Some Regulatory Determinants of Bank Risk Behavior: Comment
评论Mitchell（1986）关于利率上限、准备金率和央行准备金利率对银行风险行为影响的理论分析，证明其均值-标准差分析与预期效用最大化一致，并推广了比较静态结果。
In a recent paper Douglas Mitchell (1986) examines the theoretical effect on bank risk behavior of changes in three variables exogenous to banks: the binding ceiling on the interest rate banks may pay on deposits, the required reserve ratio, and the rate paid by the central bank on required reserves. l Mitchell assumes a model in which banks form portfolios from combinations of one risky and one nskless asset, as well as required reserves, and examines three measures of bank portfolio nsk: the optimal ratio of nsky asset quantity to nskless, nonreserve asset quantity in the portfolio, the optimal ratio of profit standard deviation to proElt mean, and the optimal proportion of bank funds invested in the nsky asset. Comparative static results are denved by Mitchell through the use of a new preference function whose arguments are the mean and standard deviation of the random bank profit. This preference function is flexible enough to admit either decreasing (DARA), constant (CARA), or increasing (IARA) absolute nsk aversion and decreasing (DRRA), constant (CRRA), or increasing (IRRA) relative nsk aversion. The purposes of this comment are the following: first, we show that the meanstandard deviation analysis of Mitchell's bank problem is consistent with NeumannMorgenstern expected utility maximization through the use of results by Jack Meyer (1987); second, we show that all of the comparative static results presented by Mitchell can be generalized to hold for any risk-averse expected utility maximizer, and in one instance, we discuss possibilities for removing some ambiguities in a Mitchell result; third, we show that Mitchell's most important risk measure, the ratio of profit standard deviation to proElt mean, generalizes to have importance not just when profit is normally distributed, as Mitchell states in his paper, but more broadly when profit is a linear transformation of any fixed random variable.