Optimal Futures Positions for Large Banking Firms
扩展了银行对冲模型，同时考虑存款供给和贷款需求的不确定性，发现最优期货头寸是三个比率的和，并用银行数据估计了放松管制前后的最优对冲比率，结果表明以往研究高估了银行应持有的空头期货头寸规模和对冲比率的同质性。
ABSTRACT In this paper, we extend earlier work on hedging models so that uncertainty about both deposit supply and loan demand is incorporated as well as random rates of return on loans and CD's. Our model suggests that the optimal forward position is the sum of three ratios that should be estimated simultaneously. Using bank‐specific data, the optimal hedge ratios are estimated in both the pre‐deregulation and deregulation subperiods. Our results show that previous studies of bank hedging with interest rate futures have greatly overstated (a) the volume of short futures positions that banks should take and (b) the degree of homogeneity of optimal hedge ratios across the banking system. Similarly, deregulation has not uniformly affected the interest rate risk borne by different institutions.