inflation and nominal interest rates

Ngày tải lên: 01/04/2014, 15:20

... too big to fail and to receive implicit insurance from either the central bank or the government Besides, it may affect both lending and deposit interest rates, and the bank interest rate spread ... Deposit Insurance, Institutions and Bank Interest Rates1 by Francesca Carapella° and Giorgio Di Giorgio* First and preliminary draft: September 2003 This draft: October ... development and efficiency of the financial system (also when coupled with poor institutions) is found in the work of Cull, Senbet and Sorge (2002) and in Laeven (2002) and Demirguc-Kunt and Huizinga...

Ngày tải lên: 15/02/2014, 05:20

... policy) and long-term interest rates on lending standards – and especially on loan risk-taking – depends on securitization activity and banking regulation supervision standards Second, Lown and Morgan ... (short-term interest) rates on lending standards and bank risk-taking (Table 2) Then, we compare the impact of short-term and long-term interest rates on lending standards and loan risk-taking ... versus long-term interest rates Table shows the results of the regressions including long-term interest rates In Panel A, we analyze the impact of short- and long-term nominal interest rates on total...

Ngày tải lên: 06/03/2014, 14:20

... indices for the Netherlands’ and Finnish banking systems vary between 200 and 350 in the Netherlands and between 350 and 500 in Finland, although the index for time deposits in Finland reaches a peak ... the contractual interest margins for loans as the difference between lending rates and money market rates For deposits we used the difference between money market rates and deposit rates, in order ... short term loans, long term loans and mortgages) and the three deposit markets (demand, savings and time deposits) to their respective contractual interest rates (Table 2) In total, the resulting...

Ngày tải lên: 15/03/2014, 14:20

... model of bank interest rates (Cottarelli and Kourelis, 1994): j* k* j=1 k=0 brt = v + ∑ φ j brt− j + ∑ γ k mrt−k + εt (2) where br and mr are bank and market rates, respectively, and j* and k* indicates ... Borio and Fritz, 1995; Kleimeier and Sander, 2000 and 2002; Donnay and Degryse, 2001; Toolsema et al., 2001; Gambacorta, 2008) The adjustment of retail rates to changes in money market rates ... the interest rate pass-through models so far considered assume that the relationships between bank and market rates are symmetric and linear Several studies (Kleimeier and Sander, 2006; Payne and...

Ngày tải lên: 22/03/2014, 23:20

... deposits and loans Previous work in this area typically found that banks in more concentrated markets offer lower interest rates on deposits (e.g., Berger and Hannan, 1989) and higher interest rates ... paper Corvoisier, Sandrine and Reint Gropp, 2002, “Bank Concentration and Retail Interest Rates, ” Journal of Banking and Finance 26(11), 2155-89 DeYoung, Robert, William C Hunter, and Gregory F Udell, ... external effects of large and multimarket banks Hannan and Prager (2004) and Park and Pennacchi (2005) examined multimarket banks These studies modeled and found that deposit rates tend to be inversely...

Ngày tải lên: 22/03/2014, 23:20

... Lavoie and Pioro (2007); Babineau, Lavoie, and Moreau (2001); Black, Coletti, and Monnier (1998); and Cozier and Lavoie (1994) For an average inflation rate of per cent and an average real interest ... real short-term interest rates when economic events, or shocks, occur that cause inflation to fall below the target and, symmetrically, to raise real interest rates when shocks cause inflation to ... and Econometrics: Essays in Honour of Martin M G Fase, 13–58, edited by W F V Vanthoor and J Mooij De Nederlandsche Bank NV Cozier, B and C Lavoie 1994 “Is There a Floor to Nominal Interest Rates? ...

Ngày tải lên: 29/03/2014, 01:20

... (2007 and 2008), Engel (2009), and numerous articles in The Financial Times, The Wall Street Journal, and The Economist Nominal rates were the lowest in almost four decades and below Taylor rates ... whether, how and why banks change their lending standards For indirect evidence on short-term rates and risk-taking, see Bernanke and Kuttner (2005), Rigobon and Sack (2004), Manganelli and Wolswijk ... long-term rates in explaining standards, even for loans for house purchase – note that the standard deviation of overnight rates is 0.81 whereas for long-term interest rates is 0.46 In column 4, and...

Ngày tải lên: 29/03/2014, 13:20

... observed growth rates of nominal demand, money and asset prices Research and analysis Public attitudes to inflation and interest rates Understanding the likely future path of inflation expectations ... expectations of interest rates and inflation Interest rate perceptions, expectations and movements in retail rates Question of the Bank/GfK NOP survey asks respondents ‘how would you say interest rates ... complex and hard to identify Research and analysis Public attitudes to inflation and interest rates One hypothesis is that if people expect interest rates to be higher, they might have lower inflation...

Ngày tải lên: 15/02/2014, 05:20

... equivalent annual inflation rates Research and analysis Public attitudes to inflation and interest rates Chart Explaining Bank/GfK NOP perceptions with three-monthly inflation rates Per cent 153 ... general public’s inflation expectations Research and analysis Public attitudes to inflation and interest rates Chart 13 Perceptions and expectations of changes in interest rates Net percentage ... Research and analysis Public attitudes to inflation and interest rates The second section summarises the public’s attitudes to interest rates and the conduct of monetary policy...

Ngày tải lên: 15/02/2014, 05:20

... allowed to be different in expansions and recessions, periods of high or low inflation and periods of high and low interest rates While regime-switching and time-varying models can account for ... ˆ Chib (1995) and Chib and Jeliazkov (2001) we proceed by factorising ln G Ξ\Zt into conditional and marginal densities of various parameter blocks and using additional and Gibbs and Metropolis ... Sargent and co-authors on the evolving dynamics of US inflation is a often cited example of this literature In particular, Cogley and Sargent (2002), Cogley and Sargent (2005) and Cogley, Primiceri and...

Ngày tải lên: 06/03/2014, 14:20

... Introduction Empirical weakness of interest rate rules and stance measures 2.1 Interest rate stance and inflation objective 2.2 Implicit vs realized inflation and equilibrium interest rate assumption 2.3 ... log real GDP for the euro area, and is derived from a production function approach (SNB) for Switzerland Interest rates are 3-month rates All series except interest rates are seasonally adjusted ... Fed, ECB and SNB economists (see e.g Orphanides and Porter (2001), Masuch, Pill and Willeke (2001), and Peytrignet and Reynard (2004)): using equation (3), the difference between m∗ and pt can...

Ngày tải lên: 22/03/2014, 23:20

... changes in interest rates and default rates, with the correlations between changes in short rates and default rates being significantly negative When interest rates decrease, default rates increase ... BETWEEN INTEREST RATES AND AGGREGATE DEFAULT RATES This section describes the relationship between interest rates and aggregate default rates, including contemporaneous correlations, and correlations ... default rates and real interest rate, and a strong positive correlation between default rate and lagged 2-year real interest rate We find negative correlation between changes in interest rates and...

Ngày tải lên: 26/10/2012, 11:21

... with logarithmic interest rates so that the nominal interest rates are restricted to be positive, as negative nominal interest rates are ruled out by a simple arbitrage argument The interest rate ... Bates (1996a,b), and Bakshi, Cao and Chen (1997), and examples in discrete-time include Taylor (1986), Amin and Ng (1993), Harvey, Ruiz and Shephard (1994), and Kim, Shephard and Chib (1998) Review ... through random noises st and rt via their correlation λ1 ; Finally, parameters λ2 and λ3 are to measure the asymmetry of conditional volatility for stock returns and interest rates When st and ηst...

Ngày tải lên: 21/12/2013, 01:20

... Risk and Term Structure of Interest Rates • The risk structure of interest rates looks at bonds with the same term to maturity and different interest rates • The term structure of interest rates ... short-term rates – Flat long-term rates are above short- and long-term rates are the same – Inverted long-term rates are below short-term rates Empirical Facts To Be Explained by the Term Structure Interest ... U.S interest payments on municipal bonds are exempt from federal income tax Term Structure of Interest Rates • Bonds with identical risk, liquidity, and tax characteristics may have different interest...

Ngày tải lên: 05/01/2014, 16:56

... adult account Rates are fixed For information on the interest rates payable on these accounts please visit: www.personal.barclays.co.uk Barclays Bank PLC Current Interest Rates Rates for accounts ... Equivalent Rate % Rates effective from 10 December 2008 €2,000+ 0.10 0.08 0.10 Sterling (£) rates Rates effective from 11 December 2008 Rates are fixed US dollar ($) rates Rates effective from ... the interest rates payable on this account please visit: www.personal.barclays.co.uk Definitions Annual Equivalent Rate (AER) – Illustrates what the interest would be if the interest was paid and...

Ngày tải lên: 15/02/2014, 05:20

... countries that have low rates of money growth tend to have low nominal interest rates and countries with high rates of money growth tend to have high nominal interest rates The high correlations ... Money, interest rates, and exchange rates with endogenously segmented markets Journal of Political Economy Alvarez, Fernando; Lucas, Robert E., Jr.; and Weber, Warren E 2001 Interest rates and inflation ... the Relationship Between Money and Interest Rates Correlation Coefficients and Regression Slope Coefficients for Money Growth Rates and Interest Rates in Developed and Developing Countries in Various...

Ngày tải lên: 15/02/2014, 06:20

... mean and standard deviation of new automobile loan rates are 9.73 percent and 2.76 percent, respectively The mean and standard deviation of unsecured personal loan rates are 14.14 percent and ... deposit rates are slower to increase when other market interest rates rise than they are to decrease when market rates fall.15 Mester and Saunders (1995) analyze changes in the prime interest rate and ... slower to adjust rates based on the spread between Treasuries and loan rates Columns and further report the total derivatives of automobile loan rates with respect to (rt –rt-1) and (rt –rl,t-1)...

Ngày tải lên: 16/02/2014, 10:20

... rigidity of deposit rates As documented in earlier studies (Hannan and Berger, 1991; and Neumark and Sharpe, 1992) deposit rates adjust sluggishly to changes in market interest rates Deposit rate ... lower deposit rates Park and Pennacchi (forthcoming)7 and Hannan and Prager (2006) present empirical tests of this hypothesis, and both find that multimarket banks offer lower deposit rates than ... dynamics and controls for bank size and asset risk with total assets and bad loans, and for the market In their study, efficiency gains prevail Whereas merging banks tend to decrease deposit rates...

Ngày tải lên: 17/02/2014, 03:20

... (Finland, Ireland, Spain, Switzerland and the US) have interest rates that have, on average, been lower than Taylorimplied rates over the sample period In Finland, interest rates remained relatively ... period, interest rates deviated from the Taylor-implied rates for a maximum duration of nine quarters in Canada and seven quarters in Germany (Table 3) For Finland and Spain, on the other hand, interest ... the early 1980s and similarly to Finland, have remained consistently too low since 1999 In Switzerland and the US, rates were generally too low in the late 1980s and early 1990s and again from...

Ngày tải lên: 17/02/2014, 03:20