Working pAper series no 1041/ A pril 2009: An economic cApitAl model integrAting credit And interest rAte risk in the bAnking book doc
Working pAper series no 1041/ A pril 2009: An economic cApitAl model integrAting credit And interest rAte risk in the bAnking book doc
... Alessandri and Mathias Drehmann An economic cApitAl model integrAting credit And interest rAte risk in the bAnking book Working pAper series no 1041 / April 200919ECB Working Paper Series No 1041April ... of an integrated risk management framework, standard interest rate risk analysis used at banks and for regulatory purposes has another important drawback: implicitly, these methods assume that ... from the discussant and participants at the conference on the Interaction of Market and Credit Risk jointly hosted by the Basel Committee, the Bundesbank and the Journal of Banking and Finance.2...
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WORKING PAPER SERIES NO. 527 / SEPTEMBER 2005: BANKING SYSTEM STABILITY A CROSS-ATLANTIC PERSPECTIVE pptx
... Draisma et al. (2001), Peng (1999), and Beirlandt and Vandewalle (2002).14Minimizing the asymptotic mean-squared error for the Hill estimator by bal-ancing bias and variance renders a nonlinear ... 4 banks from Italy, 3 ban ks from Sp ain, 2 bankseach from the Netherlands and from Belgium and one bank from Fin-land, G reece, Irelan d and Portugal, respectiv ely. Appendix B contains the ... measured mainly by assets and deposits) and , seco nd, their involvem ent in interbank lendin g (as mea-sured b y interbank loans, am ou nts d ue to and d ue from other ban ks and total money market...
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WORKING PAPER SERIES NO 898 / MAY 2008: CENTRAL BANK COMMUNICATION AND MONETARY POLICY A SURVEY OF THEORY AND EVIDENCE doc
... CoMMuniCation and Monetary PoliCy a Survey of theory and evidenCeby Alan S. Blinder, Michael Ehrmann, Marcel Fratzscher, Jakob De Haan and David-Jan Jansen19ECB Working Paper Series No 898May ... Michelle Garfinkel and Seonghwan Oh (1995), Faust and Svensson (2001), and Henrik Jensen (2002). 16ECB Working Paper Series No 898May 2008banks, and on the other hand, it serves as a coordination ... underlying reasoning, and (at times) some forward guidance. The Bank of England’s press statement announces the decision, but normally provides an explanation only when interest rates are changed...
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Working PaPer SerieS no 1075 / July 2009: Bank riSk anD MoneTary PoliCy ppt
... largest in the Netherlands, Finland and Belgium and smallest in Austria, Germany and Italy. The averages of individual bank characteristics differ across countries in terms of capital, loan-loss ... BankSscope, a commercial database maintained by International Bank Credit Analysis Ltd. (IBCA) and the Brussels-based Bureau van Dijk. In particular, we consider balance sheet and income statement ... crucial in determining how banks can access capital or issue new bonds. Using a large sample of European banks, we find that bank risk plays an important role in determining banks’ loan supply and...
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Working Paper Series no 1096 / September 2009: The determinants of Bank capital structure potx
... results in Rajan and Zingales (1995), Frank and Goyal (2004) and the sample of the largest non-financial firms. Regressing book leverage on the standard corporate finance determinants of capital ... sheet and may indeed exhibit the stability that we document in this paper. The managerial preference approach (Bertrand and Schoar, 2003; Frank and Goyal, 2007) and the explanations based on the ... Morgan and Stiroh, 2001, Martinez Peria and Schmuckler, 2001, Calomiris and Wilson, 2004, Ashcraft, 2008, and Flannery and Rangan, 2008). Regulatory intervention may then be non-binding and...
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Working PaPer SerieS no 1150 / January 2010: Do bank loanS anD creDit StanDarDS have an effect on outPut? a Panel aPProach for the euro area doc
... countries included in the analysis are: Austria, Belgium, Finland,France, Germany, Greece, Ireland, Italy, the Netherlands, Portugal and Spain.14Dataare observed at quarterly frequency and cover the ... 2008.18ECB Working Paper Series No 1150January 2010 Working PaPer SerieS no 1150 / January 2010Do bank loanS anD creDit StanDarDS have an effect on outPut? a Panel aPProach for the euro areaby Lorenzo ... growth and changes in credit standards, on the other hand.Results, which are reported in Table 3, panels A and B, suggest a signi…cant and positive contemporaneous relation between GDP changes an...
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Working PaPer SerieS no 1272 / DeCeMBer 2010: THe iMPaCT of PuBliC guaranTeeS on Bank riSk Taking eviDenCe froM a naTural exPeriMenT pptx
... (“Landesbank”) and each federal state bank is a liated with a state (“Bundesland”) or group of states. The a liated savings banks own each a part of their federal state bank. The federal statebanks ... banks, rather than to an individual savings bank. In addition to the detailed borrower/bank matched data set, we also use a banklevel data set that includes the savings banks and as a control ... more than 50% share of total loan volumes from savingsbanks.12 Interest rate spread is then calculated as the difference between the savingsbanks loan interest rate and the risk- free rate. We...
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WORKING PAPER SERIES NO. 546 / NOVEMBER 2005: THE NATURAL REAL INTEREST RATE AND THE OUTPUT GAP IN THE EURO AREA A JOINT ESTIMATION doc
... between the actual real in terest rate and the real interest rate gap are high an d their standard deviations are roughly identical. In other w or ds, the variation in the real inte rest rate is not ... y∗t, the output gap ˜yt, the actual and the natural real rate an d the real rate gap (rt,r∗t and ˜rt) and i nflation πt. A notable featureof the reported statistics is that the correlation ... estimates also indicate that the lev el of the natural real in terest r ate is lower in the euro area, and in particular in Germany,than in the US .It is i mportant to stress that all estimates of the...
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WORKING PAPER SERIES NO. 548 / NOVEMBER 2005: THE LINK BETWEEN INTEREST RATES AND EXCHANGE RATES DO CONTRACTIONARY DEPRECIATIONS MAKE A DIFFERENCE? doc
... their same study, Australia is classi…ed as freely‡oating since December 1983 and as having a managed ‡oat since 1974, and New Zealand is de…ned as having a managed ‡oat since 1985 and a de factomoving ... of individual variablessuch as exchange rates and interest rates in EMEs against the benchmark ofsmall open advanced economies. These s tudies normally …nd that in thoseEMEs that have abandoned ... "Dt and "ft, and that it observes the nominal interest and exchangerates. I also assume that there is full information, in the sense that the centralbank, p roducers and foreign exchange...
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WORKING PAPER SERIES NO. 580 / JANUARY 2006: BANK INTEREST RATE PASS-THROUGH IN THE EURO AREA A CROSS COUNTRY COMPARISON ppt
... slow adjustment of interest rates on mortgage loans in Spain, as well as in Ireland, Austria, Portugal and Finland is that the NRIR rates in these countries predominantly were floating rate loans. ... European banking market is particularly inefficient. Quite the contrary is implied by cointegration of the bank interest rates and the corresponding market rates. Indeed, bank interest rates react ... as loans and deposits) and non-bank (capital market-based) products. That is, bank products may to an increasing extent be priced against market rates of comparable characteristics (e.g. maturity)....
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