TAILIEUCHUNG - Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C.: Interest Rate Risk and Bank Equity Valuations

Second, the sample period in this study covers a full business cycle, thereby providing a better indication of the relative variability of lending activities experienced by commercial banks over this period. Brewer, Minton, and Moser (2000) document a universal downward trend of C&I lending over a sample period of 1985 to 1992, a period during which the economy experienced a significant cyclical downturn. In contrast, our sample enables me to focus on a more comprehensive picture regarding the impact of derivative usage on lending activity through the different stages of the business cycle, such as economic boom and economic recession | Finance and Economics Discussion Series Divisions of Research Statistics and Monetary Affairs Federal Reserve Board Washington . Interest Rate Risk and Bank Equity Valuations William B. English Skander J. Van den Heuvel and Egon Zakrajsek 2012-26 NOTE Staff working papers in the Finance and Economics Discussion Series FEDS are preliminary materials circulated to stimulate discussion and critical comment. The analysis and conclusions set forth are those of the authors and do not indicate concurrence by other members of the research staff or the Board of Governors. References in publications to the Finance and Economics Discussion Series other than acknowledgement should be cleared with the author s to protect the tentative character of these papers. Interest Rate Risk and Bank Equity Valuations William B. English Skander J. Van den Heuved Egon ZakrajSekl May 1 2012 Abstract Because they engage in maturity transformation a steepening of the yield curve should all else equal boost bank profitability. We re-examine this conventional wisdom by estimating the reaction of bank intraday stock returns to exogenous fluctuations in interest rates induced by monetary policy announcements. We construct a new measure of the mismatch between the repricing time or maturity of bank assets and liabilities and analyze how the reaction of stock returns varies with the size of this mismatch and other bank characteristics including the usage of interest rate derivatives. Our results indicate that bank stock prices decline substantially following an unanticipated increase in the level of interest rates or a steepening of the yield curve. A large maturity gap however significantly attenuates the negative reaction of returns to a slope surprise a result consistent with the role of banks as maturity transformers. Share prices of banks that rely heavily on core deposits decline more in response to policy-induced interest rate surprises a reaction that primarily reflects ensuing deposit .

• Ngân hàng - Tín dụng
• Mining or Our
• Heritage
• Indigenous Local
• Industrial Waste
• Mines in Ghana
• Building Material
• Building Survey
• Demolition Plan
• Hazardous Material
• Asbestos Containing Material
• Soil Contamination Material
• Termination of Utilities
• sentence building
• knowledge of English
• English grammar material
• using English
• basic English grammar
• exercises English
• Phosphate Waste
• Utilization
• Coal Combustion
• Public Speaker
• Informative Speaking
• Academic Articles
• Building Credibility
• Developing Supporting Material
• Risk associated
• Removal of unsystematic
• Building and management
• estate portfolios
• Market specific
• economic research
• Material Properties
• Composites Containing
• Waste Materials
• Porous Particle
• Polymer Composites
• Bone Reconstruction
• Building Control
• Joining Wood
• wood species
• selecting tool
• preparing material
• router plane
• Tạp chí Phát triển Khoa học và Công nghệ
• Application of self organizing map in construction
• Geology and petroleum industry
• Clustering two sets
• Building material costs indice
• Greenhouse roses for cutflower production
• Rose varieties
• Plant material
• Climate control
• Soil and pH
• Plant spacing
• Stimulation of bottom breaks on new plants
• Building the canopy
• Building sector
• High consumption
• Material production
• Insulation structures
• Hemp fibre extraction
• Roof insulation
• Urban Residues
• Composite Natural Material
• Wood Polymer Composites
• Engineered Membranes
• Transporters
• Useful Devices
• omplex machine