The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
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Search results: 10.
Fixed Versus Variable Rate Loans
Published: 12/01/1983 | DOI: 10.1111/j.1540-6261.1983.tb03829.x
ANTHONY M. SANTOMERO
This paper discusses the nature of fixed and variable loan contracts and derives the conditions which determine the optimal quantity of each. The results indicate that the payoff functions are quite different and dependent upon the project financed. The appropriate conditions for the allocation of loan terms to a set of borrowers are then developed. Finally, the analysis derives the optimal portfolio frontier and risk‐return trade‐off for the banking firm. Here, it is demonstrated that the solution is unlikely to be at a point of zero interest rate risk.
Controlling Monetary Aggregates: The Discount Window
Published: 06/01/1983 | DOI: 10.1111/j.1540-6261.1983.tb02504.x
ANTHONY M. SANTOMERO
This paper argues that current discount window policy, coupled with non‐borrowed reserve targeting of the Federal Reserve, makes the quantity of high‐powered money endogenous. Examination of the advisability of this procedure in a stochastic environment is conducted using a general equilibrium financial model. It is concluded that the current policy reduces the destabilizing effects of shifts between various depository financial assets, but increases the effect of other asset portfolio shifts and aggregate supply disturbances. These results are consistent with the work of Poole inasmuch as the current debate over discount policy is a repackaging of the debate over interest rate or aggregates control for monetary policy.
A MODEL OF THE DEMAND FOR MONEY BY HOUSEHOLDS
Published: 03/01/1974 | DOI: 10.1111/j.1540-6261.1974.tb00026.x
Anthony M. Santomero
Risk in Banking and Capital Regulation
Published: 12/01/1988 | DOI: 10.1111/j.1540-6261.1988.tb03966.x
DAESIK KIM, ANTHONY M. SANTOMERO
This paper investigates the role of bank capital regulation in risk control. It is known that banks choose portfolios of higher risk because of inefficiently priced deposit insurance. Bank capital regulation is a way to redress this bias toward risk. Utilizing the mean‐variance model, the following results are shown: (a) the use of simple capital ratios in regulation is an ineffective means to bound the insolvency risk of banks; (b) as a solution to problems of the capital ratio regulation, the “theoretically correct” risk weights under the risk‐based capital plan are explicitly derived; and (c) the “theoretically correct” risk weights are restrictions on asset composition, which alters the optimal portfolio choice of banking firms.