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The liquidation basis of accounting and disclosure of liquidity and interest rate risks

Holzmann, Oscar J.; Ramnath, Sundaresh - In: The journal of corporate accounting & finance 24 (2012/13) 1, pp. 91-95

Persistent link: https://www.econbiz.de/10009731663

Liquidity provision, banking, and the allocation of interest rate risk

Hellwig, Martin - 1993

Persistent link: https://www.econbiz.de/10000853730

Liquidity risk and funding cost

Bechtel, Alexander; Ranaldo, Angelo; Wrampelmeyer, Jan - 2019

We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets …. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded … borrowers' funding liquidity risk that lead to systematic and persistent heterogeneity in funding costs. Our results have …

Persistent link: https://www.econbiz.de/10012050871

Liquidity risk and funding cost

Bechtel, Alexander; Ranaldo, Angelo; Wrampelmeyer, Jan - In: Review of finance : journal of the European Finance … 27 (2023) 2, pp. 399-422

Persistent link: https://www.econbiz.de/10014317804

Usefulness of interest income sensitivity disclosures

Cheng, Mei; Hodder, Leslie D.; Watkins, Jessica - In: The accounting review : a publication of the American … 96 (2021) 1, pp. 117-146

Persistent link: https://www.econbiz.de/10012439365

Disclosure of the Interest Rate Risk in the Banking Book of Listed Banks

Baldan, Cinzia; Zen, Francesco - 2012

This paper proposes an analysis of banks’ balance sheet, in order to appraise the public disclosure of information on interest rate risk. The aim is to verify market analyst resource to get filling information about this element, owing to the increasing consideration for interest rate risk,...

Persistent link: https://www.econbiz.de/10014165264

Is Maturity-Transformation Risk Priced into Bank Deposit Rates?

Fleckenstein, Matthias; Longstaff, Francis A. - National Bureau of Economic Research - 2024

banks offer customers. We find that depositors pay a significant cost for the liquidity provided by bank deposits. This cost … liquidity and Treasury liquidity as perfect substitutes. The results have important implications about the role of deposit …

Persistent link: https://www.econbiz.de/10014635687

Stochastic durations, the convexity effect, and the impact of interest rate changes

Fonseca, José Soares da - In: The European journal of finance 20 (2014) 10/12, pp. 994-1007

Persistent link: https://www.econbiz.de/10010464881

The effect of investment risks on stock return in the agricultural sector

Sadikin, Ali; Dalimunthe, Fahmi Roy - 2021

Persistent link: https://www.econbiz.de/10012659334

Interest rate pass-through and bank risk-taking under negative-rate policies with tiered remuneration of central bank reserves

Basten, Christoph; Mariathasan, Mike - 2020

We identify the effects of negative interest rate policies on bank behavior using difference-in differences identification and data on all Swiss banks. First, we find that going negative can interrupt not only the pass-through from policy to deposit rates, but also that to mortgage rates....

Persistent link: https://www.econbiz.de/10012419657

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