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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
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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
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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
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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
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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
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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
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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
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Measuring Contagion Risk in International Banking
Avdjiev, Stefan - 2019
We propose a distress measure for national banking systems that incorporates not only banks' CDS spreads, but also how they interact with the rest of the global financial system via multiple linkage types. The measure is based on a tensor decomposition method that extracts an adjacency matrix...
Persistent link: https://www.econbiz.de/10012866642
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Does Variance Risk Have Two Prices? Evidence from the Equity and Option Markets
Barras, Laurent - 2015
We formally compare two versions of the market Variance Risk Premium (VRP) measured in the equity and option markets. Both VRPs follow common patterns and respond similarly to changes in volatility and economic conditions. However, we reject the null hypothesis that they are identical and find...
Persistent link: https://www.econbiz.de/10013013799
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The US dollar shortage in global banking and the international policy response
McGuire, Patrick M.; Peter, Goetz von - Bank for International Settlements / Monetary and … - 2009
Among the policy responses to the global financial crisis, the international provision of US dollars via central bank swap lines stands out. This paper studies the build-up of stresses on banks' balance sheets that led to this coordinated policy response. Using the BIS international banking...
Persistent link: https://www.econbiz.de/10009138467