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 depos...

Ngày tải lên: 17/02/2014, 03:20

... 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...

Ngày tải lên: 17/02/2014, 03:20

... earnings and balance composition, and the banks’ application of derivatives have a significant impact on their exposure to interest rate risk. In this paper, however, we are not interested in the banks’ ... notification requirement, banks have to calculate at regular intervals how much the present value of their banking book goes down owing to this standardized interest rate s...

Ngày tải lên: 16/02/2014, 06:20

... current Treasury security rate and the bank s loan rate for the previous week, r t –r l,t-1 . This variable captures the potential disequilibrium between the market rate and the bank s loan rate. An increase ... 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...

Ngày tải lên: 16/02/2014, 10:20

... 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 relatively low ... the early 1980s and similarly to Fin- land, have remained consistently too low since 1999. In Switzerland and the US, rates were generally too low in the late 1980s and early...

Ngày tải lên: 17/02/2014, 03:20

Ngày tải lên: 15/03/2014, 14:20

... 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 or expected 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, betw...

Ngày tải lên: 17/02/2014, 03:20

... deposit liabilities of bankers' banks may constitute legal reserve for com- mercial banks; and the lower the cash-deposits ratio of the 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 member banks would have if the bankers' banks...

Ngày tải lên: 15/02/2014, 01:20

... 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...

Ngày tải lên: 15/02/2014, 05:20