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Market Interest Rates and Commercial Bank Profitability: An Empirical Investigation

Citations

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Cited by:

  1. Beckmann, Rainer, 2007. "Profitability of Western European banking systems: panel evidence on structural and cyclical determinants," Discussion Paper Series 2: Banking and Financial Studies 2007,17, Deutsche Bundesbank.
  2. 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).
  3. Gregory E. Sierra & Timothy J. Yeager, 2003. "What does the Federal Reserve’s economic value model tell us about interest rate risk at U.S. community banks?," Supervisory Policy Analysis Working Papers 2003-01, Federal Reserve Bank of St. Louis.
  4. Karel Brůna, 2007. "Úrokový transmisní mechanismus a řízení úrokové marže bank v kontextu dezinflační politiky České národní banky [The interest rate transmission mechanism and the management of interest margin in the context of Czech national bank disinflation polic," Politická ekonomie, Prague University of Economics and Business, vol. 2007(6), pages 829-851.
  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. Iftekhar Hasan & Sudipto Sarkar, 2002. "Banks' option to lend, interest rate sensitivity, and credit availability," Review of Derivatives Research, Springer, vol. 5(3), pages 213-250, October.
  7. Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2021. "Banking on Deposits: Maturity Transformation without Interest Rate Risk," Journal of Finance, American Finance Association, vol. 76(3), pages 1091-1143, June.
  8. Klein, Melanie, 2020. "Implications of negative interest rates for the net interest margin and lending of euro area banks," Discussion Papers 10/2020, Deutsche Bundesbank.
  9. Kursat Aydogan, 1990. "An Investigation of Performance and Operational Efficiency in Turkish Banking Industry," Discussion Papers 9022, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  10. Daniel Goyeau & Alain Sauviat & Amine Tarazi, 2002. "Rentabilité bancaire et taux d'intérêt de marché. Une application aux principaux systèmes bancaires européens sur la période 1988-1995," Revue d'économie politique, Dalloz, vol. 112(2), pages 275-291.
  11. Massimo Giulidori & Enzo Dia, 2009. "The Determinants of Bank Interest Margins: Estimates of a Dynamic Model," Working Papers 157, University of Milano-Bicocca, Department of Economics, revised Mar 2009.
  12. Guillaume Bazot, 2024. "Deregulation and Financial Intermediation Cost: An International Comparison," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(5), pages 1129-1161, August.
  13. Matt Brigida, 2025. "Time-Varying Volatility of Bank Betas," Papers 2510.07671, arXiv.org.
  14. William C Handorf, 2016. "CAMEL to CAMELS: The risk of sensitivity," Journal of Banking Regulation, Palgrave Macmillan, vol. 17(4), pages 273-287, November.
  15. Supriya Kapoor & Adnan Velic, 2022. "QE: Implications for Bank Risk-Taking, Profitability, and Systemic Risk," Trinity Economics Papers tep0122, Trinity College Dublin, Department of Economics.
  16. G. J. Santoni, 1984. "Interest rate risk and the stock prices of financial institutions," Review, Federal Reserve Bank of St. Louis, vol. 66(Aug), pages 12-20.
  17. Glennon, Dennis & Lane, Julia, 1996. "Financial innovation, new assets, and the behavior of money demand," Journal of Banking & Finance, Elsevier, vol. 20(2), pages 207-225, March.
  18. Altavilla, Carlo & Begenau, Juliane & Burlon, Lorenzo & Maruhn, Franziska, 2024. "Determinants of bank performance: evidence from replicating portfolios," Working Paper Series 2937, European Central Bank.
  19. Molyneux, Philip & Reghezza, Alessio & Xie, Ru, 2019. "Bank margins and profits in a world of negative rates," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
  20. Skander Van den Heuvel, 2006. "The Bank Capital Channel of Monetary Policy," 2006 Meeting Papers 512, Society for Economic Dynamics.
  21. Raftis, Achilleas & Karpetis, Christos & Papadamou, Stephanos & Spyromitros, Eleftherios, 2024. "Monetary winds of change: Exploring the link between policy shifts and bank profitability in developed and emerging European markets," Global Finance Journal, Elsevier, vol. 59(C).
  22. Piergiorgio Alessandri & Benjamin D. Nelson, 2015. "Simple Banking: Profitability and the Yield Curve," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(1), pages 143-175, February.
  23. Coulier, Lara & Pancaro, Cosimo & Pancotto, Livia & Reghezza, Alessio, 2025. "Banking on assumptions? How banks model deposit maturities," Working Paper Series 3140, European Central Bank.
  24. Mirza, Harun & Salleo, Carmelo & Trachana, Zoe, 2024. "A portfolio perspective on euro area bank profitability using stress test data," Occasional Paper Series 356, European Central Bank.
  25. Claudio Borio & Boris Hofmann, 2017. "Is Monetary Policy Less Effective When Interest Rates Are Persistently Low?," RBA Annual Conference Volume (Discontinued), in: Jonathan Hambur & John Simon (ed.),Monetary Policy and Financial Stability in a World of Low Interest Rates, Reserve Bank of Australia.
  26. Jiang Cheng & Mary A. Weiss, 2012. "The Role of RBC, Hurricane Exposure, Bond Portfolio Duration, and Macroeconomic and Industry-wide Factors in Property–Liability Insolvency Prediction," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 79(3), pages 723-750, September.
  27. Hamed Ahmad Almahadin, 2022. "Spillover Effects of US Monetary Policy on Banking Development: Evidence from the Asian Region," Global Business Review, International Management Institute, vol. 23(1), pages 7-19, February.
  28. Aykut Ekinci, 2016. "The Effect of Credit and Market Risk on Bank Performance: Evidence from Turkey," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 427-434.
  29. David Tercero‐Lucas, 2023. "Nonstandard monetary policies and bank profitability: The case of Spain," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2248-2277, July.
  30. Kirti, Divya, 2020. "Why do bank-dependent firms bear interest-rate risk?," Journal of Financial Intermediation, Elsevier, vol. 41(C).
  31. Saha, Asish & Subramanian, V. & Basu, Sanjay & Mishra, Alok Kumar, 2009. "Networth exposure to interest rate risk: An empirical analysis of Indian commercial banks," European Journal of Operational Research, Elsevier, vol. 193(2), pages 581-590, March.
  32. Tuna, Gulcay & Almahadin, Hamed Ahmad, 2021. "Does interest rate and its volatility affect banking sector development? Empirical evidence from emerging market economies," Research in International Business and Finance, Elsevier, vol. 58(C).
  33. Donald R. Fraser & Srinivasan Kannan, 1989. "The Risk Implications Of Forecast Errors Of Bank Earnings, 1976–1986," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(3), pages 261-268, September.
  34. Sánchez Serrano, Antonio, 2025. "Banks in an environment of higher interest rates," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 6(4).
  35. M. Cary Collins & Van Son Lai & James E. McNulty, 1997. "Thrifty Viability and Traditional Mortgage Lending: A Simultaneous Equations Analysis of the Risk-Return Trade-Off," Journal of Real Estate Research, American Real Estate Society, vol. 13(2), pages 155-176.
  36. Lara Coulier & Cosimo Pancaro & Alessio Reghezza, 2024. "Are low interest rates firing back? Interest rate risk in the banking book and bank lending in a rising interest rate environment," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 24/1091, Ghent University, Faculty of Economics and Business Administration.
  37. Soundariya G. & Treesa Aleena David & Suresh G., 2025. "Nexus Between Interest Rate Risk and Economic Value of Equity of Banks," Global Business Review, International Management Institute, vol. 26(4), pages 855-875, August.
  38. Koont, Naz & Santos, Tano & Zingales, Luigi, 2023. "Destabilizing digital "bank walks"," Working Papers 328, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
  39. Roger Aliaga‐Díaz & María Pía Olivero, 2011. "The Cyclicality Of Price‐Cost Margins In Banking: An Empirical Analysis Of Its Determinants," Economic Inquiry, Western Economic Association International, vol. 49(1), pages 26-46, January.
  40. Dai, Ya & Guo, Liang & Zhang, Hongxian & Liu, Yu, 2020. "On-balance-sheet duration hedging and firm value," International Review of Financial Analysis, Elsevier, vol. 71(C).
  41. 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.
  42. Claudio Borio & Leonardo Gambacorta & Boris Hofmann, 2017. "The influence of monetary policy on bank profitability," International Finance, Wiley Blackwell, vol. 20(1), pages 48-63, March.
  43. Md. Shahidul Islam & Shin-Ichi Nishiyama, 2016. "The Determinants of Bank Profitability: Dynamic Panel Evidence from South Asian Countries," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 6(3), pages 1-6.
  44. Peter M. DeMarzo & Arvind Krishnamurthy & Stefan Nagel, 2024. "Interest Rate Risk in Banking," NBER Working Papers 33308, National Bureau of Economic Research, Inc.
  45. Feld, Lars P. & Schmidt, Christoph M. & Schnabel, Isabel & Truger, Achim & Wieland, Volker, 2019. "Den Strukturwandel meistern. Jahresgutachten 2019/20 [Dealing with Structural Change. Annual Report 2019/20]," Annual Economic Reports / Jahresgutachten, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung, volume 127, number 201920.
  46. Philip Molyneux & Alessio Reghezza & Chiara Torriero & Jonathan Williams, 2021. "Banks' noninterest income and securities holdings in a low interest rate environment: The case of Italy," European Financial Management, European Financial Management Association, vol. 27(1), pages 98-119, January.
  47. Daniel Hoechle & Stefan Ruenzi & Nic Schaub & Markus Schmid, 2018. "Financial Advice and Bank Profits," The Review of Financial Studies, Society for Financial Studies, vol. 31(11), pages 4447-4492.
  48. Pankaj Sinha & Sakshi Sharma, 2016. "Determinants of bank profits and its persistence in Indian Banks: a study in a dynamic panel data framework," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 7(1), pages 35-46, March.
  49. Kasman, Saadet & Vardar, Gülin & Tunç, Gökçe, 2011. "The impact of interest rate and exchange rate volatility on banks' stock returns and volatility: Evidence from Turkey," Economic Modelling, Elsevier, vol. 28(3), pages 1328-1334, May.
  50. repec:isu:genstf:198801010800009897 is not listed on IDEAS
  51. Aydemir, Resul & Ovenc, Gokhan, 2016. "Interest rates, the yield curve and bank profitability in an emerging market economy," Economic Systems, Elsevier, vol. 40(4), pages 670-682.
  52. Visser, H., 1985. "Solvency and liquidity of financial institutions and Minsky's theory of financial instability," Serie Research Memoranda 0015, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  53. 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".
  54. Kanas, Angelos & Vasiliou, Dimitrios & Eriotis, Nikolaos, 2012. "Revisiting bank profitability: A semi-parametric approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 990-1005.
  55. Paul Tanyi & Jack Cathey, 2024. "The audit of banks in the USA: Has it changed since the financial crisis?," Journal of Banking Regulation, Palgrave Macmillan, vol. 25(4), pages 378-403, December.
  56. Sirajo Aliyu & Rosylin Mohd Yusof, 2016. "Profitability and Cost Efficiency of Islamic Banks: A Panel Analysis of Some Selected Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1736-1743.
  57. PRITI Verma, 2016. "The Impact Of Exchange Rates And Interest Rates On Bank Stock Returns: Evidence From U.S. Banks," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 11(1), pages 124-139, April.
  58. Shahzad, Syed Jawad Hussain & Zakaria, Muhammad & Raza, Naveed & Ali, Sajid, 2014. "On the Bank Stocks Return and Volatility: Tale of a South Asian Economy," MPRA Paper 60155, University Library of Munich, Germany.
  59. Philip Molyneux & Alessio Reghezza & Ru Xie, 2018. "Bank Profits and Margins in a World of Negative Rates," Working Papers 18001, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
  60. R. W. McShane & I. G. Sharpe, 1987. "Australian Finance Company Profitability: Tests of the Hedging and S.C.P. Models," Australian Journal of Management, Australian School of Business, vol. 12(1), pages 69-90, June.
  61. Samsuri, Nurhazimah, 2017. "Affin Bank Performance: Relationship Liquidity Ratio, Leverage Ratio and GDP to Profitability," MPRA Paper 78545, University Library of Munich, Germany.
  62. Chalabi-Jabado, Fatima & Ziane, Ydriss, 2024. "Climate risks, financial performance and lending growth: Evidence from the banking industry," Technological Forecasting and Social Change, Elsevier, vol. 209(C).
  63. English, William B. & Van den Heuvel, Skander J. & Zakrajšek, Egon, 2018. "Interest rate risk and bank equity valuations," Journal of Monetary Economics, Elsevier, vol. 98(C), pages 80-97.
  64. Deep, Akash & Schaefer, Guido, 2004. "Are Banks Liquidity Transformers?," Working Paper Series rwp04-022, Harvard University, John F. Kennedy School of Government.
  65. Valentin Haddad & David Sraer, 2020. "The Banking View of Bond Risk Premia," Journal of Finance, American Finance Association, vol. 75(5), pages 2465-2502, October.
  66. Niall O’Donnell & Darren Shannon & Barry Sheehan, 2024. "The impact of monetary policy interventions on banking sector stocks: an empirical investigation of the COVID-19 crisis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-41, December.
  67. Chen, Hsiao-Jung & Lin, Kuan-Ting, 2016. "How do banks make the trade-offs among risks? The role of corporate governance," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 39-69.
  68. Iftekhar Hasan & Sudipto Sarkar, 2002. "Banks' option to lend, interest rate sensitivity, and credit availability," Review of Derivatives Research, Springer, vol. 5(3), pages 213-250, October.
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