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Is Maturity-Transformation Risk Priced into Bank Deposit Rates?

Fleckenstein, Matthias; Longstaff, Francis A. - National Bureau of Economic Research - 2024

We use the term structure of bank CD rates to examine whether maturity-transformation risk is priced into the rates banks offer customers. We find that depositors pay a significant cost for the liquidity provided by bank deposits. This cost is strongly related to the amount of...

Persistent link: https://www.econbiz.de/10014635687

US stock market sensitivity to interest and inflation rates : a quantile regression approach

Jareño, Francisco; Ferrer, Román; Miroslavova, Stanislava - In: Applied economics 48 (2016) 25/27, pp. 2469-2481

Persistent link: https://www.econbiz.de/10011591154

Why are savings accounts perceived as risky bank products?

Džmuráňová, Hana; Teplý, Petr - In: Prague economic papers : a bimonthly journal of … 25 (2016) 5, pp. 617-633

Persistent link: https://www.econbiz.de/10011643672

On the hedging of interest rate margins on bank demand deposits

Cherrat, Hamza; Prigent, Jean-Luc - In: Computational economics 62 (2023) 3, pp. 935-967

Persistent link: https://www.econbiz.de/10014382850

The interest rate brake on Maturity transformation

Howden, David; Gabriel, Amadeus - In: Journal of economic issues : jei 49 (2015) 4, pp. 1100-1111

Persistent link: https://www.econbiz.de/10011573097

Interest rate risk and bank equity valuations

English, William B.; Heuvel, Skander van den; … - In: Journal of monetary economics 98 (2018), pp. 80-97

Persistent link: https://www.econbiz.de/10012109012

Pass-through rate study for Hong Kong banking industry and its application to nonmaturity deposits interest rate risk management

Wang, Zhifeng; Wei, Fangying; Fang, Yuzhou - In: Annals of financial economics 14 (2019) 2, pp. 1-25

Persistent link: https://www.econbiz.de/10012030833

Time-variation in bank income and expense betas

Brigida, Matt; Brigida, Kathleen - In: Managerial finance 51 (2025) 2, pp. 206-215

Persistent link: https://www.econbiz.de/10015199606

Internal models for deposits : effects on banks' capital and interest rate risk of assets

Dal Borgo, Mariela - In: Journal of banking & finance 135 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013401973

On the risk management of demand deposits : quadratic hedging of interest rate margins

Adam, Alexandre; Cherrat, Hamza; Houkari, Mohamed; … - In: Risk management decisions and value under uncertainty, (pp. 1319-1355). 2022

Persistent link: https://www.econbiz.de/10013342119