determinants of the interest rate margins of austrian banks

... Commercial banks are the main source of business funding in the ECCU, therefore, the level of interest rate spreads is an important policy variable Interest rate spreads indicate how efficiently banks ... ex- post approach The ex-ante interest rate spread is the difference between the contractual rates charged on loans and the rates paid on deposits These are the rates that the public sees and ... ex-post interest rate spreads of commercial banks The paper uses pooled annual data of all the commercial banks operating in the ECCU over the period 1993 to 2003 This empirical analysis is the first

Ngày tải lên: 22/03/2014, 23:20

... include the markup of loan rates above a market rate, which can best be understood as the margin that a bank locks in between the charged loan rate and the marginal cost of funding Furthermore, the ... mean interest rates and its standard deviation for the 150 banks Our final sample consists of 24 commercial banks (Comms), of which 4 banks are the major German Comms (large banks) Furthermore, ... assets of all banks and are responsible for 66% of all non-bank lending) Furthermore, the total assets of all German banks account for approximately 25% of the total assets of all European banks

Ngày tải lên: 29/03/2014, 13:20

... nature of these risks The results ofthis study provide the first formal estimates of the joint effect of derivativeoff-systematic interest rate and exchange rate risks of U S banks exposures on the ... and Rosen (1995) recently examined the interest rate sensitivity of banks regarding their use of interestrate swaps However, they do not consider other interest rate derivative products such as ... Exposure and the Interest Rate and Exchange Rate Risks of U.S Banks November 1996 Abstract: This paper estimates the interest rate and exchange rate risk betas of fifty-ninelarge U S commercial banks

Ngày tải lên: 29/03/2014, 13:20

... interest rates fell, the reduction in the net interest margin would be offset by the gain on the long hedge in the futures market Of course, if interest rates increased, the gain in the net interest ... rate risk Interest rate risk measurement aims to quantify the interest rate risk profile of a bank The correct measurement of the bank‟s interest rate risk exposure is necessary to ensure proficient ... devised to manage interest rate risk (and also for other purpose) is the interest rate swap Banks usually enter into interest rate swap because they need to fix the interest structure of their balance

Ngày tải lên: 26/05/2015, 08:34

... test conditions The choice of the lag length was determined as the minimum number of lags that merits the crucial assumption of time independence of the residuals The results for the panel VAR ... high FI (on the right) The black line represents the IRF and the gray band is the 95 percent confidence interval for the IRF Specifically, the bottom row of the graphs shows the impact of IR shock ... group, nearly 2.7 percent of the variation in output gap and 6.3 percent of the variation in inflation can be explained by the shock of IRs On the other hand, these rates in low FI level group

Ngày tải lên: 22/05/2020, 01:53

... measure the interest rate risk that affected to the income of the bank 4 And also to find out the component of net interest income according to the maturity bucket This thesis aims to analyze the ... management of interest rate risk through an optimized theoretical asset and liability structure. 1.3 OBJECTIVES AND GOALS OF THE RESEARCH The objective of this thesis is to 1 To investigate the movement ... strengths of a State-Owned Commercial Bank (SOCB) within the financial market.On the other hands, the findings will be an evidence to manage the interest rate risk aggressively in Vietcombank The thesis

Ngày tải lên: 17/07/2022, 18:03

... rise interest rate will decrease the value of the bank‟s assets more than the value of its liabilities Table 2 1: Exposure to interest rate Rate Changes of rate Lender Borrower The model of measuring ... interest rates fell, the reduction in the net interest margin would be offset by the gain on the long hedge in the futures market Of course, if interest rates increased, the gain in the net interest ... other purpose) is the interest rate swap Banks usually enter into interest rate swap because they need to fix the interest structure of their balance sheet, especially their interest rate sensitivity

Ngày tải lên: 05/12/2022, 10:53

... test conditions The choice of the lag length was determined as the minimum number of lags that merits the crucial assumption of time independence of the residuals The results for the panel VAR ... group, nearly 2.7 percent of the variation in output gap and 6.3 percent of the variation in inflation can be explained by the shock of IRs On the other hand, these rates in low FI level group ... about the comprehensiveness of the financial system Even the use of individual indicators can lead to misunderstandings about the level of FI in an economy (Sarma, 2016) Thus, the measurement of

Ngày tải lên: 19/02/2023, 22:17

... BASIS OF BANK PERFORMANCEOverview of commercial banks1.1.1 Commercial bank and the role of commercial banks in the economy The evolution of the banking system is closely tied to the growth of the ... impact the performance of these banks.The legal environment encompasses the completeness of the legal system, adherence to legal documents, and the intellectual capacity of the populace The evolution ... related to the operational efficiency of banks Additionally, it incorporates documents from the State Bank of Vietnam (SBV), the Ministry of Finance, and the Department of Taxation to enhance the analysis.Sample

Ngày tải lên: 05/12/2023, 19:18

... whichthen forms one of the main inputs into the current interest rate deci-sion, the only strong requirement is that the conditioning assump-tion for the future path of short-term policy rates ... Official Rates Caught between the lack of credibility (at least on some occasions) of a constant rate assumption and the problems of adopting an MPCchosen time path for interest rates, the move by the ... Romer2004) The United Kingdom was amongst this group from the Bankof England’s first Inflation Report, at the end of 1992, until May2004; then in August 2004 it shifted to the use of the forward shortrates

Ngày tải lên: 06/03/2014, 02:21

... rates (examples: Bank Rate of the Bank of England, discount rates of the Federal Reserve banks, federal-funds target rate of the Fed). These rates have a profound effect on the market rates of ... description of the development of the interest-rate series in What Was the Interest Rate Then? The objective of the project was to generate interest-rate series for the United States and United ... are employed in the present study. i. The average of the interest rates of the bonds in the chosen group of assets constitutes the selected series. This technique has the twin advantages of ease of computation

Ngày tải lên: 06/03/2014, 14:20

... examines the adjustment of retail bank interest rates to market interest rates with a comparable maturity. Trang 4interest rates The weight of market rates in the equilibrium target of retail bank rates, ... that the sluggishness in the response of retailrates to market rates is not due to the possibility of banks to fund their loans through the issuance ofdeposits Second, it shows that retail bank interest ... necessarily reflect those of the ECB or the Eurosystem. Trang 21 IntroductionThe level of interest rates is one of the main determinants of savings and investment decisions Whenmaking these decisions,

Ngày tải lên: 15/03/2014, 02:20

... Market Interest Rates We begin by examining the linkages between wholesale market interest rates and the Bank of Ghana policy interest rate (the prime rate) When the transmission from the policy interest ... 13Regarding the interbank interest rate, equation (2c), the model establishes a link between the policy interest rate and the interbank market interest rate (changes in the policy rate are often called ... change in the interbank interest rate) The estimation points to an asymmetry in the adjustment of the interbank interest rate to changes in the policy interest rate Asymmetries in the adjustment

Ngày tải lên: 15/03/2014, 14:20

... flow of the resources Finance is blood of the trade, commerce and they play the role of vanes in the circulation of the funds in economy and the primary growth of any country depends upon the ... identify the outcome of the macroeconomic environment on banks profitability and these are the factors which are not under the control of bank supervision and they signify the measures outside the ... to the solidity of the financial system within boundaries of the countries Over the preceding 30 years most of the researcher’s dedicated considerable time and money in the importance of the

Ngày tải lên: 13/11/2017, 08:47

... based upon their views on the direction of interest rates. What are interest rate options? Interest Rate Options are options on the spot yield of U.S. Treasury securities. Available to meet the investor’s ... estimate of the yield of the underlying instruments at expiration of the options; or, in other words, the market’s best estimate of the exercise- settlement value at expiration, that is, off the forward ... for the option position to become profitable. In the following examples, we present a variety of possible option strategies for different interest rate forecasts. These are only a few of the strategies...

Ngày tải lên: 06/03/2014, 14:20

... of the present value is, again, the long-term interest rate. The lower the level of long-term interest rates, the higher the impact of a change in the long-term rate on the underlying value of ... 2000 21 The price of stocks is also highly sensitive to interest rates. The share price is usually defined as the present value of the future stream of dividends. The discount rate used in the computation ... than the same sector in the other countries. 3.2 Recent evidence on the reference maturity and the effective interest rate This section briefly outlines the determinants of the effective interest...

Ngày tải lên: 15/03/2014, 14:20

... all the bank and market interest rate series used. The IPS test on the null hypothesis of a unit root cannot be rejected at the 5% significance level for either the bank rates or the market rates, ... bank interest rates are lower and that the pass-through of market rates is stronger, the heavier competition is. We find evidence of the latter in our error correction model of bank interest rates. ... prices, such as wage rates, deposit rates (as price of funding) and the price of other expenses (proxied as the ratio of other expenses to fixed assets). The third group consists of (K- K 1 -K 2 )...

Ngày tải lên: 15/02/2014, 05:20

... behavior of market participants in the various segments of the foreign exchange market. In this paper, we have isolated the impact of knee-jerk trading on the volatility of returns around the time of ... and Taylor (2004) in their high-frequency study of the exchange rate effects of ECB interest rate announcements, suggest- ing that they are robust. 18 An interesting extension of our results would ... Surprise Measures The table contains interest rate decisions of the MPC for the period June 1997–October 2007. “Bloomberg Expectation” refers to the interest rate change predicted by the median expectation...

Ngày tải lên: 06/03/2014, 14:20

... of the mortgages. The proceeds of the sales of the notes can be used to pay of the CDs and reduce the duration gap. Alternatively the thrift can buy a swap and take the fixed payment side of ... changes in interest rates requires the ability to forecast interest rates better than the rest of the market (Schaffer, 1991). The challenge for banks is thus not only to forecast interest rate risk, ... floating rate, positive cash flows are generated by the particular in- terest rate derivative when the interest rates rise. If the hedge is perfect, then the losses in the cash market will be offset...

Ngày tải lên: 15/03/2014, 01:20

... 90-day rate n + 1 quarters in the future), with the relative weights on the two proxies determined to maximize the fraction of the variance of the changes in the futures rate that is explained by the ... under the control of the central bank, regardless of the level of overnight interest rates — should stimulate increased aggregate nominal expenditure, regardless of whether overnight interest rates ... after the supply of bank reserves is already great enough to drive short-term interest rates down to the level of the rate of interest paid on reserves (or to zero, if there is no interest on reserves),...

Ngày tải lên: 15/03/2014, 14:20