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How Have Banks Responded to Changes in the Yield Curve?

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Abstract

Between December 2015 and September 2018, a cumulative increase in the federal funds rate of 200 basis points was accompanied by a compression of 125 basis points in the difference between the yields on three-month and ten-year U.S. Treasury securities. In this Chicago Fed Letter, we examine some of the effects of the flatter yield curve on the banking sector and how they compare with the effects of similar interest rate configurations in the past.

Suggested Citation

  • Thomas B. King & Jonathan Yu, 2018. "How Have Banks Responded to Changes in the Yield Curve?," Chicago Fed Letter, Federal Reserve Bank of Chicago.
    • Handle: RePEc:fip:fedhle:00095
    DOI: 10.21033/cfl-2018-406
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