Using granular data of German banks for the 2003 to 2018 period, we analyse the determinants of bank rates on retail deposits. We nd that a bank's rate on sight deposits is especially low if the bank operates in rural districts, if it is not exposed to strong competition and if it provides much...

Interest-rate benchmark reform has revived short-rate modelling. One reason is that short-rate models provide a consistent framework in which different benchmarks, and contracts linked to them, can be compared. Another reason is that new benchmarks can be directly dependent on very short-term...

We study how negative interest rate policy (NIRP) affects banks' loan pricing. Using contract-level data from France, we show that NIRP affects bank lending rates to firms through a portfolio rebalancing channel: banks holding a one standard deviation more of cash and central bank reserves offer...

Bank attention plays an important role in the pricing of corporate debt. Prior studies show that bank loans serve as certification and monitoring mechanisms that signal firm quality to bond markets. To separate continuous monitoring effects from certification effects, we use a measure of bank...

We propose a TVP-VAR with stochastic volatility for the unemployment rate, core inflation and the federal funds rate augmented with survey-based interest rate expectations and uncertainty and a FAVAR with a wider set of observable variables and alternative monetary policy measures in order to...

This paper presents a term structure model for no-arbitrage bond yields and realized bond market volatility. Based on well-known results, realized yield curve covariation is linked to GARCH-type conditional covariation. The model is tractable and its latent state variables can be filtered using...

We have documented a regime change in the U.S. Treasury market post-Global Financial Crisis (GFC). We first derived bounds on Treasury yields that account for dealer balance sheet costs, which we call the net short and net long curves. We show that actual Treasury yields moved from the net short...

Why does the short-term slope of the yield curve predict recessions? We explore the economic forces underlying Treasury yields' fluctuations and highlight the roles of a tight monetary policy stance and expectations of lower inflation in predicting downturns. While the monetary policy stance is...

A convenience yield represents a difference between yield on a safe bond and yield on a synthetic safe bond, constructed by combining a risky bond with a CDS contract. We explain the shapes of eurozone sovereign convenience curves using a model in which arbitrageurs face higher funding costs on...