RETAIL BANK INTEREST RATE PASS-THROUGH: IS CHILE ATYPICAL? doc
Retail Bank Interest Rate Pass-Through: The Turkish Experience pptx
... by all researchers is the
stickiness of the retail banks interest rate. One of the most famous attempts to explain interest rate
stickiness is Stiglitz and Weiss (1981). This study examines ... money market rate in Turkey.
Keywords: Interest rate pass-through, retail interest rates, Turkish banking system, ECM
JEL Classification Codes: E43, E52, G21
1. Introd...
WORKING PAPER NO. 136 RETAIL BANK INTEREST RATE PASS-THROUGH: NEW EVIDENCE AT THE EURO AREA LEVEL docx
... Correlation analysis between retail bank interest rates and market interest rates
This section presents a correlation analysis between retail bank rates and market interest rates. The aim is
to detect ... which market interest rates are fully passed
through to retail bank interest rates (Hendry, 1995). The existence of cointegration between retail bank
interest...
WORKING PAPER SERIES NO. 518 / SEPTEMBER 2005: TERM STRUCTURE AND THE SLUGGISHNESS OF RETAIL BANK INTEREST RATES IN EURO AREA COUNTRIES docx
... market interest rates are
(weakly) exogenous to retail bank interest rates. This assumption makes economically sense, since
bank interest rates are not expected to affect market interest rate ... to the retail bank interest rate (which is alternatively the rate on short and long-term loans to
enterprises, consumption credit and mortgages),
is the short-term m...
Anticipation and Surprises in Central Bank Interest Rate Policy ppt
... estimation
procedure, separate parameters are estimated for interest rate increases and
decreases). When the three-month interbank rate is close to the discount rate
(so ln(R3M/DISC) is small or negative) ... decrease in official rates is likely.
When it is close to the Lombard rate (so ln(R3M/LOMB) is large) an
increase is likely. When the interbank rate is far from...
MARKET POWER AND BANK INTEREST RATE ADJUSTMENTS - Documentos de Trabajo N.º 0539 docx
...
asymmetries is that banks tend to keep deposit interest rates low and delay rises when the
money market interest rate increases. However, this would not be consistent with profit
maximising behaviour ... both
commercial and savings banks, that is, almost the whole population of Spanish banks.
12
The
interest rate reported by each bank is the average annual interest ra...
A Microeconometric Investigation into Bank Interest Rate Rigidity pot
... that an interest rate change is delayed until the deviation of the current retail
interest rate offered by the bank from the optimal retail interest rate goes beyond a trigger point, which is related ... adjusting the retail interest rate. The probability that a bank will change a given retail interest
rate is increasing in the menu cost model since the de...
Central Bank Interest-Rate Control in a Cashless, Arrow-Debreu economy: a comment on Wallace pptx
... central bank is to set the nominal rate of interest and determine R it cannot be a
price taker. It is the case that in the real world central banks exercise control over the
federal funds rate ... ecus so as to tie down R and the rate of ‘inflation’. This
is hardly surprising. To control the nominal rate of interest, i.e. the interest factor R,
the central bank would...
THE USE OF DERIVATIVES TO MANAGE INTEREST RATE RISK IN COMMERCIAL BANKS docx
... and market environment have made interest rate
risk a vital issue (Schaffer, 1991). Interest rate risk is the potential for changes in interest rates to
reduce bank s earnings and lower its net ... the bank. The financial institution
hedged the interest rate risk exposure perfectly because the basis risk is assumed to be zero. That
is, the change in interest rates on...
Interest rate model risk: an overview doc
... credit risk.
Volume 1/Number 3
Interest rate model risk: an overview 55
Interest rate model risk: an overview
Rajna Gibson, FrancËois-Serge Lhabitant, Nathalie Pistre, and
Denis Talay
Model risk is ... crises in the derivatives markets have raised the question of interest
rate risk management. It is important for bank managers to recognize the
economic value and resultant ri...
The Role of Interest Rate Swaps in Corporate Finance doc
... sell an interest rate swap than to call and refund outstanding
fixed -rate debt.
4. A COMPARISON OF INTEREST RATE FUTURES AND
INTEREST RATE SWAPS
A discussion of the economic role of interest rate ... of Interest Rate Swaps 65
The principal disadvantage of interest rate swaps relative to interest rate
futures lies with counterparty credit risk. Exchange-traded inst...