The Impact of Liquidity Constraints on Bank Lending Policy
โ Scribed by David C. Webb
- Book ID
- 108557257
- Publisher
- John Wiley and Sons
- Year
- 2000
- Tongue
- English
- Weight
- 255 KB
- Volume
- 110
- Category
- Article
- ISSN
- 0013-0133
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract This article assumes that because of liquidity constraints, a hedge program will be terminated if the cumulative loss from a futures position exceeds a certain threshold. The constraint leads to a smaller futures position. If the hedger has a quadratic utility function, then the optimal
This study illustrates the impact of both spot and option liquidity levels on option prices. Using implied volatility to measure the option price structure, our empirical results reveal that even after controlling for the systematic risk of Duan and Wei ( 2009), a clear link remains between option p