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in the GCC. We use bank-level panel data, exploiting variation across banks within countries, to isolate the impact of … changing U.S. interest rates on GCC banks funding costs, asset rates, and profitability. We find stronger pass-through from U ….S. monetary policy to liability rates than to asset rates and bank profitability, largely reflecting funding structures. In …
Persistent link: https://www.econbiz.de/10012843506
Economy-wide effects of shocks to the US federal funds rate are estimated in a state space model with 120 US macroeconomic and financial time series driven by the dynamics of the federal funds rate and a few dynamic factors. This state space system is denoted a factor-augmented VAR (FAVAR) by...
Persistent link: https://www.econbiz.de/10012718723
Economy-wide effects of shocks to the US federal funds rate are estimated in a state space model with 120 US macroeconomic and financial time series driven by the dynamics of the federal funds rate and a few dynamic factors. This state space system is denoted a factor-augmented VAR (FAVAR) by...
Persistent link: https://www.econbiz.de/10012718964
on banks' internal ratings on loans to businesses over the period 1997 to 2011 from the Federal Reserve's survey of terms … of business lending. We find that ex-ante risk taking by banks (measured by the risk rating of new loans) is negatively … with the nationwide business cycle, and less pronounced for banks with relatively low capital or during periods of …
Persistent link: https://www.econbiz.de/10012992419
holds that the central bank’s actions are the main determinants of long-term interest rates. A simple model is presented … where the central bank’s actions are the key drivers of long-term interest rates through short-term interest rates and …
Persistent link: https://www.econbiz.de/10011453037
estimation of the natural rates of interest, unemployment and output, and the sustainable growth rate of the US economy. By …
Persistent link: https://www.econbiz.de/10011871950
This paper uses long-range dependence techniques to analyse two important features of the US Federal Funds effective rate, namely its persistence and cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 until 2010. Two models are considered. One is based on an...
Persistent link: https://www.econbiz.de/10013097750
This paper uses long-range dependence techniques to analyse two important features of the US Federal Funds effective rate, namely its persistence and cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 until 2010. Two models are considered. One is based on an...
Persistent link: https://www.econbiz.de/10013089178
In this article, we are investigating the effects of the macroeconomic variables. We have applied a Quantile regression, (including LAD), in EViews 6 to test the quantile of the natural logarithmic returns of the seasonally adjusted money supply, (M2) on the natural logarithmic returns of the...
Persistent link: https://www.econbiz.de/10012910782
holds that the central bank's actions are the main determinants of long-term interest rates. A simple model is presented … where the central bank's actions are the key drivers of long-term interest rates through short-term interest rates and …
Persistent link: https://www.econbiz.de/10012992932