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Banks’ exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure
Memmel, Christoph - 2010
We use a unique dataset of German banks’ exposure to interest rate risk to derive the following statements about their exposure to this risk and their earnings from term transformation. The systematic factor for the exposure to interest rate risk moves in sync with the shape of the term...
Persistent link: https://www.econbiz.de/10008657143
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Banks' Exposure to Interest Rate Risk, Their Earnings from Term Transformation, and the Dynamics of the Term Structure
Memmel, Christoph - 2010
We use a unique dataset of German banks' exposure to interest rate risk to derive the following statements about their exposure to this risk and their earnings from term transformation. The systematic factor for the exposure to interest rate risk moves in sync with the shape of the term...
Persistent link: https://www.econbiz.de/10013138424
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Banks’ exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure
Memmel, Christoph - In: Journal of banking & finance 35 (2011) 2, pp. 282-289
Persistent link: https://www.econbiz.de/10009244330
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How correlated are changes in banks’ net interest income and in their present value?
Memmel, Christoph - 2010
We use portfolios of passive investment strategies to replicate the interest risk of banks’ banking books. The following empirical statements are derived: (i) Changes in banks’ present value and in their net interest income are highly correlated, irrespective of the banks’ portfolio...
Persistent link: https://www.econbiz.de/10008822029
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Interest and credit risk management in German banks : evidence from a quantitative survey
Dräger, Vanessa; Heckmann-Draisbach, Lotta; Memmel, … - 2020
Using unique data of a survey among small and medium-sized German banks, we analyze various aspects of risk management over a short-term and medium-term horizon. We especially analyze the effect of a 200-bp increase in the interest level. We find that, in the first year, the impairments of...
Persistent link: https://www.econbiz.de/10012160610
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Determinants of bank interest margins : impact of maturity transformation
Entrop, Oliver; Memmel, Christoph; Ruprecht, Benedikt; … - 2012
and returns from maturity transformation. Banks price interest risk according to their individual exposure separately in … loan and deposit rates, but reduce these charges when they expect returns from maturity transformation. Second, using a … for earnings from bank-individual maturity transformation strategies, we find all banks to charge additional fees for …
Persistent link: https://www.econbiz.de/10009572494
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Performance of maturity transformation strategies
Schmidhammer, Christoph; Hille, Vanessa; Wiedemann, Arnd - 2020
long-term assets are financed by short-term liabilities. Risk and return increase significantly with maturity gaps for both …-term gaps.With respect to different financial reporting standards,weaddress maturity transformation results froman earnings …
Persistent link: https://www.econbiz.de/10012313784
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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 …
Persistent link: https://www.econbiz.de/10011877311
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Banks' exposure to interest rate risk and the transmission of monetary policy
Gomez, Matthieu; Landier, Augustin; Sraer, David; … - 2016
We show that the cash-flow exposure of banks to interest rate risk, or income gap, affects the transmission of monetary policy shocks to bank lending and real activity. We first use a large panel of U.S. banks to show that the sensitivity of bank profits to interest rates increases significantly...
Persistent link: https://www.econbiz.de/10011974923
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Banks' exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure
Memmel, Christoph - 2010
We use a unique dataset of German banks' exposure to interest rate risk to derive the following statements about their exposure to this risk and their earnings from term transformation. The systematic factor for the exposure to interest rate risk moves in sync with the shape of the term...
Persistent link: https://www.econbiz.de/10010302118