Tài liệu Bank heterogeneity and interest rate setting: What lessons have we learned since Lehman Brothers? pdf
Tài liệu Bank heterogeneity and interest rate setting: What lessons have we learned since Lehman Brothers? pdf
... 3, where we replace the Herfindahl index with BIS Working Papers No 359 Bank heterogeneity and interest rate setting: What lessons have we learned since Lehman Brothers? ... (2011) we compute the spread between the interest rate on time deposits and the repo rates on corresponding maturities. Then we compute an average interbank deposit rate by weighting each rate ... between market and banking rates is the ratio between deposits and total funding (RETAIL), including deposits, bonds and interbank borrowing. Banks which use relatively more bonds and interbank...
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Tài liệu BANK LENDING AND INTEREST- RATE DERIVATIVES pdf
... derivative market. A bank s net interest margin enters into the equation because banks can use derivatives to lock-in the spread between interest income and interest expense. Since derivative ... of derivative instruments, in particular interest- rate options, interest- rate futures, and interest- rate forwards, is associated with higher growth rates in C&I loans. 5. Robustness Check ... banks and growth in their commercial and industrial loan portfolios. More specifically, we find that aggregate use of derivative instruments, in particular interest- rate options, interest- rate...
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Tài liệu Banks’ exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure pptx
... earnings and balance composition, and the banks’ application of derivatives have a significant impacton their exposure to interest rate risk. In this paper, however, we are not interested inthe banks’ ... notificationrequirement, banks have to calculate at regular intervals how much the present value oftheir banking book goes down owing to this standardized interest rate shock. Currently,the standardized interest rate ... Equation (13)). We give the results forthe median bank and we break down the results into banking groups and years.Over the whole period 2005-2009 and over all banking groups, the median bank earned26.3...
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Tài liệu Bank Consolidation and Consumer Loan Interest Rates pdf
... currentTreasury security rate and the bank s loan rate for the previous week, rt –rl,t-1. This variablecaptures the potential disequilibrium between the market rate and the bank s loan rate. Anincrease ... loan rate. 10 To control for possible bank- specific and market effects, we include proxies for the rate of change in the bank s total assets, ∆LnAssets, and for the rate of change in the bank s ... that larger banks arequicker to adjust rates in response to changes in Treasury rates but slower to adjust rates based onthe spread between Treasuries and loan rates. Columns 1 and 4 further...
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Tài liệu Bank mergers and the dynamics of deposit interest rates doc
... multimarket banking is closely related to that strand which concentrates on the interaction between bank size and the way banks compete. In a seminal paper, Stein (2002) argues that large and small banks ... Master File of Bank Mergers and Acquisitions. For each bank we construct a list of its six most recent mergers. We match this data with Bankrate Monitor’s deposit rates of 624 US banks operating ... keep the bank- market as the observation unit. By doing this, we can control for both bank and local market characteristics in the analysis. Bankrate Monitor’s deposit rate data have weekly frequency....
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Tài liệu Housing Bubbles and Interest Rates by Christian Hott and Terhi Jokipii doc
... Ireland, Spain, Switzer-land and the US) have interest rates that have, on average, been lower than Taylor-implied rates over the sample period. In Finland, interest rates remained relativelylow ... the early 1980s and similarly to Fin-land, have remained consistently too low since 1999. In Switzerland and the US, rateswere generally too low in the late 1980s and early 1990s and again from ... 1990s.However, compared to IE and ES, the deviations from the Taylor implied interest rateswere rather moderate. Pairwise correlations of interest rate deviations are, on average,positive and significant...
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Tài liệu Interest Rate Setting by the ECB, 1999–2006: Words and Deeds ∗ doc
... level of the interest rate and the change in the interest rate are significant.Rather than commenting on the regressions individually, in the interest of brevity we summarize the most interesting ... between the indicator and sentiment orexpected GDP growth (the correlation is 0.79 in the first case and 0.82 in the second case), and a somewhat lower correlation, 0.67,between the indicator and ... growth and money growth raise, and faster exchange rate appreciation reduces,the probability of an interest rate increase, given the level of interest rates last month. Furthermore, and as already...
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Tài liệu Bank Credit - A Study of the Principles and Factors Underlying Advances Made by Banks to Borrowers docx
... deposit liabilitiesof bankers' banks may constitute legal reserve for com-mercial banks; and the lower the cash-deposits ratio ofthe bankers' banks (and the lower, also, their ratio ... Federal Reserve banks would have ap-proximately two and a half times as much credit sup-porting power as a dollar in the vaults of the memberbanks would have if the bankers' banks were non-existent.In ... Nature of Bankers' Banks What the ordinary commercial bank does for itscustomers a bankers' bank does for banks. An indi-vidual bank economizes, mobilizes, and makes flexiblein amount...
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Tài liệu The importance of interest rates for forecasting the exchange rate doc
... for the annual interest rate, we therefore need to multiply the quarterly interest rate by four. Hence, if we had used an annual interest rate, the coefficient for the interest rate difference ... a weaker exchange rate, while an interest rate increase may have prevented the exchange rate from falling even further (see Norges Bank 2000, p. 16.). In the long run however, the exchange rate ... interest rate will cause the exchange rate to depreciate in the short run, and a higher foreign price and interest rate will imply an appreciation of the exchange rate. Historically, Norges Bank...
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