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Is Maturity-Transformation Risk Priced into Bank Deposit Rates?
Fleckenstein, Matthias; Longstaff, Francis A. - National Bureau of Economic Research - 2024
We use the term structure of bank CD rates to examine whether maturity-transformation risk is priced into the rates banks offer customers. We find that depositors pay a significant cost for the liquidity provided by bank deposits. This cost is strongly related to the amount of...
Persistent link: https://www.econbiz.de/10014635687
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Estimating the value and interest rate risk of interest-bearing transactions deposits
O'Brien, James M. - 2000
Persistent link: https://www.econbiz.de/10001550340
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An empirical analysis of the Jarrow-van Deventer model for valuing non-maturity demand deposits
Janosi, Tibor; Jarrow, Robert A.; Zullo, Ferdinando - In: The journal of derivatives : the official publication … 7 (1999) 1, pp. 8-31
Persistent link: https://www.econbiz.de/10001432461
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Measuring rents and interest rate risk in imperfect financial markets : the case of retail bank deposits
Hutchison, David E. - In: Journal of financial and quantitative analysis : JFQA 31 (1996) 3, pp. 399-417
Persistent link: https://www.econbiz.de/10001218974
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Modeling the whole firm : the effect of multiple inputs and financial intermediation on bank deposit rates
Kiser, Elizabeth K. - 2004
Persistent link: https://www.econbiz.de/10001936247
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Bank-branch supply, financial inclusion, and wealth accumulation
Célérier, Claire; Matray, Adrien - In: The review of financial studies 32 (2019) 12, pp. 4767-4809
Persistent link: https://www.econbiz.de/10012135503
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Impact of the US credit crunch and housing market crisis on China
Yao, Shujie (contributor); Luo, Dan (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003759101
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Interest rate risk and the forward premium anomaly in foreign exchange markets
Wu, Shu - In: Journal of money, credit and banking : JMCB 39 (2007) 2/3, pp. 423-442
Persistent link: https://www.econbiz.de/10003469641
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Impact of the US credit crunch and housing market crisis on China
Yao, Shujie; Luo, Dan; Morgan, Stephen L. - In: Journal of contemporary China 19 (2010) 64, pp. 401-417
Persistent link: https://www.econbiz.de/10003949072
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The impact of recent central bank asset purchase programmes
Meaning, Jack; Zhu, Feng - In: BIS quarterly review : international banking and … (2011), pp. 73-83
Persistent link: https://www.econbiz.de/10009419353