Narrow search
Showing 1 - 10 of 245
Cover Image
Identifying Time Variability in Stock and Interest Rate Dependence
Stein, Michael - 2016
The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with differing results in terms of strength and direction of the relationship. This paper uses models of the multivariate GARCH type which allow for time-variability and regime changes in...
Persistent link: https://www.econbiz.de/10012988814
Cover Image
Banks' concentration versus diversification in the loan portfolio: New evidence from Germany
Jahn, Nadya; Memmel, Christoph; Pfingsten, Andreas - 2013
-offs and write-downs, we examine the impact of loan portfolio sector concentration on credit risk. By controlling for common …
Persistent link: https://www.econbiz.de/10010331372
Cover Image
Potential implications of a NSFR on German banks' credit supply and profitability
Schmitt, Matthias; Schmaltz, Christian - 2016
profitability of German banks and their capacity to lend. With a NSFR-model that is partially calibrated against reported NSFRs, we … minimum standard is unlikely to exhibit adverse consequences for credit supply and bank profitability. …
Persistent link: https://www.econbiz.de/10011541338
Cover Image
Will German banks earn their cost of capital?
Dombret, Andreas; Gündüz, Yalin; Rocholl, Jörg - 2017
In recent years, the German banking sector has overcome major challenges such as the global financial crisis and the European debt crisis. This paper analyses a recent development as a particular determinant of the future outlook for the German banking sector. Interest rates are at historically...
Persistent link: https://www.econbiz.de/10011590067
Cover Image
An analysis of non-traditional activities at German savings banks: Does the type of fee and commission income matter?
Köhler, Matthias - 2018
profitability and stability is correlated with the share of their fee and commission income. Notably, we examine whether the effect … on bank profitability differs depending on the type of fee and commission income. Our results support the view that … securities business, also have a higher profitability. The Z-score also correlates positively with the share of securities …
Persistent link: https://www.econbiz.de/10011787891
Cover Image
Potential Implications of a NSFR on German Banks' Credit Supply and Profitability
Schmitt, Matthias - 2016
profitability of German banks and their capacity to lend. With a NSFR-model that is partially calibrated against reported NSFRs, we … minimum standard is unlikely to exhibit adverse consequences for credit supply and bank profitability …
Persistent link: https://www.econbiz.de/10012981489
Cover Image
Banks' Interest Rate Risk and Search for Yield : A Theoretical Rationale and Some Empirical Evidence
Memmel, Christoph - 2016
We investigate German banks' exposure to interest rate risk. In finance, higher demand for a risky asset is typically associated with higher expected return. However, employing a utility function which implies both risk-averse and risk-seeking behavior depending on the level of profits, we show...
Persistent link: https://www.econbiz.de/10012987206
Cover Image
The Intraday Interest Rate : What's that?
Abbassi, Puriya - 2016
We study the intraday interest rate in a CCP-based GC pooling repo market and its key determinants. Since collateral used in this market is identical to collateral eligible for the daylight overdraft facility of the Eurosystem, any intraday rate in this market cannot be a result of collateral...
Persistent link: https://www.econbiz.de/10012988682
Cover Image
Banks' Net Interest Margin and the Level of Interest Rates
Busch, Ramona - 2016
An increase in the level of interest rates is said to have a negative impact on banks' net interest margins in the short run. Using a time series of more than 40 years for the German banking system, we show that the opposite effect exists in the long run, where an increase in the level of...
Persistent link: https://www.econbiz.de/10012988690
Cover Image
Determinants of the Interest Rate Pass-Through of Banks : Evidence from German Loan Products
Schlueter, Tobias - 2016
This article examines the loan rate-setting behavior of German banks for a large variety of retail and corporate loan products. We find that a bank's operational efficiency is priced in bank loan rates and alters interest-setting behavior. Specifically, we establish that a higher degree of...
Persistent link: https://www.econbiz.de/10012988811