Working pAper series no 1041/ A pril 2009: An economic cApitAl model integrAting credit And interest rAte risk in the bAnking book doc
... Alessandri and Mathias Drehmann An economic cApitAl model integrAting credit And interest rAte risk in the bAnking book Working pAper series no 1041 / April 2009 19 ECB Working Paper Series No 1041 April ... of an integrated risk management framework, standard interest rate risk analysis used at banks and for regulatory purposes has a...
Ngày tải lên: 29/03/2014, 13:20
... Draisma et al. (2001), Peng (1999), and Beirlandt and Vandewalle (2002). 14 Minimizing the asymptotic mean-squared error for the Hill estimator by bal- ancing bias and variance renders a nonlinear ... 4 banks from Italy, 3 ban ks from Sp ain, 2 banks each from the Netherlands and from Belgium and one bank from Fin- land, G reece, Irelan d and Portugal, respectiv ely. Appen...
Ngày tải lên: 06/03/2014, 09:22
... CoMMuniCation and Monetary PoliCy a Survey of theory and evidenCe by Alan S. Blinder, Michael Ehrmann, Marcel Fratzscher, Jakob De Haan and David-Jan Jansen 19 ECB Working Paper Series No 898 May ... Michelle Garfinkel and Seonghwan Oh (1995), Faust and Svensson (2001), and Henrik Jensen (2002). 16 ECB Working Paper Series No 898 May 2008 banks, and on th...
Ngày tải lên: 15/03/2014, 10:20
Working PaPer SerieS no 1075 / July 2009: Bank riSk anD MoneTary PoliCy ppt
... largest in the Netherlands, Finland and Belgium and smallest in Austria, Germany and Italy. The averages of individual bank characteristics differ across countries in terms of capital, loan-loss ... BankSscope, a commercial database maintained by International Bank Credit Analysis Ltd. (IBCA) and the Brussels-based Bureau van Dijk. In particular, we consider bal...
Ngày tải lên: 15/03/2014, 10:20
Working Paper Series no 1096 / September 2009: The determinants of Bank capital structure potx
... results in Rajan and Zingales (1995), Frank and Goyal (2004) and the sample of the largest non-financial firms. Regressing book leverage on the standard corporate finance determinants of capital ... sheet and may indeed exhibit the stability that we document in this paper. The managerial preference approach (Bertrand and Schoar, 2003; Frank and Goyal, 2007) a...
Ngày tải lên: 15/03/2014, 10:20
Working PaPer SerieS no 1150 / January 2010: Do bank loanS anD creDit StanDarDS have an effect on outPut? a Panel aPProach for the euro area doc
... countries included in the analysis are: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, the Netherlands, Portugal and Spain. 14 Data are observed at quarterly frequency and cover the ... 2008. 18 ECB Working Paper Series No 1150 January 2010 Working PaPer SerieS no 1150 / January 2010 Do bank loanS anD creDit StanDarDS have an effect on...
Ngày tải lên: 15/03/2014, 10:20
Working PaPer SerieS no 1272 / DeCeMBer 2010: THe iMPaCT of PuBliC guaranTeeS on Bank riSk Taking eviDenCe froM a naTural exPeriMenT pptx
... (“Landesbank”) and each federal state bank is a liated with a state (“Bundesland”) or group of states. The a liated savings banks own each a part of their federal state bank. The federal state banks ... banks, rather than to an individual savings bank. In addition to the detailed borrower/bank matched data set, we also use a bank level data set that includes the savings...
Ngày tải lên: 15/03/2014, 10:20
WORKING PAPER SERIES NO. 546 / NOVEMBER 2005: THE NATURAL REAL INTEREST RATE AND THE OUTPUT GAP IN THE EURO AREA A JOINT ESTIMATION doc
... between the actual real in terest rate and the real interest rate gap are high an d their standard deviations are roughly identical. In other w or ds, the variation in the real inte rest rate is not ... y ∗ t , the output gap ˜y t , the actual and the natural real rate an d the real rate gap (r t ,r ∗ t and ˜r t ) and i nflation π t . A notable f...
Ngày tải lên: 22/03/2014, 23:20
WORKING PAPER SERIES NO. 548 / NOVEMBER 2005: THE LINK BETWEEN INTEREST RATES AND EXCHANGE RATES DO CONTRACTIONARY DEPRECIATIONS MAKE A DIFFERENCE? doc
... their same study, Australia is classi…ed as freely ‡oating since December 1983 and as having a managed ‡oat since 1974, and New Zealand is de…ned as having a managed ‡oat since 1985 and a de facto moving ... of individual variables such as exchange rates and interest rates in EMEs against the benchmark of small open advanced economies. These s tudies normally …nd that in...
Ngày tải lên: 22/03/2014, 23:20
WORKING PAPER SERIES NO. 580 / JANUARY 2006: BANK INTEREST RATE PASS-THROUGH IN THE EURO AREA A CROSS COUNTRY COMPARISON ppt
... slow adjustment of interest rates on mortgage loans in Spain, as well as in Ireland, Austria, Portugal and Finland is that the NRIR rates in these countries predominantly were floating rate loans. ... European banking market is particularly inefficient. Quite the contrary is implied by cointegration of the bank interest rates and the corresponding market rates. Ind...
Ngày tải lên: 22/03/2014, 23:20