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Book Value Risk Management of Banks : Limited Hedging, HTM Accounting, and Rising Interest Rates

Granja, João; Jiang, Erica Xuewei; Matvos, Gregor; … - National Bureau of Economic Research - 2024

In the face of rising interest rates in 2022, banks mitigated interest rate exposure of the accounting value of their assets but left the vast majority of their long-duration assets exposed to interest rate risk. Data from call reports and SEC filings shows that only 6% of U.S. banking assets...

Persistent link: https://www.econbiz.de/10014512148

Misdiagnosing Bank Capital Problems

Bulow, Jeremy; Klemperer, Paul - National Bureau of Economic Research - 2021

Banks' reluctance to repair their balance sheets, combined with deposit insurance and regulatory forbearance in recognizing greater risks and losses, can lead to solvency problems that look like liquidity (bank-run) crises. Regulatory forbearance incentivizes banks to both retain risky loans and...

Persistent link: https://www.econbiz.de/10012629443

Beyond the Balance Sheet Model of Banking : Implications for Bank Regulation and Monetary Policy

Buchak, Greg - 2018

adjustment that are usually absent from this view using microdata in the $10 trillion U.S. residential mortgage market. We first …

Persistent link: https://www.econbiz.de/10012480801

Bank Capital Regulation in General Equilibrium

Gorton, Gary - 1995

We study whether the socially optimal level of stability of the banking system can be implemented with regulatory capital requirements in a multi-period general equilibrium model of banking. We show that: (i) bank capital is costly because of the unique liquidity services provided by demand...

Persistent link: https://www.econbiz.de/10012473633

Risk-Based Capital Standards and the Riskiness of Bank Portfolios : Credit and Factor Risks

Grenadier, Steven R. - 1995

against direct mortgages relative to mortgage- backed securities. In addition, we find large differences in the credit …

Persistent link: https://www.econbiz.de/10012473701

Deregulation, Savings and Loan Diversification, and the Flow of Housing Finance

Kane, Edward J. - 1981

This paper assesses the probable impact on S&Ls' profitability and participation in mortgage markets of The Depository …&L mortgage holdings between 1965 and 1979 and argues(contrary to conventional wisdom) that deposit-rate ceilings proved no more … and state restrictions on S&L loan opportunities and on mortgage lenders' ability to design and to price mortgage …

Persistent link: https://www.econbiz.de/10012478481

Fintech, Regulatory Arbitrage, and the Rise of Shadow Banks

Buchak, Greg - 2017

gaps were partly filled by shadow banks. Shadow banks with predominately online mortgage application process, "fintech … shadow banks. We interpret the variation in mortgage rates and market shares using the model and find that increasing …

Persistent link: https://www.econbiz.de/10012455393

Loan Product Steering in Mortgage Markets

Agarwal, Sumit - 2016

mortgage products. We identify this activity by comparing borrowers who were rejected by lenders but were subsequently approved …

Persistent link: https://www.econbiz.de/10012455984

Mortgage Modification and Strategic Behavior : Evidence from a Legal Settlement with Countrywide

Mayer, Christopher J. - 2011

We investigate whether homeowners respond strategically to news of mortgage modification programs. We exploit plausibly … strategic behavior should be an important consideration in designing mortgage modification programs …

Persistent link: https://www.econbiz.de/10012461592

Did Railroads Make Antebellum U.S. Banks More Sound?

Atack, Jeremy - 2014

We investigate the relationships of bank failures and balance sheet conditions with measures of proximity to different forms of transportation in the United States over the period from 1830-1860. A series of hazard models and bank-level regressions indicate a systematic relationship between...

Persistent link: https://www.econbiz.de/10012458632

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