Tail Sensitivity of US Bank Net Interest Margins: A Bayesian Penalized Quantile Regression Approach
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DOI: 10.26509/frbc-wp-202509
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More about this item
Keywords
net interest margins; interest rate risk; Bayesian quantile regression; dynamic panel; density forecasting;All these keywords.
JEL classification:
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FOR-2025-04-21 (Forecasting)
- NEP-RMG-2025-04-21 (Risk Management)
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