the determinants of the interest rate margins of czech banks

... behavior of market participants in the various segments of the foreign exchange market. In this paper, we have isolated the impact of knee-jerk trading on the volatility of returns around the time of ... and Taylor (2004) in their high-frequency study of the exchange rate effects of ECB interest rate announcements, suggest- ing that they are robust. 18 An interesting extension of our results would ... Surprise Measures The table contains interest rate decisions of the MPC for the period June 1997–October 2007. “Bloomberg Expectation” refers to the interest rate change predicted by the median expectation...

Ngày tải lên: 06/03/2014, 14:20

... of the mortgages. The proceeds of the sales of the notes can be used to pay of the CDs and reduce the duration gap. Alternatively the thrift can buy a swap and take the fixed payment side of ... changes in interest rates requires the ability to forecast interest rates better than the rest of the market (Schaffer, 1991). The challenge for banks is thus not only to forecast interest rate risk, ... floating rate, positive cash flows are generated by the particular in- terest rate derivative when the interest rates rise. If the hedge is perfect, then the losses in the cash market will be offset...

Ngày tải lên: 15/03/2014, 01:20

... 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 change in the long-term rate on the underlying value of ... 2000 21 The price of stocks is also highly sensitive to interest rates. The share price is usually defined as the present value of the future stream of dividends. The discount rate used in the computation ... than the same sector in the other countries. 3.2 Recent evidence on the reference maturity and the effective interest rate This section briefly outlines the determinants of the effective interest...

Ngày tải lên: 15/03/2014, 14:20

Ngày tải lên: 22/03/2014, 23:20

Ngày tải lên: 22/03/2014, 23:20

... at the time of the conclusion of the contract (the short leg), and a reverse exchange of the same two currencies at a date further in the future at a rate (generally different from the rate ... Interest rate cap OTC option that pays the difference between a floating interest rate and the cap rate. Interest rate floor OTC option that pays the difference between the floor rate and ... floating interest rate. Interest rate collar Combination of cap and floor. Interest rate corridor 1) A combination of two caps, one purchased by a borrower at a set strike and the other...

Ngày tải lên: 06/03/2014, 02:21

... reflect the higher interest rate sensitivity of longer-dated swap transactions. One measure of the interest rate sensitivity of a swap is the “dollar value of a basis point” or DV01. The DV01 ...  8 The fixed and floating rates are usually set at the inception of the trade such that the net present value of the swap is zero. Page11 of 21  to the level of the global parent. 22 ... alternative means of acquiring long-term interest rate exposure. At the short end of the curve, trading is much more active on-exchange, with the exception of the euro OIS market. The absence of a liquid...

Ngày tải lên: 06/03/2014, 03:20

... is the implementation of fixed exchange rates (e.g., Malaysia after the Asian crisis). The scope for a successful interest rate defense” of a fixed exchange rate depends on the extent of the ... states that when the domestic interest rate is less than the foreign interest rate the domestic currency is expected to appreciate by an amount approximately equal to the interest rate differential. ... significant depreciation up to the end of the sample. This was accompanied by increasing interest rates in several cases, perhaps in pursuit of an interest rate defense” of the local currency (e.g.,...

Ngày tải lên: 06/03/2014, 14:20

... to be added. Interest rate setting by universal banks and the transmission mechanism in the euro area 2 1. Introduction The level of interest rates is one of the main determinants of savings and ... (2001). Interest rate setting by universal banks and the transmission mechanism in the euro area 4 interest rates. The weight of market rates in the equilibrium target of retail bank rates, which ... rate volatility decreases the speed of adjustment in a majority of cases. By contrast, the volatility of the bond rate is associated with a speed-up of the adjustment of long term corporate rates...

Ngày tải lên: 15/03/2014, 02:20

... necessarily represent the official stance of the BOJ. II. Conduct of Zero Interest Rate Policy In the following, we review the characteristics of the zero interest rate policy pursued by the BOJ from ... in the case of an experiment to discover whether long-term interest rates are controllable, significant factors on the effectiveness of the operation include not only the question of whether the ... a decline in the risk-taking capacity of banks resulting from the erosion of their capital due to nonperforming assets; (2) the lack of profitable projects; and (3) the inability of many firms...

Ngày tải lên: 15/03/2014, 14:20

Ngày tải lên: 29/03/2014, 13:20

Ngày tải lên: 29/03/2014, 13:20

Ngày tải lên: 15/03/2014, 14:20

Ngày tải lên: 22/03/2014, 23:20

Ngày tải lên: 22/03/2014, 23:20

Ngày tải lên: 29/03/2014, 13:20

... 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 for either the bank rates or the market rates, ... bank interest rates are lower and that the pass-through of market rates is stronger, the heavier competition is. We find evidence of the latter in our error correction model of bank interest rates. ... prices, such as wage rates, deposit rates (as price of funding) and the price of other expenses (proxied as the ratio of other expenses to fixed assets). The third group consists of (K- K 1 -K 2 )...

Ngày tải lên: 15/02/2014, 05:20

... strands of the literature of the banks interest rate risk (See Staikouras (2003) and Staikouras (2006) for a survey). The first one is about the deter- minants of the banks exposure to interest rate ... investigate the determinants of the banks exposure to interest rate risk. They find that the belonging to certain banking groups, the banks size, their earnings and balance composition, and the banks ... on the exposure to interest rate risk. Above, we investigated the system- 10 in the systematic component of the exposure to interest rate risk μ(t) or whether the com- position of banks in the...

Ngày tải lên: 16/02/2014, 06:20

... and x, the solution of the third-order equation, lies inside the roots of P , then ∆L<0 and opacity dominates. The study of ∆L consists then in checking whether or not the roots of the third-order ... same as when the central bank announces its expected future interest rate, the yield curve no longer matches the central bank forecast of the interest rate path. The resulting inflation rate in period ... assuming that the weight on the output gap is zero and that the target inflation rate is also nil. Since the rate of time preference is zero, the loss function is, therefore, evaluated as the unconditional...

Ngày tải lên: 17/02/2014, 03:20

... based upon their views on the direction of interest rates. What are interest rate options? Interest Rate Options are options on the spot yield of U.S. Treasury securities. Available to meet the investor’s ... 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- settlement value at expiration, that is, off the forward ... for the option position to become profitable. In the following examples, we present a variety of possible option strategies for different interest rate forecasts. These are only a few of the strategies...

Ngày tải lên: 06/03/2014, 14:20