Working Paper No 446 The business cycle implications of banks’ maturity transformation potx

... first approximation, the variation in the value of a bonds portfolio can be taken as the response of the value of a bond with the average maturity of the portfolio. For instance, if the average maturity of the ... available. ECB Working Paper No 40 l November 2000 15 Finally, the indicators of the rigidity of bank funding costs are all significant...

Ngày tải lên: 15/03/2014, 14:20

... the maturity of the instruments also plays prima facie a role in determining the level of bank lending rates: the lower the maturity the higher the level of the bank lending rate. This is noteworthy ... April 2002 known as the flight to quality phenomenon. However, until this happens, the interest rate should not be sticky on the risky loans. In fact, the r...

Ngày tải lên: 15/03/2014, 14:20

... effect, the impact of a change in the key ECB interest rates would be smaller the longer the maturity horizon of the bond. ECB • Working Paper No 192 • November 2002 21 The expectation hypothesis ... predictability to the Fed. In Section 5 we analyse the reaction of the term structure of the euro area to the daily shocks and to the unexpected componen...

Ngày tải lên: 15/03/2014, 14:20

... interested readers for their comments. The paper should be considered preliminary in nature and may require substantial revision. Accordingly, a Working Paper should not be quoted nor the data referred ...   34 WORKING PAPER NO 13 CREDIT RISK TRANSFER AND FINANCIAL SECTOR PERFORMANCE Wolf Wagner & Ian Marsh The Working P...

Ngày tải lên: 06/03/2014, 08:20

... deposit offered by banks must be high enough to ensure that households keep all of their wages in the form of bank deposits. Since the focus of the paper is on the process of credit extension, it 9 will ... Banks enter the game with p redetermined assets and liabilities — possibly the outcome of a previous iteration of the game. The level of the risk free i nt...

Ngày tải lên: 06/03/2014, 10:20

... penetration in the early phase of the technology’s life cycle and almost guarantee low market share in the middle portion of that cycle. Historically, the policy response to the loss of global ... investment underscores the point that innovation is only the initial commercial application of a new technology. Over time, the majority of the economic benefits fr...

Ngày tải lên: 08/03/2014, 16:20

... over the business cycle than lending by cooperative banks. The effect of the business cycle on capital and risk-weighted assets taken together explains why the effect of the business cycle on banks’ ... first differences of the variables before running the Blundell-Bond procedure, the estimated coefficient of the lagged capital buffer gives the sp...

Ngày tải lên: 15/03/2014, 09:20

... incentives along the securitisation chain, a lack of transparency with regard to the underlying risks of the securitisation business, and the poor management of those risks. The implications of securitisation ... total assets at the end of the previous year. We then attached a value of one if a bank fell into the last quartile of the distribution of this...

Ngày tải lên: 15/03/2014, 10:20

... in the long run. Finally, in reality, banks do not know the choices of their counterparties. What they typically do know is some average indicator of the whole system, and this is what they ... The efficiency of each stream (RTGS or LSM) depends on the share of payments routed to it by the ‘others’ (ie by their threshold). In addition, the RTGS stream also depends on...

Ngày tải lên: 15/03/2014, 10:20

... concurrently to the increase in concentration, as the cause for this result. The results in the paper have some implications for tests of the effect of the financial structure in general and of competition ... convergence of rates to the lower German level in the wake of the introduction of the common currency. 22 This argument, of course, ignores...

Ngày tải lên: 15/03/2014, 14:20