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Who bears interest rate risk?

Citations

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Cited by:

  1. Molyneux, Philip & Pancotto, Livia & Reghezza, Alessio & Rodriguez d'Acri, Costanza, 2022. "Interest rate risk and monetary policy normalisation in the euro area," Journal of International Money and Finance, Elsevier, vol. 124(C).
  2. Özbekler, Ali Gencay & Kontonikas, Alexandros & Triantafyllou, Athanasios, 2021. "Volatility forecasting in European government bond markets," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1691-1709.
  3. John Krainer & Pascal Paul, 2023. "Monetary Transmission through Bank Securities Portfolios," Working Paper Series 2023-18, Federal Reserve Bank of San Francisco.
  4. Bluhm, Marcel, 2018. "Persistent liquidity shocks and interbank funding," Journal of Financial Stability, Elsevier, vol. 36(C), pages 246-262.
  5. Altavilla, Carlo & Boucinha, Miguel & Peydró, José-Luis, 2018. "Monetary policy and bank profitability in a low interest rate environment," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 33(96), pages 531-586.
  6. Claußen, Catharina & Platte, Daniel, 2023. "Evaluating the validity of regulatory interest rate risk measures – a simulation approach," Journal of Banking & Finance, Elsevier, vol. 154(C).
  7. Albertazzi, Ugo & Fringuellotti, Fulvia & Ongena, Steven, 2024. "Fixed rate versus adjustable rate mortgages: Evidence from euro area banks," European Economic Review, Elsevier, vol. 161(C).
  8. Christian Wipf, 2023. "The effects of cost-push inflation on Austrian banks," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 46, pages 19-28.
  9. Bats, Joost V. & Giuliodori, Massimo & Houben, Aerdt C.F.J., 2023. "Monetary policy effects in times of negative interest rates: What do bank stock prices tell us?," Journal of Financial Intermediation, Elsevier, vol. 53(C).
  10. Guiso, Luigi & Pozzi, Andrea & Tsoy, Anton & Gambacorta, Leonardo & Mistrulli, Paolo Emilio, 2022. "The cost of steering in financial markets: Evidence from the mortgage market," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1209-1226.
  11. Raymond Kim, 2024. "Hedging securities and Silicon Valley Bank idiosyncrasies," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(4), pages 653-672, April.
  12. Scheicher, Martin, 2023. "Intermediation in US and EU bond and swap markets: stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020," ESRB Occasional Paper Series 24, European Systemic Risk Board.
  13. Dräger Vanessa & Heckmann-Draisbach Lotta & Memmel Christoph, 2021. "Interest and credit risk management in German banks: Evidence from a quantitative survey," German Economic Review, De Gruyter, vol. 22(1), pages 63-95, February.
  14. Christoph Memmel, 2020. "What drives the short‐term fluctuations of banks' exposure to interest rate risk?," Review of Financial Economics, John Wiley & Sons, vol. 38(4), pages 674-686, October.
  15. Ahnert, Toni & Assenmacher, Katrin & Hoffmann, Peter & Leonello, Agnese & Monnet, Cyril & Porcellacchia, Davide, 2022. "The economics of central bank digital currency," Working Paper Series 2713, European Central Bank.
  16. Anthony Brassil & Jon Cheshire & Joseph Muscatello, 2018. "The Transmission of Monetary Policy through Banks' Balance Sheets," RBA Annual Conference Volume (Discontinued), in: John Simon & Maxwell Sutton (ed.),Central Bank Frameworks: Evolution or Revolution?, Reserve Bank of Australia.
  17. Joseph Abadi & Markus Brunnermeier & Yann Koby, 2023. "The Reversal Interest Rate," American Economic Review, American Economic Association, vol. 113(8), pages 2084-2120, August.
  18. Kirti, Divya, 2020. "Why do bank-dependent firms bear interest-rate risk?," Journal of Financial Intermediation, Elsevier, vol. 41(C).
  19. Gomez, Matthieu & Landier, Augustin & Sraer, David & Thesmar, David, 2021. "Banks’ exposure to interest rate risk and the transmission of monetary policy," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 543-570.
  20. Carletti, Elena & De Marco, Filippo & Ioannidou, Vasso & Sette, Enrico, 2021. "Banks as patient lenders: Evidence from a tax reform," Journal of Financial Economics, Elsevier, vol. 141(1), pages 6-26.
  21. Pierluigi Bologna, 2017. "Banks’ maturity transformation: risk, reward, and policy," Temi di discussione (Economic working papers) 1159, Bank of Italy, Economic Research and International Relations Area.
  22. Ampudia, Miguel & Van den Heuvel, Skander J., 2022. "Monetary Policy and Bank Equity Values in a Time of Low and Negative Interest Rates," Journal of Monetary Economics, Elsevier, vol. 130(C), pages 49-67.
  23. Döttling, Robin, 2023. "Bank Capital Regulation in a Zero Interest Environment," OSF Preprints 9dxzf, Center for Open Science.
  24. Rampini, Adriano A. & Viswanathan, S. & Vuillemey, Guillaume, 2019. "Risk Management in Financial Institutions," CEPR Discussion Papers 13787, C.E.P.R. Discussion Papers.
  25. Paul, Pascal, 2023. "Banks, maturity transformation, and monetary policy," Journal of Financial Intermediation, Elsevier, vol. 53(C).
  26. Simona Malovaná & Josef Bajzík & Dominika Ehrenbergerová & Jan Janků, 2023. "A prolonged period of low interest rates in Europe: Unintended consequences," Journal of Economic Surveys, Wiley Blackwell, vol. 37(2), pages 526-572, April.
  27. Present, Thomas & Simoens, Mathieu & Vander Vennet, Rudi, 2023. "European bank margins at the zero lower bound," Journal of International Money and Finance, Elsevier, vol. 131(C).
  28. Khetan, Umang & Neamțu, Ioana & Sen, Ishita, 2023. "The market for sharing interest rate risk: quantities behind prices," Bank of England working papers 1031, Bank of England.
  29. Robin Dottling, 2018. "Bank Capital Regulation in a Zero Interest Environment," Tinbergen Institute Discussion Papers 18-016/IV, Tinbergen Institute, revised 11 Oct 2019.
  30. Andrea Landi, Alex Sclip, Valeria Venturelli, 2019. "The effect of the Fed zero-lower bound announcementon bank profitability and diversification," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0079, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  31. Raymond F. D. D. Chaudron & Leo Haan & Marco Hoeberichts, 2023. "Banks’ Net Interest Income from Maturity Transformation and Other Interest Income: Communicating Vessels?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 63(1), pages 35-62, February.
  32. Yewon Kim & Pradeep K. Chintagunta & Bhuvanesh Pareek, 2022. "Government Policy, Strategic Consumer Behavior, and Spillovers to Retailers: The Case of Demonetization in India," Marketing Science, INFORMS, vol. 41(6), pages 1118-1144, November.
  33. Adriano A. Rampini & S. Viswanathan & Guillaume Vuillemey, 2020. "Retracted: Risk Management in Financial Institutions," Journal of Finance, American Finance Association, vol. 75(2), pages 591-637, April.
  34. Cappelletti, Giuseppe & Marqués-Ibáñez, David & Reghezza, Alessio & Salleo, Carmelo, 2024. "As interest rates surge: flighty deposits and lending," Working Paper Series 2923, European Central Bank.
  35. Fatih Altunok & Yavuz Arslan & Steven Ongena, 2023. "Monetary Policy Transmission with Adjustable and Fixed Rate Mortgages: The Role of Credit Supply," Working Papers 202305, University of Liverpool, Department of Economics.
  36. Paludkiewicz, Karol, 2018. "Unconventional Monetary Policy, Bank Lending, and Security Holdings: The Yield-Induced Portfolio Rebalancing Channel," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181669, Verein für Socialpolitik / German Economic Association.
  37. Michelangeli, Valentina & Piersanti, Fabio Massimo, 2023. "Interdependence between assets and liabilities in the banking system: Changes in the last two decades," Finance Research Letters, Elsevier, vol. 58(PA).
  38. Jorien Freriks & Jan Kakes, 2021. "Bank interest rate margins in a negative interest rate environment," Working Papers 721, DNB.
  39. Ishita Sen, 2023. "Regulatory Limits to Risk Management," The Review of Financial Studies, Society for Financial Studies, vol. 36(6), pages 2175-2223.
  40. Rostagno, Massimo & Altavilla, Carlo & Carboni, Giacomo & Lemke, Wolfgang & Motto, Roberto & Saint Guilhem, Arthur, 2021. "Combining negative rates, forward guidance and asset purchases: identification and impacts of the ECB’s unconventional policies," Working Paper Series 2564, European Central Bank.
  41. Guillaume Vuillemey, 2019. "Bank Interest Rate Risk Management," Management Science, INFORMS, vol. 65(12), pages 5933-5956, December.
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