The Effects of Interest-Bearing Required Reserves on Bank Portfolio Riskiness
运用组合理论分析美联储两项政策变量（准备金要求水平和准备金利率）对银行组合风险的影响，模型基于价格接受者假设，使用指数效用函数最大化总利润的期望效用。
This paper uses the portfolio theory approach to bank behavior theory in order to examine the effects of two Fed policy variables on bank portfolio riskiness. The policy variables are (l) the level of the reserve requirement against NOW accounts, and (2) the rate of interest paid by the Fed on bank reserves. This second policy variable is currently zero-valued in nominal terms, but in recent years there has been some discussion of raising it, especially now that interest is paid by banks on checkable accounts. (For an early discussion see Tobin [8].) The model used is based on the models of Parkin [6] and Hart and Jaffee [4]. The bank is viewed as a price-taker and quantity-setter in all markets on both the asset and 1fabiii ty side. As in the Hart-Jaffee model there is no asset or liability whose quantity is exogenously determined. A utility function of total profit (equivalent1y end-of-period wealth), as opposed to a function of the rate of return on equity, is maximized. The specific utility function used is the exponential utility function of Freund [2] and Parkin [6], which exhibits constant absolute risk aversion. This function is convenient for obtaining specific algebraic results because, under a normality assumption, expected utility is linear in the mean and var iance of profi t. The effects of the reserve requirement, and of the rate of interest on reserves, on bank portfolio riskiness are sensitive to the measure of riskiness.