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Low interest rates and banks' interest margins : does belonging to a banking group matter?
Argimón, Isabel; Danton, Jayson M.; Haan, Jakob de; … - 2021
Using data for a large sample of banks from 31 OECD countries over 1995–2018, we analyze the impact of belonging to a banking group on banks’ net interest margins. Our results confirm a positive relationship between interest rates and interest margins, which is stronger in a low-interest...
Persistent link: https://www.econbiz.de/10012628790
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Risk matters : a comment
Born, Benjamin; Pfeifer, Johannes - 2014
Jesús Fernández-Villaverde, Pablo A. Guerrón-Quintana, Juan F. Rubio-Ramírez and Martín Uribe (2011) find that risk shocks are an important factor in explaining emerging market business cycles. We show that their model needs to be recalibrated because it underpredicts the targeted business...
Persistent link: https://www.econbiz.de/10010354846
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How do banks and households manage interest rate risk? : evidence from the Swiss mortgage market
Basten, Christoph; Guin, Benjamin; Koch, Cathérine - 2017
We exploit a unique data set that features both un-intermediated mortgage requests and independent offers from multiple banks for each request. We show that households typically are not prudent risk managers but prioritize the minimization of current mortgage payments over the risk of possible...
Persistent link: https://www.econbiz.de/10011721608
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Do Zombies rise when interest rates fall? : a relationship banking model
Herweg, Fabian; Kähny, Maximilian - 2022
An entrepreneur chooses a relationship bank or market finance. The advantage of bank finance is that the quality of the … that the bank continues inefficient projects, i.e., zombie lending occurs. In the short run - for a given contract - a drop … in the market interest rate increases zombification. The bank adapts the contract to this drop in the long run, and …
Persistent link: https://www.econbiz.de/10013041381
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Interest rate skewness and biased beliefs
Bauer, Michael D.; Chernov, Mikhail - 2021 - First draft: January 2021, this draft: June 16, 2021
Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced variation over the business cycle and with the stance of monetary policy, and a tight relationship with the slope of the yield curve. Most importantly, variation in yield skewness has...
Persistent link: https://www.econbiz.de/10012547050
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Multilateral loans and interest rates : further evidence on the seniority conundrum
Steinkamp, Sven; Westermann, Frank - 2016
During Europe's sovereign-debt crisis, interest rate spreads have been highly correlated with the share of multilateral loans that were considered senior to private markets. As both variables are potentially endogenous, we follow two different approaches to analyze the direction of causality....
Persistent link: https://www.econbiz.de/10011569629
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How has the global financial crisis affected syndicated loan terms in emerging markets? : evidence from China
Caporale, Guglielmo Maria; Lodh, Suman; Nandy, Monomita - 2015
This paper examines the impact of the recent global financial crisis on the cost of debt capital (syndicated loans) in a leading emerging market, namely China, using difference-in-differences and GARCH approaches. Before the crisis China adopted banking reforms allowing entry of foreign banks...
Persistent link: https://www.econbiz.de/10010518789
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Monetary policy and asset price overshooting: a rationale for the Wall/Main Street disconnect
Caballero, Ricardo J.; Simsek, Alp - 2022
responds to asset prices with a lag. If there is a negative output gap, the central bank optimally overshoots aggregate asset …
Persistent link: https://www.econbiz.de/10013093040
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Animal spirits and credit cycles
De Grauwe, Paul; Macchiarelli, Corrado - 2013
that the central bank has an important responsibility for stabilizing output. Output stabilization is an instrument to …
Persistent link: https://www.econbiz.de/10010210693
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Non-linearities and persistence in US long-run interest rates
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020
This note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a fractional integration model suitable to capture both persistence and non-linearities, these being two important properties of interest rates. Two series are analysed, one from...
Persistent link: https://www.econbiz.de/10012383724