This paper shows the importance of interest rate risk and prepayment risk in fixed-rate mortgages in influencing banks’ securitization of mortgages. Banks with longer-maturity liabilities are more capable of taking the interest rate risk and therefore securitize fewer mortgages. In contrast,...

Corporate credit lines are drawn more heavily when funding markets are more stressed. This covariance elevates expected bank funding costs. We show that credit supply is dampened by the associated debtoverhang cost to bank shareholders. Until 2022, this impact was reduced by linking the interest...

This paper empirically examines the determinants of margins for a unique dataset of 8,120 mortgage loans with fixed interest rates of a medium-sized Swiss bank over the period from 2000 to 2009. Our margin determinants include loan-specific factors, as well as external and bank-specific...

This paper shows how credit quality transition matrices of loans to Italian firms changed during a cyclical downturn (2008-09), compared with a time of growth (2006-07). Once transition matrices were linked to interest rates, banks appear to have been able at calibrating required risk premiums...

I provide empirical evidence that ratings are relevant determinants of interest rates in the overnight interbank market, even after controlling for other observable factors about credit risk and solvency in banks' balance sheets. I develop a multiperiod network model that exploits this feature...

The aim of this paper is twofold. Using the Eu-Silc database for seven European countries, we first analyse the frequency of households in arrears in repaying mortgages. By considering only households with mortgages, we uncover some new evidence compared to previous analyses. Although the shares...

This paper shows how credit quality transition matrices of loans to Italian firms changed during a cyclical downturn (2008-09), compared with a previous time of growth (2006-07). Once transition matrices were linked to interest rates, banks appear to have been remarkably able at calibrating...

After August 2007 the plumbing system that supplied banks with wholesale funding, the interbank market, failed because toxic assets obstructed the pipes. Banks were forced to squeeze liquidity in a 'lemons market' or to ask for liquidity 'on tap' from central banks. This paper disentangles the...

This paper employs a time-varying parameter state space model to explore the impact of the crisis on bank retail rates in the euro area. We show that σ-convergence in interest rates has been adversely affected by the crisis and quantify the role of sovereign and credit risk as two alternative...

Against the backdrop of a high stock of non-performing loans (NPLs) in several European countries, this paper investigates the role of NPLs for lending rates charged for newly granted loans in the euro area. More precisely, it looks for an effect that extends beyond losses caused by that stock...