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The impact of interest rate risk on bank lending
Beutler, Toni; Bichsel, Robert; Bruhin, Adrian; Danton, … - 2015
In this paper, we empirically analyze the transmission of realized interest rate risk - the gain or loss in bank economic capital due to movements in interest rates - to bank lending. We exploit a unique panel data set that contains supervisory information on the repricing maturity profiles of...
Persistent link: https://www.econbiz.de/10011396762
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Interest rate elasticity of bank loans : the case for sector-specific capital requirements
Hense, Florian - 2015
Empirical credit demand analysis undertaken at the aggregate level obscures potential behavioral heterogeneity between … the credit cycle with respect to interest rates, output and house prices is found. The results motivate sector …
Persistent link: https://www.econbiz.de/10010519968
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Interest Rate Elasticity of Bank Loans : The Case for Sector-Specific Capital Requirements
Hense, Florian - 2015
Empirical credit demand analysis undertaken at the aggregate level obscures potential behavioral heterogeneity between … sectors and the credit cycle with respect to interest rates, output and house prices. The results motivate sector …
Persistent link: https://www.econbiz.de/10013031698
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Economic policy in India : for economic stimulus, or for austerity and volatility?
Sen, Sunanda; DasGupta, Zico - 2014
The implementation of economic reforms under new economic policies in India was associated with a paradigmatic shift in monetary and fiscal policy. While monetary policies were solely aimed at "price stability" in the neoliberal regime, fiscal policies were characterized by the objective of...
Persistent link: https://www.econbiz.de/10010385761
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Credit standards and capital allocation in a low interest rate environment
Andersen, Svend Greniman; Kuchler, Andreas - 2016
Using firm-level data from surveys and financial statements, this paper presents an analysis of credit standards … to significant easing of credit standards for the least creditworthy firms. The current credit standards to a large … indicates that Danish firms' credit demand is relatively limited, and that they have relatively good access to finance in …
Persistent link: https://www.econbiz.de/10011489436
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Bank Risk-Taking, Securitization, Supervision, and Low Interest Rates : Evidence from Lending Standards
Peydró, José-Luis - 2011
We analyze the root causes of the current crisis by studying the determinants of bank lending standards in the Euro Area using the answers from the confidential Bank Lending Survey, where national central banks request quarterly information on the lending standards banks apply to customers. We...
Persistent link: https://www.econbiz.de/10013133801
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The Impact of the Sovereign Debt Crisis on the Activity of Italian Banks
Albertazzi, Ugo - 2012
the cost of wholesale and of certain forms of retail funding for banks and in the cost of credit to firms and households …
Persistent link: https://www.econbiz.de/10013099517
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The Effectiveness of Unconventional Monetary Policy at the Zero Lower Bound : A Cross-Country Analysis
Gambacorta, Leonardo - 2014
This paper assesses the macroeconomic effects of unconventional monetary policies by estimating a panel VAR with monthly data from eight advanced economies over a sample spanning the period since the onset of the global finanancial crisis. It finds that an exogenous increase in central bank...
Persistent link: https://www.econbiz.de/10013065515
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Monetary Policy and Bank Lending in a Low Interest Rate Environment : Diminishing Effectiveness?
Borio, Claudio E. V. - 2017
This paper analyses the effectiveness of monetary policy on bank lending in a low interest rate environment. Based on a sample of 108 large international banks, our empirical analysis suggests that reductions in short-term interest rates are less effective in stimulating bank lending growth when...
Persistent link: https://www.econbiz.de/10012962059
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The Credit Cycle and Measurement of the Natural Rate of Interest
Ponomarenko, Alexey - 2018
We set up an agent-based model that generates realistic credit cycles. Using artificial data sets, we show that … vicinity of credit cycle peaks without any underlying changes in fundamentals. The empirical analysis confirms that the … measures of the natural interest rate tend to increase prior to a credit cycle peak and decrease afterwards. We conclude that …
Persistent link: https://www.econbiz.de/10012908138