The Analysis of Yields of Regional Financial Institutions against the Benchmark Based on Sharpe Ratios

17 Pages Posted: 2 Dec 2012

See all articles by Shohei Ishibashi

Shohei Ishibashi

affiliation not provided to SSRN; affiliation not provided to SSRN

Date Written: November 30, 2012

Abstract

Owing to persistent deflation and low and stable long-term interest rates, the average loan-to-deposit ratio of Japanese financial institutions has declined, while the average JGB-holding ratio of them has increased gradually over the past decade. To analyze the attitude of regional financial institutions in Japan as risk-takers, firstly, we estimated the benchmark portfolio consists of loans and JGBs which maximize its Sharpe ratio after the collapse of the bubble economy. Secondly, we calculate the logarithmic values of the variances of actual yields on the interest earning assets of them from FY 2001 to FY 2010. Thirdly, we conduct an empirical analysis to know what attributes of them have much effect on the logarithmic values of variances. It means that we analyze what regional financial institutions tried to increase their loans at their own discretion.

Keywords: Regional Financial Institutions, Sharpe Ratio, Rules versus Discretions

JEL Classification: G21, G23

Suggested Citation

Ishibashi, Shohei and Ishibashi, Shohei, The Analysis of Yields of Regional Financial Institutions against the Benchmark Based on Sharpe Ratios (November 30, 2012). Proceedings of World Business and Economics Research Conference 2012, 10-11 December 2012, Rendezvous Hotel, Auckland, New Zealand, Available at SSRN: https://ssrn.com/abstract=2183191 or http://dx.doi.org/10.2139/ssrn.2183191

Shohei Ishibashi (Contact Author)

affiliation not provided to SSRN

No Address Available

affiliation not provided to SSRN

No Address Available

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