estimating Euler equations
    • Attanasio, O.P.1    Low, H.2
  • 6
    • 0001114148 scopus 로고
    • Nonmonetary effects of the financial crisis in the propagation of the Great Depression
    • Bernanke, B. S. (1983). Nonmonetary effects of the financial crisis in the propagation of the Great Depression. American Economic Review, 73(3), 257-276.
    • (1983) American Economic Review , vol.73 , Issue.3 , pp. 257-276
    • Bernanke, B.S.1
  • 7
    • 1642275039 scopus 로고    scopus 로고
    • Option-implied risk aversion estimates
    • Bliss, R. R., & Panigirtzoglou, N. (2004). Option-implied risk aversion estimates. Journal of Finance, 59(1), 407-446.
    • (2004) Journal of Finance , vol.59 , Issue.1 , pp. 407-446
    • Bliss, R.R.1    Panigirtzoglou, N.2
  • 8
    • 77956771554 scopus 로고    scopus 로고
    • Asset prices, consumption, and the business cycle
    • J. B. Taylor, & M. Woodford Eds, Amsterdam: North-Holland
    • Campbell, J. Y. (1999). Asset prices, consumption, and the business cycle. In J. B. Taylor, & M. Woodford (Eds.), Handbook of Macroeconomics IC (pp.1231-1303). Amsterdam: North-Holland.
    • (1999) Handbook of Macroeconomics IC , pp. 1231-1303
    • Campbell, J.Y.1
  • 9
    • 0033209128 scopus 로고    scopus 로고
    • What caused the Asian currency and financial crisis?
    • Corsetti, G., Pesenti, P., & Roubini, N. (1999). What caused the Asian currency and financial crisis? Japan and the World Economy, 11(3), 305-373.
    • (1999) Japan and the World Economy , vol.11 , Issue.3 , pp. 305-373
    • Corsetti, G.1    Pesenti, P.2    Roubini, N.3
  • 11
    • 0000017330 scopus 로고
    • Managerial objectives in regulated industries: Expense-preference behavior in banking
    • Edwards, F. R. (1977). Managerial objectives in regulated industries: Expense-preference behavior in banking. Journal of Political Economy, 85(1), 147-162.
    • (1977) Journal of Political Economy , vol.85 , Issue.1 , pp. 147-162
    • Edwards, F.R.1
  • 12
    • 0040970322 scopus 로고    scopus 로고
    • Individual risk in an investment-based social security system
    • Feldstein, M., & Ranguelova, E. (2001). Individual risk in an investment-based social security system. American Economic Review, 91(4), 1116-1125.
    • (2001) American Economic Review , vol.91 , Issue.4 , pp. 1116-1125
    • Feldstein, M.1    Ranguelova, E.2
  • 14
    • 48549107960 scopus 로고
    • Scale and scope economies in the multi-product banking firm
    • Gilligan, T., Smirlock, M., & Marshall, W. (1984). Scale and scope economies in the multi-product banking firm. Journal of Monetary Economics, 13(3), 393-405.
    • (1984) Journal of Monetary Economics , vol.13 , Issue.3 , pp. 393-405
    • Gilligan, T.1    Smirlock, M.2    Marshall, W.3
  • 15
  • 16
    • 0000425569 scopus 로고
    • The rigidity of prices: Evidence from the banking industry
    • Hannan, T. H., & Berger, A. N. (1991). The rigidity of prices: Evidence from the banking industry. American Economic Review, 81(4), 938-945.
    • (1991) American Economic Review , vol.81 , Issue.4 , pp. 938-945
    • Hannan, T.H.1    Berger, A.N.2
  • 17
    • 85017108575 scopus 로고
    • Generalized instrumental variables estimation of nonlinear rational expectations models
    • Hansen, L. P., & Singleton, K. J. (1982). Generalized instrumental variables estimation of nonlinear rational expectations models. Econometrica, 50(5), 1269-1286.
    • (1982) Econometrica , vol.50 , Issue.5 , pp. 1269-1286
    • Hansen, L.P.1    Singleton, K.J.2
  • 18
    • 40849105983 scopus 로고
    • Stochastic consumption, risk aversion, and the temporal behavior of asset returns
    • Hansen, L. P., & Singleton, K. J. (1983). Stochastic consumption, risk aversion, and the temporal behavior of asset returns. Journal of Political Economy, 91(2), 249-265.
    • (1983) Journal of Political Economy , vol.91 , Issue.2 , pp. 249-265
    • Hansen, L.P.1    Singleton, K.J.2
  • 19
    • 0038854653 scopus 로고
    • Errata: Generalized instrumental variables estimation of nonlinear rational expectations models
    • Hansen, L. P., & Singleton, K. J. (1984). Errata: Generalized instrumental variables estimation of nonlinear rational expectations models. Econometrica, 52(1), 267-268.
    • (1984) Econometrica , vol.52 , Issue.1 , pp. 267-268
    • Hansen, L.P.1    Singleton, K.J.2
  • 20
    • 84934563125 scopus 로고
    • Implications of security market data for models of dynamic economies
    • Hansen, L. P., & Jagannathan, R. (1991). Implications of security market data for models of dynamic economies. Journal of Political Economy, 99(2), 225-262.
    • (1991) Journal of Political Economy , vol.99 , Issue.2 , pp. 225-262
    • Hansen, L.P.1    Jagannathan, R.2
  • 21
    • 84974346351 scopus 로고
    • The determinants of bank interest margins: Theory and empirical evidence
    • Ho, T. S. Y., & Saunders, A. (1981). The determinants of bank interest margins: Theory and empirical evidence. Journal of Financial and Quantitative Analysis, 16(4), 581-600.
    • (1981) Journal of Financial and Quantitative Analysis , vol.16 , Issue.4 , pp. 581-600
    • Ho, T.S.Y.1    Saunders, A.2
  • 22
    • 0041375054 scopus 로고    scopus 로고
    • The Japanese banking crisis: Where did it come from and how will it end?
    • B. S. Bernanke, & J. J. Rotemberg Eds, Cambridge, MA: MIT Press
    • Hoshi, T., & Kashyap, A. (2000). The Japanese banking crisis: Where did it come from and how will it end? In B. S. Bernanke, & J. J. Rotemberg (Eds.), NBER Macroeconomics Annual 1999 (pp. 129-201). Cambridge, MA: MIT Press.
    • (2000) NBER Macroeconomics Annual 1999 , pp. 129-201
    • Hoshi, T.1    Kashyap, A.2
  • 24
    • 0002818864 scopus 로고
    • Costs and scale economies in bank intermediation
    • R. C. Aspinwall, & R. A. Eisenbeis Eds, New York: Wiley
    • Humphrey, D. B. (1985). Costs and scale economies in bank intermediation. In R. C. Aspinwall, & R. A. Eisenbeis (Eds.), Handbook for Banking Strategy (pp.745-783). New York: Wiley.
    • (1985) Handbook for Banking Strategy , pp. 745-783
    • Humphrey, D.B.1
  • 26
    • 0034381629 scopus 로고    scopus 로고
    • Recovering risk aversion from option prices and realized returns
    • Jackwerth, J. C. (2000). Recovering risk aversion from option prices and realized returns. Review of Financial Studies, 13(2), 433-451.
    • (2000) Review of Financial Studies , vol.13 , Issue.2 , pp. 433-451
    • Jackwerth, J.C.1
  • 27
    • 44649197264 scopus 로고
    • Theory of the firm: Managerial behavior, agency costs and ownership structure
    • Jensen, M. C., & Meckling, W H. (1976). Theory of the firm: Managerial behavior, agency costs and ownership structure. Journal of Financial Economics, 3(4), 305-360.
    • (1976) Journal of Financial Economics , vol.3 , Issue.4 , pp. 305-360
    • Jensen, M.C.1    Meckling, W.H.2
  • 31
    • 0009047748 scopus 로고
    • Deposit, credit, and interest rate determination under alternative bank objective functions
    • G. P. Szegö & K. Shell Eds, Amsterdam: North-Holland
    • Monti, M. (1972). Deposit, credit, and interest rate determination under alternative bank objective functions. In G. P. Szegö & K. Shell (Eds.), Mathematical Methods in Investment and Finance (pp. 431-454). Amsterdam: North-Holland.
    • (1972) Mathematical Methods in Investment and Finance , pp. 431-454
    • Monti, M.1
  • 32
    • 0000706085 scopus 로고
    • A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey, W. K., & West, K. D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55(3), 703-708.
    • (1987) Econometrica , vol.55 , Issue.3 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 33
    • 34548102830 scopus 로고    scopus 로고
    • Are banks risk-averse?
    • forthcoming
    • Nishiyama, Y. (2007). Are banks risk-averse? Eastern Economic. Journal, 33(3) (forthcoming).
    • (2007) Eastern Economic. Journal , vol.33 , Issue.3
    • Nishiyama, Y.1
  • 36
    • 34548091715 scopus 로고    scopus 로고
    • Peek, J., & Rosengren, E. S. (1998). Japanese banking problems: Implications for Southeast Asia. Prepared for the Second Annual Conference of the Central Bank of Chile, Banking, Financial Integration, and Macroeconomic Stability, held in Santiago, Chile, September 3-4, 1998.
    • Peek, J., & Rosengren, E. S. (1998). Japanese banking problems: Implications for Southeast Asia. Prepared for the Second Annual Conference of the Central Bank of Chile, "Banking, Financial Integration, and Macroeconomic Stability," held in Santiago, Chile, September 3-4, 1998.
  • 37
    • 84993636062 scopus 로고
    • On the theory of financial intermediation
    • Pyle, D. H. (1971). On the theory of financial intermediation. Journal of Finance, 26(3), 737-747.
    • (1971) Journal of Finance , vol.26 , Issue.3 , pp. 737-747
    • Pyle, D.H.1
  • 38
    • 0040908062 scopus 로고
    • Bank attitude toward risk, implicit rates of interest, and the behavior of an index of risk aversion for commercial banks
    • Ratti, R. A. (1980). Bank attitude toward risk, implicit rates of interest, and the behavior of an index of risk aversion for commercial banks. Quarterly Journal of Economics, 95(2), 309-331.
    • (1980) Quarterly Journal of Economics , vol.95 , Issue.2 , pp. 309-331
    • Ratti, R.A.1
  • 39
    • 0001727688 scopus 로고
    • Identification in parametric models
    • Rothenberg, T. J. (1971). Identification in parametric models. Econometrica, 39(3), 577-591.
    • (1971) Econometrica , vol.39 , Issue.3 , pp. 577-591
    • Rothenberg, T.J.1
  • 40
    • 34548093391 scopus 로고    scopus 로고
    • What drives investor risk aversion? Daily evidence from the German equity market
    • Bank for International Settlements
    • Scheicher, M. (2003). What drives investor risk aversion? Daily evidence from the German equity market. BIS Quarterly Review, Bank for International Settlements, 67-74.
    • (2003) BIS Quarterly Review , pp. 67-74
    • Scheicher, M.1
  • 41
    • 84977341585 scopus 로고
    • Deposit rate-setting, risk aversion, and the theory of depository financial intermediaries
    • Sealey, C. W., Jr. (1980). Deposit rate-setting, risk aversion, and the theory of depository financial intermediaries. Journal of Finance, 35(5), 1139-1154.
    • (1980) Journal of Finance , vol.35 , Issue.5 , pp. 1139-1154
    • Sealey Jr., C.W.1
  • 43
    • 34548077682 scopus 로고    scopus 로고
    • Tarashev, N., Tsatsaronis, K., & Karampatos, D. (2003). Investors' attitude towards risk: What can we learn from options? BIS Quarterly Review, Bank for International Settlements, 57-65.
    • Tarashev, N., Tsatsaronis, K., & Karampatos, D. (2003). Investors' attitude towards risk: What can we learn from options? BIS Quarterly Review, Bank for International Settlements, 57-65.
  • 44
    • 34548107469 scopus 로고    scopus 로고
    • Tatewaki, K. (1991). Banking and Finance, in Japan: An Introduction to the Tokyo Market. London: Routledge.
    • Tatewaki, K. (1991). Banking and Finance, in Japan: An Introduction to the Tokyo Market. London: Routledge.
  • 45
    • 0000095552 scopus 로고
    • A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
    • White, H. (1980). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica, 48(4), 817-838.
    • (1980) Econometrica , vol.48 , Issue.4 , pp. 817-838
    • White, H.1
  • 46
    • 0031068511 scopus 로고    scopus 로고
    • On the determinants of bank interest margins under credit and interest rate risks
    • Wong, K. P. (1997). On the determinants of bank interest margins under credit and interest rate risks. Journal of Banking and Finance, 21(2), 251-271.
    • (1997) Journal of Banking and Finance , vol.21 , Issue.2 , pp. 251-271
    • Wong, K.P.1
  • 47
    • 38249024317 scopus 로고
    • Bank spread with uncertain deposit level and risk aversion
    • Zarruk, E. R. (1989). Bank spread with uncertain deposit level and risk aversion. Journal of Banking and Finance, 13(6), 797-810.
    • (1989) Journal of Banking and Finance , vol.13 , Issue.6 , pp. 797-810
    • Zarruk, E.R.1
  • 48
    • 0001963668 scopus 로고
    • Optimal bank interest margin under capital regulation and deposit insurance
    • Zarruk, E. R., & Madura, J. (1992). Optimal bank interest margin under capital regulation and deposit insurance. Journal of Financial and Quantitative Analysis, 27(1), 143-149.
    • (1992) Journal of Financial and Quantitative Analysis , vol.27 , Issue.1 , pp. 143-149
    • Zarruk, E.R.1    Madura, J.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.