Banks Maturity Transformation Risk Reward And Policy
DOWNLOAD
Download Banks Maturity Transformation Risk Reward And Policy PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Banks Maturity Transformation Risk Reward And Policy book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Banks Maturity Transformation Risk Reward And Policy
DOWNLOAD
Author : Pierluigi Bologna
language : en
Publisher: International Monetary Fund
Release Date : 2018-03-09
Banks Maturity Transformation Risk Reward And Policy written by Pierluigi Bologna and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-03-09 with Business & Economics categories.
The aim of this paper is twofold: first, to study the determinants of banks’ net interest margin with a particular focus on the role of maturity transformation, using a new measure of maturity mismatch; second, to analyse the implications for banks from the relaxation of a binding prudential limit on maturity mismatch, in place in Italy until mid-2000s. The results show that maturity transformation is a relevant driver of the net interest margin, as higher maturity transformation is typically associated with higher net interest margin. However, ‘excessive’ maturity transformation— even without leading to systemic vulnerabilities— increases banks’ interest rate risk exposure and lowers their net interest margin.
Banks Maturity Transformation
DOWNLOAD
Author :
language : en
Publisher:
Release Date : 2018
Banks Maturity Transformation written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
The aim of this paper is twofold: first, to study the determinants of banks' net interest margin with a particular focus on the role of maturity transformation, using a new measure of maturity mismatch; second, to analyse the implications for banks of the relaxation of a binding prudential limit on maturity mismatch, in place in Italy until the mid-2000s. The results show that maturity transformation is an important driver of the net interest margin, as higher maturity transformation is typically associated with higher net interest margin. However, there is a limit to this positive relationship as 'excessive' maturity transformation - even without leading to systemic vulnerabilities - has some undesirable implications in terms of higher exposure to interest rate risk and lower net interest margin.
Banks Maturity Trnasformation
DOWNLOAD
Author : Pierluigi Bologna
language : en
Publisher:
Release Date : 2018
Banks Maturity Trnasformation written by Pierluigi Bologna and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
The aim of this paper is twofold: first, to study the determinants of banks’ net interest margin with a particular focus on the role of maturity transformation, using a new measure of maturity mismatch; second, to analyse the implications for banks from the relaxation of a binding prudential limit on maturity mismatch, in place in Italy until mid-2000s. The results show that maturity transformation is a relevant driver of the net interest margin, as higher maturity transformation is typically associated with higher net interest margin. However, ‘excessive’ maturity transformation— even without leading to systemic vulnerabilities— Increases banks’ interest rate risk exposure and lowers their net interest margin.
Banking On Deposits
DOWNLOAD
Author : Itamar Drechsler
language : en
Publisher:
Release Date : 2018
Banking On Deposits written by Itamar Drechsler and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with Bank loans categories.
We show that maturity transformation does not expose banks to significant interest rate risk -- it actually hedges banks' interest rate risk. We argue that this is driven by banks' deposit franchise. Banks incur large operating costs to maintain their deposit franchise, and in return get substantial market power. Market power allows banks to charge depositors a spread by paying deposit rates that are low and insensitive to market rates. The deposit franchise therefore works like an interest rate swap where banks pay the fixed-rate leg (the operating costs) and receive the floating-rate leg (the deposit spread). To hedge the deposit franchise, banks must therefore hold long-term fixed-rate assets; i.e., they must engage in maturity transformation. Consistent with this view, we show that banks' aggregate net interest margins have been highly stable and insensitive to interest rates over the past six decades, and that banks' equity values are largely insulated from monetary policy shocks. Moreover, in the cross section we find that banks match the interest-rate sensitivities of their income and expenses one-for-one, and that banks with less sensitive interest expenses hold substantially more long-term assets. Our results imply that forcing banks to hold only short-term assets ("narrow banking") would make banks unhedged and, more broadly, that the deposit franchise is what allows banks to lend long term.
How Excessive Is Banks Maturity Transformation
DOWNLOAD
Author : Anatoli Segura
language : en
Publisher:
Release Date : 2016
How Excessive Is Banks Maturity Transformation written by Anatoli Segura and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with Bank liquidity categories.
We quantify the gains from regulating banks' maturity transformation in an infinite horizon model of banks which finance long-term assets with non-tradable debt. Banks choose the amount and maturity of their debt trading off investors' preference for short maturities with the risk of systemic crises. As in Stein (2012), pecuniary externalities make unregulated debt maturities inefficiently short. The assessment is based on the calibration of the model to Eurozone banking data for 2006. Lengthening the average maturity of wholesale debt from its 2.8 months to 3.3 months would produce welfare gains with a present value of euro 105 billion.
How Excessive Is Banks Maturity Transformation
DOWNLOAD
Author :
language : en
Publisher:
Release Date : 2016
How Excessive Is Banks Maturity Transformation written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
We quantify the gains from regulating banks' maturity transformation in an infinite horizon model of banks which finance long-term assets with non-tradable debt. Banks choose the amount and maturity of their debt trading off investors' preference for short maturities with the risk of systemic crises. As in Stein (2012), pecuniary externalities make unregulated debt maturities inefficiently short. The assessment is based on the calibration of the model to Eurozone banking data for 2006. Lengthening the average maturity of wholesale debt from its 2.8 months to 3.3 months would produce welfare gains with a present value of euro 105 billion.
Maturity Transformation Strategies And Interest Rate Risk Of Financial Institutions
DOWNLOAD
Author : Hendrik Scholz
language : en
Publisher:
Release Date : 2007
Maturity Transformation Strategies And Interest Rate Risk Of Financial Institutions written by Hendrik Scholz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Economic theory postulates that financial institutions are exposed to a significant interest rate risk which is largely due to their engagement in maturity transformation. Although this maturity transformation and the associated risk is of interest to all stakeholders of financial institutions, it has not yet been well studied. In this study we systematically examine different regression approaches for externally quantifying the exposure to interest rate risk of financial institutions. In this context, we have derived and empirically apply a new and - in economic respects more appropriate - maturity transformation factor. Comparing the explanatory power of different interest rate factors, this maturity transformation factor proves superior. Furthermore, this innovative factor allows us to estimate and interpret the maturity transformation of financial institutions and its respective contribution to total return and risk. All in all, the results obtained for the financial services sector in contrast to non-financial services sectors strongly support Hicks' liquidity preference hypothesis.
Determinants Of Bank Interest Margins
DOWNLOAD
Author :
language : de
Publisher:
Release Date : 2012
Determinants Of Bank Interest Margins written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
The Handbook Of Global Shadow Banking Volume I
DOWNLOAD
Author : Luc Nijs
language : en
Publisher: Springer Nature
Release Date : 2020-06-30
The Handbook Of Global Shadow Banking Volume I written by Luc Nijs and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-06-30 with Business & Economics categories.
This global handbook provides an up-to-date and comprehensive overview of shadow banking, or market-based finance as it has been recently coined. Engaging in financial intermediary services outside of normal regulatory parameters, the shadow banking sector was arguably a critical factor in causing the 2007-2009 financial crisis. This volume focuses specifically on shadow banking activities, risk, policy and regulatory issues. It evaluates the nexus between policy design and regulatory output around the world, paying attention to the concept of risk in all its dimensions—the legal, financial, market, economic and monetary perspectives. Particular attention is given to spillover risk, contagion risk and systemic risk and their positioning and relevance in shadow banking activities. Newly introduced and incoming policies are evaluated in detail, as well as how risk is managed, observed and assessed, and how new regulation can potentially create new sources of risk. Volume I concludes with analysis of what will and still needs to happen in the event of another crisis. Proposing innovative suggestions for improvement, including a novel Pigovian tax to tame financial and systemic risks, this handbook is a must-read for professionals and policy-makers within the banking sector, as well as those researching economics and finance.
Negative Monetary Policy Rates And Portfolio Rebalancing Evidence From Credit Register Data
DOWNLOAD
Author : Margherita Bottero
language : en
Publisher: International Monetary Fund
Release Date : 2019-02-28
Negative Monetary Policy Rates And Portfolio Rebalancing Evidence From Credit Register Data written by Margherita Bottero and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-02-28 with Business & Economics categories.
We study negative interest rate policy (NIRP) exploiting ECB's NIRP introduction and administrative data from Italy, severely hit by the Eurozone crisis. NIRP has expansionary effects on credit supply-- -and hence the real economy---through a portfolio rebalancing channel. NIRP affects banks with higher ex-ante net short-term interbank positions or, more broadly, more liquid balance-sheets, not with higher retail deposits. NIRP-affected banks rebalance their portfolios from liquid assets to credit—especially to riskier and smaller firms—and cut loan rates, inducing sizable real effects. By shifting the entire yield curve downwards, NIRP differs from rate cuts just above the ZLB.