the interest rate margin

Tài liệu IMPACT OF BANK COMPETITION ON THE INTEREST RATE PASS-THROUGH IN THE EURO AREA pptx

... all the bank and market interest rate series used. The IPS test on the null hypothesis of a unit root cannot be rejected at the 5% significance level for either the bank rates or the market rates, ... of bank interest rates to changes in corresponding market interest rates; third, we also test the impact of competition in the loan market on the immediate adjustment of bank interest rates to ... market interest rates. The structure of the paper is as follows. Section 2 discusses the literature on both measuring competition and the bank interest rate pass-through. Section 3 describes the...

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The Interest Rate Conditioning Assumption∗ potx

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... notes:Another problem with the current procedure of the Bank ofEngland is that it is unclear how the MPC is intended to deter-mine the correct current repo rate in the event that the interest- rate ... 2 The Interest Rate Conditioning Assumption 87In order to provide a basis for such inﬂation forecast(s), whichthen forms one of the main inputs into the current interest rate deci-sion, the ... projection, under the assumption that the path of the repo rate after the current month would follow the path anticipated by the markets? This would typically requirean extreme adjustment of the current...

What Was the Interest Rate Then? A Data Study pot

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... complete description of the development of the interest- rate series in What Was the Interest Rate Then? The objective of the project was togenerate interest- rate series for the United States and ... change, daily. There were two call-loan rates, the rate on new loans (the “new rate ) and the rate on renewal of existing loans (the “renewal rate ). The renewal rate was by far the more important. ... better.2. Across Interest Rates The criterion for the selection of the interest- rate series for a given period differsfor the short-term and long-term concepts. For the short-term concepts, the criterion...

Interest Rate Options - A discussion of how investors can help control interest rate exposure and make the most of the interest rate market pdf

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... based upon their views on the direction of interest rates.What are interest rate options? Interest Rate Options are options on the spotyield of U.S. Treasury securities. Available tomeet the investor’s ... lowerforward rate in the far month than in the nearbymonth. If the difference in forward rates is largeenough to offset the time value associated with the longer expiration, then the premium on the longer ... for the option position tobecome profitable.In the following examples, we present a varietyof possible option strategies for different interest rate forecasts. These are only a few of the strategies...

WORKING PAPER NO. 40 FINANCIAL STRUCTURE AND THE INTEREST RATE CHANNEL OF ECB MONETARY POLICY pptx

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Methods of Policy Accommodation at the Interest-Rate Lower Bound ppt

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Monetary Policy Transmission in Ghana: Does the Interest Rate Channel Work? pptx

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Determinants of the interest rate pass-through of banks − evidence from German loan products pptx

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Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks ppt

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The Sensitivity of Bank Net Interest Margins and Profitability to Credit, Interest-Rate, and Term-Structure Shocks Across Bank Product Specializations potx

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Tài liệu The importance of interest rates for forecasting the exchange rate doc

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... proxy 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 ... increased the interest rate when there have been a depreciating pressure, and reduced the interest rate when there was an appreciation pressure. An increase in the interest rate differential has therefore ... ia=4iq+6iq2+4iq3+iq4>4iq. The factor we have to multiply the quarterly interest rate is therefore a bit higher than 4 (and depending on the interest rate) , and the corresponding coefficient for the interest...

Tài liệu Banks’ exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure pptx

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... on the exposure to interest rate risk. Above, we investigated the system-10in the systematic component of the exposure to interest rate risk μ(t) or whether the com-position of banks in the ... case especially the shape of the (past andcurrent) term structure of interest rates. We call this variable the change in the systematicfactor of the exposure to interest rate risk. The variables ... cooperative banks). The results of the between-group model do not indicate that banks with high interest rate exposure tend to have a high interest margin. It appears that the interest margin is not...

Tài liệu Interest Rate Setting by the ECB, 1999–2006: Words and Deeds ∗ doc

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... arecomputed under the assumption that the other variables are at theirsample means. Of course, if the business cycle is at neutral, interest rates are at their mean, and the exchange rate is stable, ... large.Next we derive the equation estimated below. Let itdenote the repo rate and iTt the Governing Council’s “target” for the repo rate. These may diﬀer because the ECB and most other central banks3For ... data, which, unless otherwise noted,was taken from the ECB’s web site. As noted above, the laggedlevel of the repo rate and the change in the repo rate are used asregressors in the equations we...

Tài liệu The Expected Interest Rate Path: Alignment of Expectations vs. Creative Opacity∗ ppt

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... While the interest rate rule is the sameas when the central bank announces its expected future interest rate, the yield curve no longer matches the central bank forecast of the interest rate ... imply the same interest and inﬂationrates. Indeed, the information sets of the central bank and of the private sectorchange with the transparency regime.Vol. 4 No. 3 The Expected Interest Rate ... and the private sector. The results imply thatneither side can ever fully recover the information of the other side bysimply observing its actions the private sector observes the interest rate...

Tài liệu Is the long-term interest rate a policy victim, a policy variable or a policy lodestar? docx

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... following the adoption of the common currency had a comparable effect). (iii) Increased interest rate exposures The third consequence of low long-term rates is that interest rate exposures in the ... leverage in interest rate exposures, the more attentive investors must be to the interest rate environment. When interest rate expectations change, attempts by investors to close or to hedge their ... Report sided with the economists – and against the Treasury. A key conclusion was that the structure of interest rates rather than the supply of money [was] the centre piece of the monetary mechanism.”...

Limits on Interest Rate Rules in the ISModel potx

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... circumscribe the interest rate rule so that the limiting sum in the solution for the inﬂation rate in (15) is ﬁnite as we lookfurther and further ahead.13In the current context, this means that the ... between the expectedgrowth rate of output (or aggregate demand) and the real interest rate, ratherthan a connection between the level of output and the real interest rate. (Thatis, the standard ... of the modern approach toconsumption. In these settings, the natural real interest rate, r, would be determined by the rate oftime preference, the real growth rate of the economy, and the...

The Relativity Theory Revisited: Is Publishing Interest Rate Forecasts Really so Valuable? pptx

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... OHGJHWUDQVSDUHQF\(FRQRPLFVRI*RYHUQDQFHSS5HIHUHQFHV:25.,1*3$3(51R19*LDQQRQL03DQG:RRGIRUG02SWLPDO,QIODWLRQ7DUJHWLQJ5XOHVLQĵ7KH,QIODWLRQ7DUJHWLQJ'HEDWHĵ%HQ%HUQDQNHDQG0LFKDHO:RRGIRUGHGV&KLFDJR8QLYHUVLW\RI&KLFDJR3UHVV*RRGIULHQG00RQHWDU\0\VWLTXH6HFUHF\DQG&HQWUDO%DQNLQJ-RXUQDORI0RQHWDU\(FRQRPLFV*RRGKDUW&$(0RQHWDU\7UDQVPLVVLRQ/DJVDQGWKH)RUPXODWLRQRIWKH3ROLF\Decision on Interest Rates)HGHUDO5HVHUYH%DQNRI6W/RXLV5HYLHZ-XO\$XJXVW*RVVHOLQ3/RW]$:\SORV]& The Expected Interest Rate Path: Alignment ... 6HH:HOW]IRUGHULYDWLRQDQGVROXWLRQRIDVLPLODUPRGHOXQGHUWKLVWLPLQJDVVXPSWLRQIntroductionNational Bank of Poland81New Keynesian model with learning to show that publishing the interest rate path lowers the YDULDELOLW\RIRXWSXWDQGLQIODWLRQ*RVVHOLQHWDOXVHDPRGHOZLWKKHWHURJHQHURXVLQIRUPDWLRQWRVKRZWKDWWKHSXEOLFDWLRQRIDQLQWHUHVWUDWHSDWKPD\LQFUHDVHRUUHGXFHZHOIDUHGHSHQGLQJRQWKHUHODWLYHTXDOLW\RIVLJQDOVUHFHLYHGE\WKHFHQWUDOEDQNDQGWKHSXEOLF7KHJDLQVLQFUHDVHZLWKWKHGLIILFXOW\WRLQIHUWKHREMHFWLYHVRIPRQHWDU\DXWKRULWLHV7RRXUNQRZOHGJHQRVWXG\DWWHPSWHGWRFRPSDUHWKHJDLQVIURPSXEOLVKLQJPDFURHFRQRPLFSURMHFWLRQVDQGWKHLQWHUHVWUDWHSDWK2XUSDSHUWULHVWRILOOWKLVJDSOn ... $+1  +1where PGHQRWHVLQIODWLRQjXQHPSOR\PHQW^ the nominal interest rate and the superscript ZVWDQGVIRUSRVVLEO\QRQUDWLRQDOH[SHFWDWLRQV)RUFRQYHQLHQFHZLWKRXWORVVRIJHQHUDOLW\LQZKDWIROORZVWKHQDWXUDOUDWHRIXQHPSOR\PHQWjZLOOEHDVVXPHGWREH]HUR7KHWHUPVEP...

The Foreign Exchange and Interest Rate Derivatives Markets: Turnover in the United States, April 2010 doc

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... pays the difference between a floating interest rate and the cap rate. Interest rate floor OTC option that pays the difference between the floor rate and a floating interest rate. Interest ... at the time of the conclusion of the contract (the short leg), and a reverse exchange of the same two currencies at a date further in the future at a rate (generally different from the rate ... bracketing the current level of a long-term interest rate. Interest rate swaption OTC option to enter into an interest rate swap contract, purchasing the right to pay or receive a certain fixed rate. ...

Credit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model pot

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... calibrate optiondata, such as caps for the interest rate market and options on CDS’s in the credit market. The calibrations to the interest- rate market and to the creditmarket can be kept separate, ... of the interest- rate part to interest- rate data and of the intensity part to credit market data. Indeed, in the separable case the creditderivatives desk might ask for the α parameters and the ... used to calibrate further products, similarly to the way the α parametersof the r model are used to calibrate cap prices after calibration of the zero-couponcurve in the interest rate market....

Bank of England Interest Rate Announcements and the Foreign Exchange Market ∗ doc

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... Surprise Measures The table contains interest rate decisions of the MPC for the period June 1997–October 2007. “Bloomberg Expectation” refers to the interest rate change predicted by the median expectation ... is the standard deviation calculated from individual analysts’ forecasts. The final five columns in the table indicate whether the interest rate announcement surprised the market according to the ... during the morning of the meeting. These results are qualitatively similar to those reportedby Sager and Taylor (2004) in their high-frequency study of the exchange rate effects of ECB interest rate...

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