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1.
We use portfolios of passive investment strategies to replicate the interest risk of banks' banking books. The following empirical statements are derived. (i) Changes in banks' market value and in their net interest income are highly correlated, irrespective of the banks' portfolio composition. (ii) However, banks' portfolio composition has a huge impact on the ratio of changes in net interest income relative to changes in market value. These results are important for the design and interpretation of interest rate stress tests for banks.  相似文献   

2.
This study investigates the relevance of net financial expenses with respect to equity valuation in an IFRS accounting regime. According to the residual earnings valuation model, income related to balance sheet items that are recorded at fair value is not applicable for valuation purposes. There are no residual earnings associated with these items because the balance sheet provides ‘perfect’ value estimates for the items in question. In accordance with the contention that under IFRS, aggregate net financial liabilities are recorded at a book value that is close to fair value, this study demonstrates that net financial expenses are not associated with the market prices of stocks. The investigation discusses the empirical findings in light of the enduring controversies regarding the use of fair value accounting.  相似文献   

3.
The historical study of the Spanish nineteenth-century banking system has been almost exclusively carried out through a consideration of the experiences of the joint-stock banks. But the very scarce number of these, and their territorial distribution, makes it necessary for us to look for other financial intermediaries who were able to satisfy the demand for banking services in that time and place. We demonstrate that this role was fulfilled by the banking merchants and banking houses operating through individual firms and partnerships. The object of this work is to make their activities better known and vindicate their importance. The sources used for the study are mainly the accounting documents of several banking houses.  相似文献   

4.
This paper estimates an early warning system (EWS) for predicting systemic banking crises in a sample of low income countries in Sub-Saharan Africa. Since the average duration of crises in this sample of countries is longer than one year, the predictive performance of standard binomial logit models is likely to be hampered by the so-called crisis duration bias. The bias arises from the decision to either treat crisis years after the onset of a crisis as non-crisis years or remove them altogether from the model. To overcome this potential drawback, we propose a multinomial logit approach, which is shown to improve the predictive power of our EWS compared to the binomial logit model. Our results suggest that crisis events in low income countries are associated with low economic growth, drying up of banking system liquidity and widening of foreign exchange net open positions.  相似文献   

5.
Using a sample of 440 Italian banks over the period 2007–2016, we find that low interest rates motivate banks to expand their fee and commission income and to restructure their securities portfolios. A granular breakdown suggests that banks grow noninterest income in various ways, including portfolio management, brokerage and consultancy services and increase fee income from current account and payment services. In addition, banks rebalance securities portfolios away from those “held for trading” to securities “available for sale” and “held to maturity.” Our findings allude to different behavior between large and small banks: while larger banks increase brokerage, consultancy and portfolio management services, smaller banks generate fees from customer current accounts.  相似文献   

6.
Using a newly discovered dataset of U.S. bank suspensions from 1921 to 1929, we discovered that banking panics were more common in the 1920s than had been believed. Besides identifying panics, we investigate their determinants, finding that local banking panics were more likely when fundamental economic conditions were generally weak and more likely in “overbanked” states; they were less likely in states with deposit insurance or states where a relatively large share of banks belonged to chain banking organizations.  相似文献   

7.
In this article, the relation between non-performing loans (NPL) of the Brazilian banking system and macroeconomic factors, systemic risk, and banking concentration is empirically tested. In evaluating this relation, we use a dynamic specification with fixed effects, while using a panel data approach. The empirical results suggest that the banking concentration has a statistically significant impact on NPL, suggesting that more concentrated banking systems may improve financial stability. These results are important for the design of banking regulation policies.  相似文献   

8.
We develop a monetary framework to describe a macroeconomic system consisting of households, firms, the government, the central bank, and banks. The framework is based on the balance sheets of all sectors, in which the monetary flows between them govern the dynamics of the items. The whole system evolves over time and eventually attains a stationary state. Using this integrated model, we find that all flows coming from banks, including issuing loans, purchasing bonds, paying dividends, and paying interest on deposits, create money. On the contrary, all flows going to banks, including receiving repayments, selling bonds, issuing equities, and receiving interest on loans and bonds, destroy money. These flows associated with the behaviors of money creation and destruction are core factors that determine stationary states. We show the relationships between these flows and stationary stocks, especially the quantity of money. We also present the dependence of final output on these flows. We analyze the effects of monetary policies, such as changing the rate on loans and the amount of bank reserves. We find that an increase in the rate may yield higher output, while injecting more reserves may result in lower output.  相似文献   

9.
In this paper, we propose a new specification of the forward rate model of Heath, Jarrow and Morton [5] and apply it to the Japanese 3 month interest rate futures. Our empirical result shows that the model we propose can capture the forward interest rate movement.  相似文献   

10.
This paper examines how bank efficiency and stability are affected by the market power in Africa. Our results show that the higher degree of market power is associated with high level of efficiency and profitability. The banks with more market power operating are able to be in command of the price and hence improve their profit. The market power has a benefit in both stability and risk. Hence, gain in market will increase the stability and reduce the risk for banking system. Our findings do not support the argument that competition should not be based on a “quiet life hypothesis”.  相似文献   

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