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Interest Rate Risk and Bank Equity Valuations

English, William B. - 2012

Because they engage in maturity transformation, a steepening of the yield curve should, all else equal, boost bank … of the yield curve. A large maturity gap, however, significantly attenuates the negative reaction of returns to a slope …

Persistent link: https://www.econbiz.de/10013106774

Sticky Deposit Rates

Driscoll, John C. - 2013

We examine the dynamics of eleven different deposit rates for a panel of over 2,500 branches of about 900 depository institutions observed weekly over ten years. We replicate previous work showing that rates are downwards-flexible and upwards-sticky, and show that a simple menu cost model can...

Persistent link: https://www.econbiz.de/10013072668

The impact of price controls in two-sided markets : evidence from US debit card interchange fee regulation

Manuszak, Mark D.; Wozniak, Krzysztof - 2017

We study the pricing of deposit accounts following a regulation that capped debit card interchange fees in the United States and provide the first empirical investigation of the link between interchange fees and granular deposit account prices. This link is broadly predicted by the theoretical...

Persistent link: https://www.econbiz.de/10011710091

Issues in the Use of the Balance Sheet Tool

Carlson, Mark; D'Amico, Stefania; Fuentes-Albero, Cristina - 2020

This paper considers various ways of using balance sheet policy (BSP) to provide monetary policy stimulus, including the BSPs put in place by the Federal Reserve in the wake of the Global Financial Crisis, the choice between fixed-size and flow-based asset purchase programs, policies targeting...

Persistent link: https://www.econbiz.de/10014048767

In Search of a Risk-Free Asset

Yankov, Vladimir - 2015

To attract retail time deposits, over 7,000 FDIC insured U.S. commercial banks publicly post their yield offers. I … document an economically sizable and highly pro-cyclical cross-sectional dispersion in these yield offers during the period … dispersion. I further qualitatively match the asymmetric yield rigidity within the framework of costly consumer search without …

Persistent link: https://www.econbiz.de/10013031126

Managing Counterparty Risk in OTC Markets

Frei, Christoph - 2020

We study how banks manage their default risk to optimally negotiate quantities and prices of contracts in over-the-counter markets. We show that costly actions exerted by banks to reduce their default probabilities are inefficient. Negative externalities due to counterparty concentration may...

Persistent link: https://www.econbiz.de/10012853834

Bank Commercial Loan Fair Value Practices

Tschirhart, John - 2007

Recent accounting changes, for the first time, permit the use of fair value in the primary financial statements for held-to-maturity (HTM) bank loans. While the use of fair value has historically attracted significant discussion and debate, there is little information in the public domain on how...

Persistent link: https://www.econbiz.de/10012728994

Modeling Money Market Spreads : What Do We Learn About Refinancing Risk?

Brousseau, Vincent - 2015

We quantify the effect of refinancing risk on euro area money market spreads, a major factor driving spreads during the financing crisis. With the advent of the crisis, market participants' perception of their ability to refinance over a given period of time changed radically. As a result,...

Persistent link: https://www.econbiz.de/10013031112

International Yield Spillovers

Kim, Don H.; Ochoa, Marcelo - 2021

importance of overnight yield changes—a rough proxy for the contribution of foreign shocks to U.S. yields—over the past decades …

Persistent link: https://www.econbiz.de/10013221373

Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models

Priebsch, Marcel - 2013

This paper develops a method to approximate arbitrage-free bond yields within a term structure model in which the short rate follows a Gaussian process censored at zero (a "shadow-rate model" as proposed by Black, 1995). The censoring ensures that model-implied yields are constrained to be...

Persistent link: https://www.econbiz.de/10013073345