Search Results - subject_exact:"Interest-rate elasticity"

The impact of banks' interest rate risk on monetary policy transmission

Dursun-de-Neef, Özlem; Er, Tarık Alperen; Yarba, Ibrahim - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015559626

One year on from the new IRRBB / CSRBB regulatory framework : evidence, implementation challenges and open issues from Italian banks

Gianfrancesco, Igor; Pansini, Annalisa; Preger, Alina; … - 2026

This paper provides an empirical assessment of the implementation of the new IRRBB and CSRBB regulatory framework approximately one years after its introduction, based on evidence from an AIFIRM survey on 25 Italian banks. The analysis covers three reporting dates (31 December 2023, 31 December...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016070034

Hedge accounting and banks' interest rate risk management

Ali, Waqar; Bhojraj, Sanjeev; Lu, Yao; Wang, Shuyan - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016084288

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

Fritsch, Nicholas - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/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://ebvufind01.dmz1.zbw.eu/10015419869

NMDs logistic regression model

Cappellina, Luca; Sartore, Domenico - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015464272

Pricing tail risks : bank equity returns during the 2023 bank stress

Seay, Matthew P.; Kimble, Shawn M. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015471323

The fiscal cost of quantitative easing

Avernas, Adrien d'; Hubert de Fraisse, Antoine; Ning, Liming - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015436439

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 optimal household consumption and investments. Lower interest rates lead to higher optimal stock investments and lower consumption. Ignoring the time-varying nature of real...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015426517

Riding the rate wave : interest rate and run risks in euro area banks during the 2022-2023 monetary cycle

Rice, Jonathan; Guerrini, Giulia Maria - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015574517

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Riding the rate wave : interest rate and run risks in euro area banks during the 2022-2023 monetary cycle

Rice, Jonathan; Guerrini, Giulia Maria - 2025

Book / Working Paper

Riding the rate wave : interest rate and run risks in euro area banks during the 2022-2023 monetary cycle

Rice, Jonathan; Guerrini, Giulia Maria - 2025

Book / Working Paper

Solvency analysis of deferred annuities

Gasimova, Khadija; Haberman, Steven; Millossovich, Pietro - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015593636

Banks' maturity choices and the transmission of interest-rate risk

Varraso, Paolo - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015633185

Lost in the LIBOR transition

Backwell, Alex; Macrina, Andrea; Schlögl, Erik; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015534047

Hedging measures to manage shrinking fiscus and high interest rate risks to optimize the delivery of affordable housing in South Africa

Moss, Vuyisani - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015618563

Pricing guaranteed annuity options in a linear-rational Wishart mortality model

Fonseca, José da - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015066733

Are low interest rates firing back? : interest rate risk in the banking book and bank lending in a rising interest rate environment

Coulier, Lara; Pancaro, Cosimo; Reghezza, Alessio - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015076957

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Are low interest rates firing back? : interest rate risk in the banking book and bank lending in a rising interest rate environment

Coulier, Lara; Pancaro, Cosimo; Reghezza, Alessio - 2024

Book / Working Paper

Are low interest rates firing back? : interest rate risk in the banking book and bank lending in a rising interest rate environment

Coulier, Lara; Pancaro, Cosimo; Reghezza, Alessio - 2024

Book / Working Paper

Welfare loses of a "one size fits all" pension contract for agents with interest rate risk : part of PhD thesis "Individualized pension contracts: risks, welfare losses and investment choices"

Dees, Bart; Nijman, Theodore E.; Wilms, Ole - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014536214

Interest rate risk at US credit unions

Rosenberger, Grant E.; Zimmerman, Peter - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014515975

The impact of domestic and global factors on individual public, domestic and foreign bank performances in Türkiye

Çiçek, Serkan; Yıldırım, Aynur - 2024

The Turkish economy has encountered significant shocks in interest rates and foreign exchange along with global risks in recent years. These shocks had an impact not only on the real sector but also on the banking sector's returns, depending on the ownership structure. This study examines the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014518481

Interest rate risk exposures of non-financial corporates and households : implications for monetary policy transmission and financial stability

2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015135509

Multiple yield curve modeling and forecasting using deep learning

Richman, Ronald; Scognamiglio, Salvatore - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015154556

Optimal defined-contribution pension management with financial and mortality risks

Li, Wenyuan; Wei, Pengyu - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015154561

Optimal annuitization under stochastic interest rates

Dillschneider, Yannick; Maurer, Raimond; Schober, Peter - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015154568

Interest rate exposure of Slovenian households

Ploj, Gašper - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015127231

Interest rates, profitability and risk : evidence from local Italian banks over the years 2006-2018

Cocozza, Rosa; Curcio, Domenico; Gianfrancesco, Igor; … - 2024

This paper studies the determinants of net interest margin and of the exposure to the interest rate risk of a sample of 125 local Italian banks during the period 2006-2018. Relative to prior literature, to take advantage of the unprecedented interest rate environment determined by European...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015371419

Are low interest rates firing back? : interest rate risk in the banking book and bank lending in a rising interest rate environment

2024

We match granular supervisory and credit register data to assess the implications of banks' exposure to interest rate risk on the monetary policy transmission to bank lending supply in the euro area. We exploit the largest and swiftest increase in interest rates since the creation of the euro...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015275133

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://ebvufind01.dmz1.zbw.eu/10015178425

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Interest rate risk in banking

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

Book / Working Paper

Interest Rate Risk in Banking

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

Book / Working Paper

Introducing the Kansas City Fed's Measure of Policy Rate Uncertainty (KC PRU)

Bundick, Brent; Smith, Andrew Lee; Meer, Luca van der - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015394608

The market for sharing interest rate risk : quantities and asset prices

Khetan, Umang; Li, Jian; Neamtu, Ioana; Sen, Ishita - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014481359

Exploring the role of interest rates, macroeconomic environment, agricultural cycle, and gender on loan demand in the agricultural sector : evidence from Mali

Ölkers, Tim; Mußhoff, Oliver - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014560593

What's wrong with annuity markets?

Verani, Stéphane; Yu, Pei Cheng - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015045244

Analyzing the interest rate risk of equity-indexed annuities via scenario matrices

Günther, Sascha; Hieber, Peter - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015049350

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Analyzing The Interest Rate Risk of Equity-Indexed Annuities Via Scenario Matrices

Günther, Sascha; Hieber, Peter - 2023

Book / Working Paper

Interest rate risk in Kenya : the banking sector stability and fiscal risks nexus

Talam, Camilla; Kiemo, Samuel - 2024

The study sought to examine the effect interest rate risks on banking sector stability through disentangling the effect of interest rate risk on both fiscal and banking sector stability conditions in Kenya. We applied annual macroeconomic and bank-level data for the period 2001 - 2022 across 37...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014541589

Non-maturity deposit risk under interest rate stress : a behavioral modeling framework

Cappellina, Luca; Sartore, Domenico - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654875

The Heterogeneous Bank Lending Channel of Monetary Policy

Abad, Jorge; Bigio, Saki; García-Villegas, Salomón; … - 2026

How does heterogeneity in banks' interest-rate risk exposure shape monetary policy transmission? We develop a quantitative macroeconomic model of heterogeneous banks to answer this question. We establish an irrelevance result: differences in interest-rate risk exposure between fixed- and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654003

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The heterogeneous bank lending channel of monetary policy

Abad, Jorge; Bigio, Saki; García-Villegas, Salomón; … - 2026

Book / Working Paper

Valuing Sticky Deposits

Fleckenstein, Matthias; Kundu, Shohini; Longstaff, … - 2026

We develop a formal fixed-income framework to value sticky deposits. This framework provides closed-form expressions for deposit values and allows us to study the impact of stickiness on deposit interest-rate and runoff risks. The duration of a bank deposit can be either positive or negative,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015593715

Demand deposit balance prediction models under the interest rate risk in the banking book guidelines : an empirical analysis integrating time-series models and machine learning predictions in Mexican banks

Izquierdo, Abraham M.; Pérez-Hernández, Francisco; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015664883

Underwater : strategic trading and risk management in bank securities portfolios

Fuster, Andreas; Paligorova, Teodora; Vickery, James - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015610858

Banks' dynamic interest rate risk hedging

Bianchi, Michele Leonardo; Ruzzi, Dario; Segura, Anatoli - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015655884

Rate Risk and Rate Insurance

Wang, Olivier - 2026

I decompose stock returns into a duration-matched Treasury component, identified from monetary policy surprises, and a payoff component. Risk and returns rise much less with duration for stocks than for their matched Treasuries. Stock volatility is dampened by rate insurance: rates fall in bad...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016086017

Exploring the role of interest rates, macroeconomic environment, agricultural cycle, and gender on loan demand in the agricultural sector: Evidence from Mali

Ölkers, Tim; Mußhoff, Oliver - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014520041

Bond duration and convexity under stochastic interest rates and credit spreads

Dione, Ibrahima; Lai, Van Son - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014533801

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Bond Duration and Convexity Under Stochastic Interest Rates and Credit Spreads

Dione, Ibrahima; Lai, Van Son - 2023

Book / Working Paper

Bond Duration and Convexity under Stochastic Interest Rates and Credit Spreads

Dione, Ibrahima; Lai, Van Son - 2022

Book / Working Paper

Monetary Policy, HTM Securities, and Uninsured Deposit Withdrawals

Dursun-de-Neef, Özlem; Ongena, Steven; Schandlbauer, … - 2023

This paper shows that an increase in the Fed funds rate is associated with an increase in banks' unrealized losses due to their held-to-maturity (HTM) portfolios. This exposes banks to large uninsured deposit withdrawals as the depositors seek a flight-to-safety and, at the same time, to a...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014350542

Banking on Uninsured Deposits

Drechsler, Itamar; Savov, Alexi; Schnabl, Philipp; … - 2023

Motivated by the regional bank crisis of 2023, we model the impact of interest rates on the liquidity risk of banks. Prior work shows that banks hedge the interest rate risk of their assets with their deposit franchise: when interest rates rise, the value of the assets falls but the value of the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014250156

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Banking on Uninsured Deposits

Drechsler, Itamar; Savov, Alexi; Schnabl, Philipp; … - 2023

Book / Working Paper

Interest Rate Hedging and Silicon Valley Bank Idiosyncrasies

Kim, Raymond - 2023

Under a “mea culpa” framework, evidence suggests that financial institutions practice discretionary hedging of both interest rate and funding risks, unlike Silicon Valley Bank and First Republic Bank. Banks asymmetrically manage risk by intensifying hedging with interest rate derivatives as...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014354613

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Interest Rate Hedging and Silicon Valley Bank Idiosyncrasies

Kim, Raymond - 2023

Book / Working Paper

Do Banks Hedge Using Interest Rate Swaps?

McPhail, Lihong Lu; Schnabl, Philipp; Tuckman, Bruce - 2023

We ask whether banks use interest rate swaps to hedge the interest rate risk of their assets, primarily loans and securities. To this end, we use regulatory data on individual swap positions for the largest 250 U.S. banks. We find that the average bank has a large notional amount of swaps-- $434...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014250183

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Do Banks Hedge Using Interest Rate Swaps?

McPhail, Lihong Lu; Schnabl, Philipp; Tuckman, Bruce - 2023

Book / Working Paper

Interest Rate Risk in the U.S. Banking Sector

Abdymomunov, Azamat; Gerlach, Jeff; Sakurai, Yuji - 2023

We study interest rate risk at U.S. banks by measuring the impact of interest rate changes on banks' earnings and net worth. Changes in interest rates affect (i) future earnings by altering income and expenses from rate-sensitive assets and liabilities and (ii) current net worth by altering the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014355947

Interest rate sensitivity of Irish Bond funds

Gianstefani, Ilaria; Metadjer, Naoise; Moloney, Kitty - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014464523

Optimal consumption and portfolio choice in the presence of risky house prices

Bilsen, Servaas van; Boelaars, Ilja - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014458735

Welfare analysis of housing in the presence of interest rate risk

Erk, Emily C. van; Bilsen, Servaas van; Nijman, Theodore E. - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014458736