This paper investigates the size and development of Dutch banks’ interest rate risk positions in the banking book during the period from 2008 to 2015. Interest rate risk positions are rather modest ... interest margin and the return on assets. Interest rate risk positions do, however, vary significantly between banks and over time. In fact, banks adjust their interest rate risk in order to benefit from
on bank retail rates in the euro area. We show that σ-convergence in interest rates has been ... interest rate convergence in the euro area ... dispersion of various lending and deposit rates. In contrast, the impact of the increased heterogeneity in credit risk on bank retail rates is negligible. Our results suggest that efforts to reduce
We study whether the sensitivity of Swedish interest rates to economic news was affected by the ... interest rate swaps to Swedish macroeconomic news was reduced at the effective zero lower bound at short maturities but not at longer maturities. We also find that the sensitivity of interest rate swaps ... conclude that the sensitivity of interest rate swaps to news was not significantly affected at any
policy tool at the zero lower bound of the policy rate on market interest rates. We study the impact on short- to medium-term interest rates implied by Eurodollar interest rate futures contracts, and on near- to long-term interest rates implied by US Treasury securities. We find that explicit policy rate guidance announcements significantly reduced interest rates implied by Eurodollar futures
Several times per year DNB issues an Occasional Study, a publication designed for a broader public than just economists. Occasional Studies cover a specific research or policy theme, contributing to national and international policy debates. The natural rate of interest from a monetary and financial perspective
Some countries currently face historically low interest rates on government debt due to a ... rate environment has raised interest in the role of fiscal stabilization policy. We study the ... positive. Keywords: convenience yield, low interest rate, fiscal policy, debt sustainability. JEL Classifications: E32, E62, E63. A convenient truth: The convenience yield, low interest rates and
Do negative interest rates matter for bank performance? This paper investigates whether monetary ... monetary policy announcements reduce bank stock prices in a low and especially negative interest rate ... longer-end of the yield curve does not impact bank stock prices in a negative interest rate environment. The results indicate that when market interest rates are negative but deposit rates stuck at
rates on the net interest margin (NIM) of 41 Dutch banks during the period 2008Q1 to 2016Q2. Our ... interest rates fell, while total NIM remained constant. In other words, banks managed to keep net ... Keywords: net interest margin, banks, interest rate risk, income from maturity transformation. JEL ... interest rate risk: communicating vessels?
In this paper we assume that the natural rate of interest is fundamentally uncertain. Based on a small scale macroeconomic model, info-gap theory is used to rank different monetary policy ... Working paper no. 650 650 - Fundamental uncertainty about the natural rate of interest: Info-gap as ... strategy that is responsive to deviations from the policy targets is more robust against natural rate
We analyze the transmission of an interest rate shock to households in the context of a ... the future under different scenarios for the development of the interest rate and simulating both ... repayments on the effects of an interest rate shock. Keywords: transmission of interest rate shock; ... 615 615 - The Transmission of an Interest Rate Shock, Standard Mitigants and Household Behavior
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