The impact of regulatory measures on commercial bank interest rates: A micro analysis of the Barbados case

This study estimates the impact on commercial banks' interest-rate behavior of the more pervasive regulatory measures adopted by the Central Bank of Barbados. The results indicate that the cash ratio, the stipulated government securities ratio, and the savings deposit rate floor significantly impacted the loan rate for every bank. Generally, the deposit rate for any given bank has been responsive to fewer policy variables than the loan rate. The loan rates, though generally responsive to all policy variables other than the bank rate, have exhibited very low elasticities. The results indicated that the ceiling on the average lending rate, when it existed, depressed loan rates by less than 1 percent on average. This is largely attributable to the Central Bank's policy of adjusting the ceiling in line with market trends.     

经典利息理论及其蕴含的贷款定价思想

影响金融机构贷款定价的因素是多维度的,而贷款利率的决定则是其基础。但是,当代西方经济学家在研究贷款定价时却往往忽略贷款利率的决定基础,模型设计里未能反映贷款定价的一些基本要素。与此同时,上世纪50-60年代业已发展成熟的经典利息理论回答了利率如何被决定这一重要问题,蕴含了丰富的贷款定价思想。本文通过回顾与利率决定相关的经典利息理论,指出贷款定价必须重视贷款项目的收益与风险,必须考虑银行的资产结构、市场基准利率和贷款期限,且贷款定价的研究方法应采用局部均衡的非综合模型,重点考虑微观因素。而非宏观因素。     

On the Transmission Mechanism of Monetary Constraints to the Real Side of the Economy

Contrary to the predictions of the theory underlying international finance, inflows of capital triggered by financial liberalisation have neither equalised real interest rates nor increased income growth in many emerging economies. We explain this puzzle by developing a model that combines the balance‐of‐payments constraint approach to economic growth with a less stringent version of the real interest rate parity hypothesis. The model’s foundations are based on robust empirical findings or well‐established macroeconomic models. We show that a perverse combination of income elasticities of demand for imports and exports generates slow income growth and high real interest rates. As domestic income grows and imports rise faster than exports, the real exchange rate is expected to depreciate in order to clear the balance of payments (or the foreign exchange rate market). An incipient capital outflow arises and interest rates increase. Faster adjustment in capital rather than in the goods market therefore generates a higher real interest rate differential between the domestic small open‐economy and the rest of the world. The long run analysis shows that a constant degree of risk aversion implies a positive equilibrium real interest rate differential that affects economic growth. A permanent increase in default risk driven by persistent current account imbalances thus impacts on long run growth. The model’s results are illustrated with evidence from the three major Latin America economies: Argentina, Brazil and Mexico.     

EMU and the transmission of monetary policy: evidence from business lending rates

This paper analyses the pass-through of money market rates to short-term and long-term business lending rates in the four largest euro area countries. The main findings of the paper are (1) that since the start of EMU loan rates appear to have become more responsive to money market rate changes in France, Italy and Spain, but not in Germany, and (2) that German loan rates are significantly more sluggish than loan rates in the other three large euro area countries. I also test for non-linear pass-through based on an asymmetric error-correction model but do not find much evidence of non-linearity in euro area interest rate pass-through.The views expressed in this paper do not necessarily represent the views of the Deutsche Bundesbank.     

Italian households’ debt: the participation to the debt market and the size of the loan

This paper analyses Italian households’ participation to the debt market, separating the probability of demanding a loan from the probability of being rationed by lenders; on the supply side of the market specific attention is paid to enforcement costs of the loan contract when customers default. A new result is that the age of the household head acts essentially as a demand factor, rather than a variable influencing the lender’s choice. Both current and future households’ income increase the demand for loans and reduce credit rationing. Self-employed workers are more rationed by lenders. Credit constraints are also linked to the area where the household lives, partly because of different enforcement costs. The final part of the paper analyses the equilibrium quantity of the loan, for households who have a loan and are not constrained. The loan size is positively linked to household net wealth and income profile. An important contribution of this paper is the finding that, not only the participation to the debt market, but also the loan size is negatively affected by enforcement costs.      

房地产还原利率的构成与测算

从分析投资的风险补偿入手，提出了房地产还原利率的构成和测算公式，同时指出了构成房地产还原利率的银行利率应是复利计算方式下，相应年期的利率，然后探讨了房地产还原利率各构成部分的测算过程，并以中国房地产市场个人住房抵押贷款市场为例，给出了不同收益年限的房地产还原利率参考数据。     

Rational Expectations and Price Determination in the US Oats Market

This paper develops a simultaneous rational expectations model of the US oats market Consistent estimates of the structural parameters are obtained by the instrumental variables method and 15 of 16 parameter estimates are significant at the 5 per cent level Estimated elasticities suggest that hedged stocks are more responsive to price changes than unhedged stocks, and that consumption demand for oats is more responsive to income changes than to changes in price. Post-sample forecasts of the spot price derived from this model are employed to test the semi-strong form efficient markets hypothesis (EMH), although the futures price outperforms the model as a predictor of the spot price. Hence the EMH cannot be rejected     

Optimal Intertemporal Consumption under Uncertainty

We analyze the optimal consumption program of an infinitely lived consumer who maximizes the discounted sum of utilities subject to a sequence of budget constraints where both the interest rate and his income are stochastic. We show that if the income and interest rate processes are sufficiently stochastic and the long run average rate of interest is greater than or equal to the discount rate, then consumption eventually grows without bound with probability one. We also establish conditions under which the borrowing constraints must be binding and examine how the income process affects the optimal consumption program. Journal of Economic Literature Classification Number: D91.     

The structure of Walras's mature model of capital goods markets

This essay examines the capital goods markets in the comprehensive model that Léon Walras constructed during the mature period of his theoretical work. the essay answers fundamental questions about the participants and market institutions in his model; the monetary or nonmonetary nature of the model; his assumptions about the nature of capital goods; his definitions of the rate of interest and the rate of net income and their functions in his model; and the roles in his model of the Bourse, the loan market and the rental market for capital goods.     

Bank behavior, incomplete interest rate pass-through, and the cost channel of monetary policy transmission

This paper employs a New Keynesian DSGE model to explore the role of banks within the cost channel of monetary policy transmission for shaping the interest rate pass-through from money market rates to loan rates. Banks extend loans to firms in an environment of monopolistic competition by setting their loan rates in a staggered way, which means that the adjustment of the aggregate loan rate to a monetary policy shock is sticky. We estimate the model for the euro area by adopting a minimum distance approach. Our findings exhibit that (i) financial costs are an important factor for price changes, (ii) frictions in the loan market have an effect on the propagation of monetary policy shocks as the pass-through from a change in money market rates to loan rates is incomplete, and (iii) the strength of the cost channel is mitigated as banks shelter firms from monetary policy shocks by smoothing loan rates.     

中国贷款利率自由化与 中小企业贷款供给约束 ——基于S W贷款供给曲线的理论分析

本文立足S W模型的信息非对称及其逆向选择效应假设,基于贷款供给曲线理论并结合中国的信贷市场现实环境,创新性地提供了贷款利率自由化改革有助于缓解中小企业贷款供给约束的理论解释。本文研究的政策含义是：为了缓解中小企业贷款供给约束,需要加快推进我国银行存款利率管制的全面自由化进程,而根本之道还在于推行能够有效减弱信贷市场非对称信息的各种政策措施。     

基于障碍期权的可提前终止贷款担保价值研究

基于担保实践中贷款担保合约可提前终止的特性,本文建立了基于障碍期权的贷款担保价值模型,测算了担保价值并分析了障碍值、债务方资产初值、资产波动率、债务面值、无风险利率及担保期限对担保价值的影响及敏感性。指出障碍值超过某阀值时,担保机构的风险才会有效降低;揭示控制担保额度和债务方资产的波动率比控制债务方资产初值和担保期限更有效,为担保实践提供了参考依据。     

FINANCIAL LIBERALISATION, CONSUMPTION AND WEALTH EFFECTS IN SEVEN OECD COUNTRIES

We estimate the impact of financial liberalisation on consumption in seven major industrial countries, and find a marked shift in behaviour, notably a decline in short‐run income elasticities and a rise in short‐run wealth and interest rate elasticities. A corollary is that consumption equations estimated over both pre‐ and post‐liberalisation regimes may be misleading, and either a form of testing as presented here or a shortening of the sample period may be appropriate for accurate forecasting and simulation.     

Adjustment Costs, Firm Responses, and Micro vs. Macro Labor Supply Elasticities: Evidence from Danish Tax Records

We show that the effects of taxes on labor supply are shaped by interactions between adjustment costs for workers and hours constraints set by firms. We develop a model in which firms post job offers characterized by an hours requirement and workers pay search costs to find jobs. We present evidence supporting three predictions of this model by analyzing bunching at kinks using Danish tax records. First, larger kinks generate larger taxable income elasticities. Second, kinks that apply to a larger group of workers generate larger elasticities. Third, the distribution of job offers is tailored to match workers' aggregate tax preferences in equilibrium. Our results suggest that macro elasticities may be substantially larger than the estimates obtained using standard microeconometric methods.     

Financial Innovation,Deposit Deregulation,and the US M1-GNP Link

This paper considers the effect of financial liberalization on aggregate consumption, with a special focus on Taiwan, which has sustained a high savings rate and a rapid rate of economic growth under financial dualism, but has undertaken financial liberalization since the 1980s, leading to an expansion of the formal financial sector. The paper finds that, because of an active informal financial sector, consumers in Taiwan are less credit constrained than in other developing countries. However, the expansion of the formal financial sector has contributed to some relaxation of consumer credit constraints and thereby changes in the income and interest elasticities of consumption. It also has brought about a higher consumption growth rate, offsetting at least partially the positive growth effect of financial liberalization, which helps improve the efficiency in finanacial intermediation.     

我国上市商业银行盈余管理与市场约束——基于投资收益及风险管理的视角

本文论述了银行盈余管理与市场约束的内涵、意义及相互关系。分析了银行进行盈余管理的方法和我国银行市场约束存在的途径。实证部分用固定效应和随机效应模型分析了基于贷款损失准备与投资收益为工具的盈余管理;用GMM动态面板分析了基于股票交易的对银行风险的市场约束。实证结果显示,股票市场交易的非系统性波动对银行的风险管理构成了市场约束。银行没有进行以提高资本充足率为目的的盈余管理,也没有通过投资收益进行平滑利润的盈余管理,但是用贷款损失准备进行了平滑利润的盈余管理。本文的结论表明,我国银行的市场化程度正得到逐步加强,并为银行监管的市场监督角度提出了相关建议。     

Competitive equilibrium in the credit market under asymmetric information

We study a competitive credit market equilibrium in which all agents are risk neutral and lenders a priori unaware of borrowers' default probabilities. Admissible credit contracts are characterized by the credit granting probability, the loan quantity, the loan interest rate and the collateral required. The principal result is that in equilibrium lower risk borrowers pay higher interest rates than higher risk borrowers; moreover, the lower risk borrowers get more credit in equilibrium than they would with full information. No credit is rationed and collateral requirements are higher for the lower risk borrowers.     

Credit union loan rate determinants in the United States

ABSTRACT

Credit union participation in the consumer lending market continues to grow as an increasing number of consumers and small businesses become members and open accounts. This study investigates the determinants of credit union loan rates during a period of economic expansion in the United States using fourth quarter 2015 data for 5,942 credit unions. Five different interest rate categories are analysed using nine potential loan rate determinants. Results indicate that loan rates tend to be lower as credit union size increases, while high ratios for net charge-offs and operating costs cause interest rates to increase. Opposite to what is expected, loan rates are positively correlated with regional unemployment rates. A possible explanation for this outcome is that weak labour markets are associated with elevated loan delinquency rates and, therefore, greater default risks resulting in higher interest rates.     

ESTIMATING IMPORT AND EXPORT DEMAND ELASTICITIES FOR MAURITIUS AND SOUTH AFRICA

In this paper, we re‐estimate the import and the export demand functions for Mauritius and South Africa using time series data. We use the bounds tests for cointegration and find evidence of a long‐run relationship between import demand, income and prices for both countries. Our long run elasticities reveal that domestic income and relative prices have significant effects on the import demand for both countries, with income being the most important determinant. Furthermore, we find that while South Africa's export demand is not responsive to relative prices or income; for Mauritius income is statistically significant.     

A systemic approach to modelling and estimating demand for money(ies)

This article uses a consumer theory-based systemic approach to model the demand for monetary liquid asset holdings in Chile. We implement the suggestions and caveats of aggregation theory for the estimation of a demand system for liquid assets (monies) in static, dynamic and time-varying parameters setups. Our results are robust and theoretically consistent with consumer theory restrictions, as a system derived from a utility maximizing framework and a quasi concave utility function. In our estimations, we find stability of interest rate elasticities, in contrast to previous related literature. We also document evidence that long (short) maturity rates are associated to less (more) liquid assets.