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Interest rate pass-through and bank risk-taking under negative-rate policies with tiered remuneration of central bank reserves
Basten, Christoph; Mariathasan, Mike - 2020
We identify the effects of negative interest rate policies on bank behavior using difference-in differences identification and data on all Swiss banks. First, we find that going negative can interrupt not only the pass-through from policy to deposit rates, but also that to mortgage rates....
Persistent link: https://www.econbiz.de/10012419657
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Interest rates, capital and bank risk-taking
Smith, Jonathan Acosta - 2018
Persistent link: https://www.econbiz.de/10011948159
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Interest rate pass-through and bank risk-taking under negative-rate policies with tiered remuneration of central bank reserves
Basten, Christoph; Mariathasan, Mike - In: Journal of financial stability 68 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014559114
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Effects of a negative interest rate policy in bank profitability and risk taking : evidence from European banks
López Penabad, María Celia; Iglesias Casal, Ana; … - In: Research in international business and finance 60 (2022), pp. 1-20
Persistent link: https://www.econbiz.de/10013411296
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Interest rate policy and exchange rates volatility lessons from Indonesia
Kuncoro, Haryo - In: Journal of central banking theory and practice 9 (2020) 2, pp. 19-42
Whether or not inflation targeting adoption leads to increased volatility of exchange rates is controversial. The … volatility increases with inflation targeting as a result of the flexible exchange rate regime. Others argue that inflation … targeting delivers the best outcomes in terms of lower exchange rate volatility. The purpose of this paper is to investigate …
Persistent link: https://www.econbiz.de/10012305740
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VIX changes and derivative returns on FOMC meeting days
Krieger, Kevin; Mauck, Nathan; Chen, Denghui - In: Financial markets and portfolio management 26 (2012) 3, pp. 315-331
Persistent link: https://www.econbiz.de/10009623474
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Comparing U.S. and European Market Volatility Responses to Interest Rate Policy Announcements
Krieger, Kevin - 2014
We examine the response of U.S. (VIX) and German (VDAX) implied volatility indices to the announcement of interest rate …
Persistent link: https://www.econbiz.de/10013060845
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Comparing U.S. and European market volatility responses to interest rate policy announcements
Krieger, Kevin; Mauck, Nathan; Vazquez, Joseph - In: International review of financial analysis 39 (2015), pp. 127-136
Persistent link: https://www.econbiz.de/10011573113
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The Announcement of Monetary Policy Intentions
Ferrero, Giuseppe - 2010
Whether a central bank should share with the public its views about the future evolution of short term interest rates is an unresolved issue. Disclosing this information might allow a more precise control of market expectations and a more effective achievement of the ultimate goals of the...
Persistent link: https://www.econbiz.de/10013149808
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Discretely distributed scheduled jumps and interest rate derivatives : pricing in the context of central bank actions
Silva, Allan Jonathan da; Baczynski, Jack - In: Economies : open access journal 12 (2024) 3, pp. 1-29
Interest rate dynamics are influenced by various economic factors, and central bank meetings play a crucial role concerning this subject matter. This study introduces a novel approach to modeling interest rates, focusing on the impact of central banks' scheduled interventions and their...
Persistent link: https://www.econbiz.de/10014501143