This paper presents a dynamic model of bank behavior that explains net interest margin changes for different groups of banks in response to credit, interest-rate, and term-structure shocks. Using quarterly data from 1986 to 2003, we find that banks with different product-line specializations and...

This study estimates a model of banking company equity returns taking into consideration book value and market value measures of their exposure to emerging markets debt. In this estimation, general systematic market factors, such as the rate of return on the Samp;P500 stock index and yields on a...