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Bank Portfolio Risk and Interest Rate Spread of Risky Loans : A Methodological Analysis
Yu, Hua - 2018
The author's study analyzes, loan valuation methods using discrete time model of contingent claims analysis. In the empirical test, the undiversifiable risk was measured by the correlation coefficient of one borrower with the average return of all borrowers. The results of the test supported the...
Persistent link: https://www.econbiz.de/10012920146
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An empirical analysis of factors affecting bank interest margins : evidence from the South East European countries
Ganić, Mehmed - In: Comparative economic research : Central and Eastern Europe 21 (2018) 2, pp. 81-98
Margins) and a set of selected banks' specific variables in SEE by employing panel data estimation methodology. This research …This paper provides an empirical analysis of factors affecting Bank Interest Margins in eight countries of the South …-East European (SEE) region between 2000 and 2014. The purpose of this paper is to examine and investigate the main drivers of Bank …
Persistent link: https://www.econbiz.de/10011877311
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Structural and Cyclical Determinants of Bank Interest Rate Pass-Through in Eurozone
Leroy, Aurélien - 2016
Eurozone for a sample of 11 euro area countries over the period 2003M1-2011M12. Considering two harmonized bank retail rates … monetary policy transmission. Findings based on a panel ECM approach and a panel interaction VAR framework indicate that …
Persistent link: https://www.econbiz.de/10013003901
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Structural and Cyclical Determinants of Bank Interest Rate Pass-Through in Eurozone
Leroy, Aurélien - 2015
Eurozone for a sample of 11 euro area countries over the period 2003M1-2011M12. Considering two harmonized bank retail rates … monetary policy transmission. Findings based on a panel ECM approach and a panel interaction VAR framework indicate that …
Persistent link: https://www.econbiz.de/10013033203
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An Empirical Analysis of the Determinants of Interest Rate Spreads : A Case of Commercial Banks in Zimbabwe
Bonga, Wellington Garikai - 2016
in Zimbabwean commercial banking sector. A panel data regression analysis using Stata 11.1 software is employed for the … multicurrency period (2009-2015), for 5 commercial banks in Zimbabwe listed on the Zimbabwe Stock Exchange. Through panel tests on … collected data, the study adopted the Random Effects Model. Interest rate spreads have been found to be determined by bank …
Persistent link: https://www.econbiz.de/10012983952
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Bank Size vs. Deposit Rate, Lending Rate as Well as Spread - A Panel Data Analysis 1997-2008 : A Discussion
Georgiou, Miltiades N. - 2010
period 1997-2008. Data source is O.E.C.D. Panel data are elaborated by the Eviews software package …
Persistent link: https://www.econbiz.de/10013138248
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Macroprudential policies at work : how do government-owned banks affect credit markets?
Capeleti, Paulo; Garcia, Márcio Gomes Pinto; Sanches, … - 2018
microeconomic model of bank competition that contemplates differences in the behavior of public and private banks and the …
Persistent link: https://www.econbiz.de/10011900116
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Expectation-driven term structure of equity and bond yields
Zeng, Ming; Zhao, Guihai - 2022 - Last updated: May 11, 2022
Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of equilibrium asset pricing. This paper presents a new equilibrium model of subjective expectations to explain the joint historical dynamics of equity and bond yields (and their yield...
Persistent link: https://www.econbiz.de/10013193433
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What Fed funds futures tell us about monetary policy uncertainty
Fontaine, Jean-Sébastien - 2016
The uncertainty around future changes to the Federal Reserve target rate varies over time. In our results, the main driver of uncertainty is a "path" factor signaling information about future policy actions, which is filtered from federal funds futures data. The uncertainty is highest when it...
Persistent link: https://www.econbiz.de/10011576374
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Quantitative easing and long-term yields in small open economies
Díez de los Ríos, Antonio; Shamloo, Maral - 2017
We compare the Federal Reserve's asset purchase programs with those implemented by the Bank of England and the Swedish … Riksbank, and the Swiss National Bank’s reserve expansion program. We decompose government bond yields into (i) an expectations …
Persistent link: https://www.econbiz.de/10011684923