Search Results - subject:"Interest rate risk"

Tail sensitivity of US bank net interest margins : a Bayesian penalized quantile regression approach

Fritsch, Nicholas - 2025

Persistent link: https://www.econbiz.de/10015326365

Why does the yield curve predict GDP growth? : the role of banks

Minoiu, Camelia; Schneider, Andrés; Wei, Min - 2025

We show that the slope of the yield curve affects bank lending and economic activity through an "expected bank profitability channel." Using detailed banking data and term premium shocks identified via instrumental variables or event studies, we show that a steeper yield curve-when driven by...

Persistent link: https://www.econbiz.de/10015419869

Life cycle consumption and portfolio choice under real interest rate risk

Fischer, Marcel; Jankowski, Natascha - 2025 - This version: April 30, 2025

We set up a life cycle model with real interest rate risk to demonstrate that real interest rates have implications for …

Persistent link: https://www.econbiz.de/10015426517

The fiscal cost of quantitative easing

Avernas, Adrien d'; Ning, Liming; Vandeweyer, Quentin - 2025

Persistent link: https://www.econbiz.de/10015436439

Bank Asset-Liability Management : A Guide to Managing Interest Rate Risk in the Banking Book for Practitioners, Regulators, and Supervisors in the EU

Tata, Fidelio - 2025

book introduces the most common components of interest rate risk management within a bank's asset-liability management …), and the replicating model. In addition to bridging the gap between widely used general interest rate risk management … changes in the regulatory framework for European banks' management of interest rate risk in the banking book (IRRBB …

Persistent link: https://www.econbiz.de/10015192825

Interest rate risk in banking

DeMarzo, Peter M.; Krishnamurthy, Arvind; Nagel, Stefan - 2024

We develop a framework to estimate bank franchise value. Contrary to existing models, sticky deposits and low deposit rate betas do not imply negative duration. While operating costs could generate negative duration, they are offset by fixed interest rate spreads from lending activity....

Persistent link: https://www.econbiz.de/10015178425