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Interest Rate Spillovers from the United States : Expectations, Term Premia and Macro-Financial Vulnerabilities
Mehrotra, Aaron N. - 2019
We analyse how movements in the components of sovereign bond yields in the United States affect long-term rates in 10 advanced and 21 emerging economies. The paper documents significant global spillovers from both the expectations and term premia components of long-term rates in the United...
Persistent link: https://www.econbiz.de/10012860570
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Different No More : Country Spreads in Advanced and Emerging Economies
Born, Benjamin - 2020
Interest-rate spreads fluctuate widely across time and countries. We characterize their behavior using some 3,200 quarterly observations for 21 advanced and 17 emerging economies since the early 1990s. Before the financial crisis, spreads are 10 times more volatile in emerging economies than in...
Persistent link: https://www.econbiz.de/10012841745
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Climate Finance Intermediation : Interest Spread Effects in a Climate Policy Model
Lessmann, Kai - 2020
Interest rates are central determinants of saving and investment decisions. Costly financial intermediation distort these price signals by creating a spread between the interest rates on deposits and loans with substantial effects on the supply of funds and the demand for credit. This study...
Persistent link: https://www.econbiz.de/10012830109
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Oil Prices, Exchange Rates and Interest Rates
Kilian, Lutz - 2019
There has been much interest in the relationship between the price of crude oil, the value of the U.S. dollar, and the U.S. interest rate since the 1980s. For example, the sustained surge in the real price of oil in the 2000s is often attributed to the declining real value of the U.S. dollar as...
Persistent link: https://www.econbiz.de/10012892101
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Liquidity, term spreads and monetary policy
Aksoy, Yunus; Basso, Henrique S. - 2012
use the model to look at monetary policy and show that allowing banks to sell long-term assets to the central bank after a …
Persistent link: https://www.econbiz.de/10010290138
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The Good, the Bad, and the Ugly : Impact of Negative Interest Rates and QE on the Profitability and Risk-Taking of 1600 German Banks
Florian, Urbschat - 2019
about the pass-through of monetary policy. On the one hand, negative rates could lead to declining bank profitability making … interest rates per se. This paper uses a large micro level data set of the German bank universe to examine how banks behave in … this uncharted territory. The evidence found suggests that bank’s business model, i.e. the share of overnight deposits …
Persistent link: https://www.econbiz.de/10012892229
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Bank Consolidation, Interest Rates, and Risk : A Post-Merger Analysis Based on Loan-Level Data from the Corporate Sector
Juranek, Steffen; Nilsen, Øivind Anti; Ulsaker, Simen A. - 2021
In this paper we analyse the bank merger between DnB and Gjensidige Bank in 2003, ranked by market share as number one … and number three in the Norwegian bank market. Focusing on loans to firms, our difference-in-differences analysis shows no …
Persistent link: https://www.econbiz.de/10013310766
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Trade and Credit Reallocation : How Banks Help Shape Comparative Advantage
Keuschnigg, Christian - 2019
capital standards, and cost of bank equity determine credit reallocation, sectoral expansion and trade patterns …
Persistent link: https://www.econbiz.de/10012892187
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An extended macro-finance model with financial factors
Dewachter, Hans; Iania, Leonardo - 2010
This paper extends the benchmark Macro-Finance model by introducing, next to the standard macroeconomic factors, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED spread while the return-forecasting (risk premium) factor...
Persistent link: https://www.econbiz.de/10010266074
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The consumption-based determinants of the term structure of discount rates
Gollier, Christian - 2005
The efficient rate of return of a zero-coupon bond with maturity t is determined by our expectations about the mean (+), variance (-) and skewness (+) of the growth of aggregate consumption between 0 and t. The shape of the yield curve is thus determined by how these moments vary with t. We...
Persistent link: https://www.econbiz.de/10010261120