The Optimal Bank Liquidity: A Multi-Period Stochastic Model

Hans G. Daellenbach · Stephen H. Archer

28 citations0/0 files storedJournal of Financial and Quantitative Analysis

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Banking stability, regulation, efficiency Monetary Policy and Economic Impact Economic theories and models

Abstract

The purpose of this paper is to construct a model for the computation of an optimal cash balance for a bank, although it could be adapted to any organization. By a bank we mean to include both commercial banks and savings banks (mutual savings banks and savings and loan associations). One might also be able to adapt the model to an “international bank” such as the United States holdings of gold and foreign exchange.

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1971A Stochastic Cash Balance Model with Two Sources of Short-Term Funds 1975The Stochastic Cash Balance Problem with Average Compensating-Balance Requirements

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