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The Hunt for Duration : Not Waving but Drowning?
Domanski, Dietrich - 2017
adjustments by long-term investors aimed at containing duration mismatches may have acted as an amplification mechanism in this … process. Declining long-term interest rates tend to widen the negative duration gap between the assets and liabilities of … insurers and pension funds, and any attempted rebalancing by increasing asset duration results in further downward pressure on …
Persistent link: https://www.econbiz.de/10012962082
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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
The recent negative interest rate policy (NIRP) and quantitative easing (QE) programme by the ECB have raised concerns about the pass-through of monetary policy. On the one hand, negative rates could lead to declining bank profitability making an expansionary monetary policy contractionary....
Persistent link: https://www.econbiz.de/10012892229
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The Hunt for Duration : Not Waving But Drowning?
Domanski, Dietrich - 2015
portfolio adjustments by long-term investors aimed at containing duration mismatches may have acted as an amplification … mechanism in this process. Declining long-term interest rates tend to widen the negative duration gap between the assets and … liabilities of insurers and pension funds, and any attempted rebalancing by increasing asset duration results in further downward …
Persistent link: https://www.econbiz.de/10013014073
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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
Urbschat, Florian - 2018
The recent negative interest rate policy (NIRP) and quantitative easing (QE) programme by the ECB have raised concerns about the pass-through of monetary policy. On the one hand, negative rates could lead to declining bank profitability making an expansionary monetary policy contractionary....
Persistent link: https://www.econbiz.de/10011933740
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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
Urbschat, Florian - 2018 - This version: July 9, 2018
The recent negative interest rate policy (NIRP) and quantitative easing (QE) programme by the ECB have raised concerns about the pass-through of monetary policy. On the one hand, negative rates could lead to declining bank profitability making an expansionary monetary policy contractionary....
Persistent link: https://www.econbiz.de/10011873929
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The Duration of Bank Retail Interest Rates
Craig, Ben R. - 2011
functional form of the hazard of changing a price, the effect of firm and market characteristics on the duration of prices, and … determinants of the duration of retail interest rates are the cumulated change in the money market interest rates and the policy …
Persistent link: https://www.econbiz.de/10013133627
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Differences in euro-area household finances and their relevance for monetary-policy transmission
Hintermaier, Thomas; Koeniger, Winfried - 2018
This paper quantifies the extent of heterogeneity in consumption responses to changes in real interest rates and house prices in the four largest economies in the euro area: France, Germany, Italy, and Spain. We first calibrate a life-cycle incomplete-markets model with a liquid financial asset...
Persistent link: https://www.econbiz.de/10011863469
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Differences in euro-area household finances and their relevance for monetary-policy transmission
Hintermaier, Thomas; Koeniger, Winfried - 2019
This paper quantifies the extent of heterogeneity in consumption responses to changes in real interest rates and house prices in the four largest economies in the euro area: France, Germany, Italy, and Spain. We first calibrate a life-cycle incomplete-markets model with a financial asset and...
Persistent link: https://www.econbiz.de/10012129430
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Differences in euro-area household finances and their relevance for monetary-policy transmission
Hintermaier, Thomas; Koeniger, Winfried - 2019
This paper quantifies the extent of heterogeneity in consumption responses to changes in real interest rates and house prices in the four largest economies in the euro area: France, Germany, Italy, and Spain. We first calibrate a life-cycle incomplete-markets model with a financial asset and...
Persistent link: https://www.econbiz.de/10012133482
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The price of liquidity : bank characteristics and market conditions
Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg - 2010
We identify frictions in the market for liquidity as well as bank-specific and market-wide factors that affect the prices that banks pay for liquidity, captured here by borrowing rates in repos with the central bank and benchmarked by the overnight index swap. We have price data at the...
Persistent link: https://www.econbiz.de/10008689127