Narrow search
Showing 1 - 10 of 237
Cover Image
Volatility Spillovers and Capital Buffers Among the G-Sibs
McNelis, Paul D. - 2020
We assess the dynamics of volatility spillovers among global systemically important banks (G-SIBs). We measure spillovers using vector-autoregressive models of range volatility of the equity prices of G-SIBs, together with machine learning methods. We then compare the size of these spillovers...
Persistent link: https://www.econbiz.de/10012836874
Cover Image
Bank Business Models : Popularity and Performance
Roengpitya, Rungporn - 2017
We allocate banks to distinct business models by experimenting with various combinations of balance sheet characteristics as inputs in cluster analysis. Using a panel of 178 banks for the period 2005-15, we identify a retail-funded and a wholesale-funded commercial banking model that are robust...
Persistent link: https://www.econbiz.de/10012941236
Cover Image
The Influence of Monetary Policy on Bank Profitability
Borio, Claudio E. V. - 2015
This paper investigates how monetary policy affects bank profitability. We use data for 109 large international banks … profitability - return on assets - on the other. This suggests that the positive impact of the interest rate structure on net … that, over time, unusually low interest rates and an unusually flat term structure erode bank profitability …
Persistent link: https://www.econbiz.de/10013014487
Cover Image
Determinants of Bank Profitability in Emerging Markets
Kohlscheen, Emanuel - 2018
We analyse key determinants of bank profitability based on the evolution of balance sheets of 534 banks from 19 … emerging market economies. We find that higher long-term interest rates tend to boost profitability, while higher short … for bank profitability than GDP growth. The financial cycle thus appears to predict bank profitability better than the …
Persistent link: https://www.econbiz.de/10012930822
Cover Image
Bank Intermediation Activity in a Low Interest Rate Environment
Brei, Michael - 2019
This paper investigates how the prolonged period of low interest rates affects bank intermediation activity. We use data for 113 large international banks headquartered in 14 major advanced economies during the period 1994-2015. We find that low interest rates induce banks to shift their...
Persistent link: https://www.econbiz.de/10012863477
Cover Image
Why Did Bank Lending Rates Diverge from Policy Rates after the Financial Crisis?
Illes, Annamaria - 2015
The global finance crisis prompted central banks in many countries to cut short-term policy rates to near zero levels. Yet, lending rates did not fall as much as the decline in policy rates would have suggested. We argue that comparing lending rates to policy rates is misleading: banks do not...
Persistent link: https://www.econbiz.de/10013028279
Cover Image
Implications of Negative Interest Rates for the Net Interest Margin and Lending of Euro Area Banks
Klein, Melanie - 2020
market rates. As low profitability could hamper the ability of banks to expand lending, I also investigate the impact of the …
Persistent link: https://www.econbiz.de/10012837536
Cover Image
Mortgage Risk and the Yield Curve
Malkhozov, Aytek - 2015
We study the feedback from the risk of outstanding mortgage-backed securities (MBS) on the level and volatility of interest rates. We incorporate the supply shocks resulting from changes in MBS duration into a parsimonious equilibrium dynamic term structure model and derive three predictions...
Persistent link: https://www.econbiz.de/10013010252
Cover Image
The 2011 FDIC Assessment on Banks Managed Liabilities : Interest Rate and Balance-Sheet Responses
Kreicher, Lawrence - 2014
The global financial crisis led to discussion of corrective bank taxes to promote financial stability. This paper interprets the widening of the FDIC assessment base from deposits to assets less equity for US-chartered banks in April 2011 as such a corrective or Pigovian tax. In terms of yields,...
Persistent link: https://www.econbiz.de/10013063665
Cover Image
The Impact of Unconventional Monetary Policies on Retail Lending and Deposit Rates in the Euro Area
Hofmann, Boris - 2020
This paper investigates the overall effect of the European Central Bank's (ECB's) unconventional monetary policies (UMPs) implemented since 2008 on euro area bank retail lending and deposit rates offered to households and non-financial corporations. To do so, we use an analytical approach that...
Persistent link: https://www.econbiz.de/10012837534