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

... the total assets of all European banks from www.ecb.int. Discussion Paper Deutsche Bundesbank No 26/2012 Determinants of the interest rate pass-through of banks − evidence from German loan products Tobias ... ܾݎ ௜ǡ௝ǡ௧ is the observed bank interest rate at time ݐ (i.e., the bank loan rate for each of the 18 loan products) ; ݅ൌͳǡǥǡͳͷͲ...

Ngày tải lên: 29/03/2014, 13:20

... competition) among the indigenous banks has raised their average interest rate spreads by 9.3 percentage points over the study period. As shown by the value of the HHI, the market structure of the indigenous ... The paper used pooled annual commercial banks data, over the period 1993 to 2003 to investigate some of the main factors influencing interest ra...

Ngày tải lên: 22/03/2014, 23:20

... purchase of FVX put options would allow the holder to profit if rates do decline because as 5-year interest rates fall, so does the level of FVX. As interest rates decline and the level of the 5-year underlying ... estimate of the yield of the underlying instruments at expiration of the options; or, in other words, the market’s best estimate of the exercise...

Ngày tải lên: 06/03/2014, 14:20

... on the share of variable interest rate contracts, the frequency of the interest rate variations defined in the contract and the correlation of the MMR with the reference interest rate used in the ... of the present value is, again, the long-term interest rate. The lower the level of long-term interest rates, the higher the impact of a c...

Ngày tải lên: 15/03/2014, 14:20

... borrower level interest rates from the borrowers’ balance sheets as interest expenses over total loan volume. The loan volume of borrowers may, however, also contain loans from the savings banks competitors. ... data from commercial borrowers with more than 50% share of total loan volumes from savings banks. 12 Interest rate spread is then calculated as the...

Ngày tải lên: 15/03/2014, 10:20

... the interest rate or exchange rate policy shocks. The interest rate shocks include the October 1979 (the change of monetary policy from interest rate targeting to bank reserve targeting) or the ... or with respect to interest rate versus currency derivatives separately, affect a bank’s interest rate and exchange rate risk profile. Comparison of the eff...

Ngày tải lên: 29/03/2014, 13:20

... provides evidence of sluggish and asymmetric pass-through among German banks. De Graeve et al. (2004) estimate the determinants of the interest rate pass- through on Belgian banks and find that banks ... 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...

Ngày tải lên: 15/02/2014, 05:20

... forecasts. The final five columns in the table indicate whether the interest rate announcement surprised the market according to the respective measure. The variable “IB10” (“IB15”) indicates whether the change ... One-half of these instances were fully expected by the market, as measured by the Bloomberg survey. For the other eighteen instances, the market was eithe...

Ngày tải lên: 06/03/2014, 14:20

... expectations of the future path of the funds rate, as illustrated for example by OIS rates. As I discuss further in the next section, these statements by the FOMC have had less of the character of an ... 2012. federal funds rate, as indicated by the response of OIS rates at the time of the release. The “cleanest” tests of the effects of forward guidance we...

Ngày tải lên: 15/03/2014, 14:20

... tests the overall validity of the instruments by analyzing the sample analog of the moment conditions used in the estimation process. We cannot reject the null hypothesis that the full set of orthogonality ... reflecting the higher marginal product of the relatively scarce domestic capital. IV. WHY ARE INTEREST RATES SO LOW IN EMES? In view of the evidenc...

Ngày tải lên: 15/03/2014, 14:20