... PAPERS MT-DP – 2006/15 Central Bank Interventions, Communication andInterestRate Policy in Emerging European Economies BALÁZS ÉGERT INSTITUTE OF ECONOMICS, HUNGARIAN ACADEMY ... p-valuesPRE- AND POST-EVENT WINDOWW12510152030405060Hungary2/5 DAYSwind0.8930.3300.9380.9630.8650.5000.750smooth0.9781.0000.9900.9060.8650.8540.04510 DAYSwind0.9290.2500.9620.9340.9060.5000.750smooth0.8561.0000.9130.9340.6070.8540.04520 ... p-valuesPRE- AND POST-EVENT WINDOWEVENTW12510152030405060Hungary2/5 DAYSwind0.9610.8280.9130.9780.9230.5000.750smooth0.9921.0000.9920.9780.9690.9420.04510 DAYSwind0.9750.7800.9420.9620.9460.5000.750smooth0.9471.0000.9420.9850.8790.9420.04520...
... specific interestrate on a predetermined principal for a set period of time. Interest rate cap OTC option that pays the difference between a floating interestrateand the cap rate. Interest ... Interest rate floor OTC option that pays the difference between the floor rateand a floating interest rate. Interest rate collar Combination of cap and floor. Interest rate corridor ... interest rate. Interest rate swaption OTC option to enter into an interestrate swap contract, purchasing the right to pay or receive a certain fixed rate. Interest rate warrant OTC...
... banking sector, cannot be discounted.A. Interest Rate and Business InvestmentThe first step in examining how higher interest rates may influencebusiness investment decisions and ... reforming public enterprises, and economy's financial sector. They analyze the streamlining public investment. But the in- role that interestrate policy could play in creases ininterest rates ... FINANCIAL SECTOR IN EGYPT .5IV. THE ROLE OF INTEREST RATES IN STAB:LIZATION AND ADJUSTMENT 10A. INTEREST RATES AND CURRENCY SUBSTITUTION 11DECOMPOSITION OF FINANCIAL...
... 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 ... model of financial intermediation. In that model, Diamond argues that interest- rate derivatives allow commercial banks to lessen their systematic exposure to changes ininterest rates. In addition, ... reported using interest- rate options, and 8.61 percent reported using FRAs. Only 3.28 percent of the sample banks reported using interest- rate futures. Finally, over-the-counter dealers and subsidiaries...
... capitalization and bank interestrate setting may be not linear. For example, using banking data from 1984 to 1993, Calem and Rob (1999) find a U-shaped relationship between equity capital and risk-taking. ... dotted line indicates Lehman’s default. 4 Since bank interest rates could be sluggish in adjusting, we analyze the interest rates on overdraft loans that are modified unilaterally and at ... testing the role of lending relationships in bank interestrate setting. The data come from four sources: i) the Credit Register (CR) maintained by the Bank of Italy, containing detailed information...
... level, real income, and thenominal interest rate. In ation andIn ationary ExpectationsDuring the 1950s and 1960s, the simple IS model proved inappropriate forthinking about sustained in ation, ... short-term relationship between in ation (output) andinterest rate shocks was random in magnitude and sign.Combining the Cases: Limits on Pure InterestRate RulesThus, depending on what one admits ... RulesThere are striking implications of this modification for the nature of output and interestrate linkages or, equivalently, in ation andinterestrate linkages.Combining the expectational...
... The interest- rate calibration and the credit market calibration are separate, which canbe helpful in splitting competence. We discussed numerically the impact of interest- rate and default-intensity ... to introducedependence between interest rates and default by means of a stochastic intensity thatwill be correlated with the short rate. 2.1 Pricing and calibrating CDS with deterministic intensitymodelsConsider ... caps for the interestrate market and options on CDS’s in thecredit market. The calibrations to the interest- rate market and to the creditmarket can be kept separate, thus realizing a superposition...
... this drop ininterest rates. Since interest rates cannot continue to drop indefinitely, there is much interestin the question: What would happento the balance sheets of banks if interest rates go ... a rise ininterest rates uponbanks in India. In this paper, we measure the interestrate risk of a sample of major banks in India, using two methodologies. The first consists of estimating the ... banks in India in the event of an increase ininterest rates. I am confident that it will help the shareholders and managers of banks, board members, supervisors and policy makers in thinking...
... measuresNet interest margin (TA) Net interest income (interest income less interest expense) divided by total assets(percentage).Net interest margin (IEA) Net interest income divided by interest- earning ... (percentage).Net interest spread Interest income divided by interest- earning assets less interest expense divided by interest- bearing liabilities (percentage).Net interest spread (non-banks) Interest income ... of net interest income. Consequently, the effectsof structural change and the banking sectors’ reactions cannot be stricly separated in explainingtrends in net interest margins and banking profits.3.2...
... in its financial position as interest rates move over time. ADIs, and regulators, typically split interest rate risk into two components: traded interestrate risk and non-traded interestrate ... interestrate risk arising from taking trading positions ininterestrate markets (ie the interestrate risk inherent in an ADI’s ‘trading book’)3. ADIs are not required to hold capital against interest ... impact of interestrate moves on earnings, a significant component of which is net interest income − the difference between interest receipts and payments. Interestrate changes also affect interest- rate...
... decrease ininterest rates, and this means that the bank will lose money in the cash market if rates decline. By selling interestrate forwards, futures or by engaging in an interestrate swap in ... decreases ininterest rates (Sinkey 2002). Interest rate swaps can thus reduce interestrate risk either by converting a fixed -rate in- come stream to a variable -rate stream or by converting a variable -rate ... buying interestrate futures or forwards or by engaging in an interestrate swap in which the LRBA bank pays fixed and receives floating rate, positive cash flows are generated by the particular in- terest...
... Solomon Islands, “Understanding the InterestRate Spread in Solomon Islands,” Focus Report, 2007. Chirwa, Ephraim and Montfort Mlachila, FinancialReformsandInterestRate Spreads in the Commercial ... non -interest income and interest rate spreads suggests that increases in fee-based activities have been compensating for increasing inefficiency. These two issues point to the need for increased ... non-performing loans in Kenya, which in turn pushed up lending rates and increased net interest margins (Ngugi 2001). Macro-economic factors such as inflation, GDP growth, interest rates on...
... of interest rates.Banco de Portugal | Financial Stability Report 2005Parte II | Articles128The legal framework covering interestrate risk in the banking book in Portugal is defined in Instructionno. ... interestrate risk that takes into consideration the changes in all financial flows related directly or indirectly to intermediation stemming from changes in market inter-est rates, including ... review, and for most of them, the impact of an increase in the interest rates will be positive in terms of interest rate risk, both on a net worth level andin terms of the interest margin. Therefore,...