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We show that maturity transformation does not expose banks to significant interest rate risk|it hedges it. This is due to banks' deposit franchise. The deposit franchise gives banks substantial market power over deposits, allowing them to pay deposit rates that are low and insensitive to market...
Persistent link: https://www.econbiz.de/10012919327
This paper is the first to study the effect of financial restatement on bank loan contracting. Compared with loans …
Persistent link: https://www.econbiz.de/10012773124
disentangle loan supply from loan demand shift in the bank lending channel' literature. The results, derived from a sample of … in the pass-through on the interest rate on current accounts depends mainly on banks' liability structure. Bank's size is …
Persistent link: https://www.econbiz.de/10013246682
. Using branch-level deposit rate data, we find little evidence for market discipline as rates are similar across bank … correlated with loan growth in other states in which their bank has some presence, suggesting internal capital markets help … reallocate the bank's funding …
Persistent link: https://www.econbiz.de/10013016009
fund families, not bank dealers, who are the dominant factor in determining the pricing. Moreover, the repo market exhibits …
Persistent link: https://www.econbiz.de/10013016656
Regime-switching models are well suited to capture the non-linearities in interest rates. This paper examines the econometric performance of regime-switching models for interest rate data from the US, Germany and the UK. There is strong evidence supporting the presence of regime switches but...
Persistent link: https://www.econbiz.de/10012774902
This paper is a first attempt at evaluating the determinants of the total interest rate differentials on government bonds between high yielders, namely Italy, Spain, Sweden and Germany. In particular we address the question of the relative importance of local and global factors in the...
Persistent link: https://www.econbiz.de/10012774986
This paper extends previous work on the information in the term structure at longer maturities to other countries besides the United states, using a newly constructed data set for 1 to 5 year interest rates from Britain, West Germany and Switzerland. Even with wide differences in inflation...
Persistent link: https://www.econbiz.de/10013234377
We present an econometric method for estimating the parameters of a diffusion model from discretely sampled data. The estimator is transparent, adaptive, and inherits the asymptotic properties of the generally unattainable maximum likelihood estimator. We use this method to estimate a new...
Persistent link: https://www.econbiz.de/10013235636
representatives on corporate boards. If a banking relationship is a substitute for the stock market, then interaction with a bank … monopolistic control over access to external capital markets, then bank interests may conflict with those of other equityholders … structure of the firms' equity. We test for conflicts-of-interest in bank behavior and ask whether the relationship between …
Persistent link: https://www.econbiz.de/10013124511