IDEAS home Printed from https://ideas.repec.org/r/fth/pennfi/5-83.html

Market Evidence on the Effective Maturity of Bank Assets and Liabilities

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. is not listed on IDEAS
  2. 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.
  3. Susan Ryan & Andrew C. Worthington, 2002. "Time-Varying Market, Interest Rate and Exchange Rate Risk in Australian Bank Portfolio Stock Returns: A Garch-M Approach," School of Economics and Finance Discussion Papers and Working Papers Series 112, School of Economics and Finance, Queensland University of Technology.
  4. Patrick M. Parkinson & Paul A. Spindt, 1985. "The use of interest rate futures by commercial banks," Proceedings 85, Federal Reserve Bank of Chicago.
  5. 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.
  6. Blakespoor, Elizabeth & Linsmeier, Thomas J. & Petroni, Kathy & Shakespeare, Catherine, 2012. "Fair Value Accounting for Financial Instruments: Does It Improve the Association between Bank Leverage and Credit Risk?," Research Papers 2107, Stanford University, Graduate School of Business.
  7. L. Baele & R. Vander Vennet & A. Van Landschoot, 2004. "Bank Risk Strategies and Cyclical Variation in Bank Stock Returns," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 04/217, Ghent University, Faculty of Economics and Business Administration.
  8. Anthony Saunders & Michael Smirlock, 1985. "Intra- and interindustry effects of bank securities market activities: the case of discount brokerage," Proceedings 95, Federal Reserve Bank of Chicago.
  9. Richard Pettway & Jack W. Trifts, 1985. "Purchase and assumption mergers: do banks overbid?," Proceedings 79, Federal Reserve Bank of Chicago.
  10. 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.
  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. Robert H. Dugger, 1985. "Financial soundness and deposit insurance reform: comments on the Continental Illinois National Bank Experience," Proceedings 82, Federal Reserve Bank of Chicago.
  13. Antonis Kotidis & Dimitris Malliaropulos & Elias Papaioannou, 2022. "Public and private liquidity during crises times: evidence from Emergency Liquidity Assistance (ELA) to Greek banks," Working Papers 304, Bank of Greece.
  14. P. Michael Laub, 1985. "Deposit insurance and regulation: the view of the American Bankers Association," Proceedings 80, Federal Reserve Bank of Chicago.
  15. Howard Kaufold & Michael Smirlock, 1985. "Foreign lending, disclosure and the Mexican debt crisis," Proceedings 94, Federal Reserve Bank of Chicago.
  16. Purnanandam, Amiyatosh, 2007. "Interest rate derivatives at commercial banks: An empirical investigation," Journal of Monetary Economics, Elsevier, vol. 54(6), pages 1769-1808, September.
  17. Christopher M. James & Peggy Wier, 1985. "An analysis of FDIC failed bank auction procedures," Proceedings 78, Federal Reserve Bank of Chicago.
  18. Richard Sheehan, 2013. "Valuing Core Deposits," Journal of Financial Services Research, Springer;Western Finance Association, vol. 43(2), pages 197-220, April.
  19. Didier Dukundane, 2023. "Modeling and Forecasting Exchange Rate Volatility in West Africa using GARCH models," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 12(4), pages 1-2.
  20. Yuk-Shee Chan & Stuart I. Greenbaum & Anjan V. Thakor, 1985. "The deterioration of bank asset quality," Proceedings 71, Federal Reserve Bank of Chicago.
  21. Gerald F. Fitzgerald, 1985. "Views on bank safety and soundness regulation," Proceedings 84, Federal Reserve Bank of Chicago.
  22. Chaudhry, Mukesh K. & Christie-David, Rohan & Koch, Timothy W. & Reichert, Alan K., 2000. "The risk of foreign currency contingent claims at US commercial banks," Journal of Banking & Finance, Elsevier, vol. 24(9), pages 1399-1417, September.
  23. Rampini, Adriano A. & Viswanathan, S. & Vuillemey, Guillaume, 2019. "Risk Management in Financial Institutions," CEPR Discussion Papers 13787, Centre for Economic Policy Research.
  24. David L. Mengle, 1990. "Market Value Accounting And The Bank Balance Sheet," Contemporary Economic Policy, Western Economic Association International, vol. 8(2), pages 82-94, April.
  25. Robert B. Avery & Gerald A. Hanweck & Myron L. Kwast, 1985. "An analysis of risk-based deposit insurance for commercial banks," Research Papers in Banking and Financial Economics 79, Board of Governors of the Federal Reserve System (U.S.).
  26. Michael C. Keeley & Gary C. Zimmerman, 1985. "Competition for MMDAs," Proceedings 97, Federal Reserve Bank of Chicago.
  27. Tarek S. Zaher & Dale K. Osborne, 2008. "On the Incidence of Deposit Taxes," NFI Working Papers 2008-WP-03, Indiana State University, Scott College of Business, Networks Financial Institute.
  28. Richard W. Nelson, 1985. "Off-balance sheet banking and bank capital," Proceedings 87, Federal Reserve Bank of Chicago.
  29. Eric Hirschhorn, 1985. "Bidding levels in purchase and assumption auctions," Proceedings 77, Federal Reserve Bank of Chicago.
  30. Patrick McGuire & Goetz von Peter, 2012. "The Dollar Shortage in Global Banking and the International Policy Response," International Finance, Wiley Blackwell, vol. 15(2), pages 155-178, June.
  31. Maxim Zagonov, 2011. "Securitization and Bank Intermediation Function," Finance zagonov-wpsz2011, Socionet.
  32. Penas, M.F. & Tumer-Alkan, G., 2008. "Bank Disclosure and Market Assessment of Financial Fragility : Evidence from Banks' Equity Prices," Discussion Paper 2008-013, Tilburg University, Tilburg Law and Economic Center.
  33. Galen Sher & Giuseppe Loiacono, 2013. "Maturity Transformation and Interest Rate Risk in Large European Bank Loan Portfolios," EcoMod2013 5442, EcoMod.
  34. 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.
  35. Maxim Zagonov & Angela Kate Pettinicchio & Galla Salganik-Shoshan, 2017. "Audit quality, bank risks, and cross-country regulations," Economics Bulletin, AccessEcon, vol. 37(3), pages 1666-1687.
  36. María Penas & Günseli Tümer-Alkan, 2010. "Bank Disclosure and Market Assessment of Financial Fragility: Evidence from Turkish Banks’ Equity Prices," Journal of Financial Services Research, Springer;Western Finance Association, vol. 37(2), pages 159-178, June.
  37. Bert Ely, 1985. "Yes -- private sector depositor protection is a viable alternative to Federal Deposit Insurance!," Proceedings 74, Federal Reserve Bank of Chicago.
  38. James R. Barth & R. Dan Brumbaugh & Daniel Sauerhaft & George Wang, 1985. "Thrift institution failures: causes and policy issues," Proceedings 68, Federal Reserve Bank of Chicago.
  39. Brian Chiplin & Mervyn Lewis, 1985. "Deregulation and the competitive pressures upon British banks," Proceedings 61, Federal Reserve Bank of Chicago.
  40. Roger E. Lumpp, 1985. "Is private insurance a viable alternative to Federal Deposit Insurance?," Proceedings 76, Federal Reserve Bank of Chicago.
  41. Gary D. Koppenhaver, 1985. "Predicting the off-balance sheet behavior of Seventh District commercial banks," Proceedings 86, Federal Reserve Bank of Chicago.
  42. Tim S. Campbell & J. Kimball Dietrich & Mark I. Weinstein, 1985. "Some evidence on bank holding company regulation: the question of expansion into the insurance business," Proceedings 96, Federal Reserve Bank of Chicago.
  43. Johnson Worlanyo Ahiadorme & Emmanuel Sonyo & Godwin Ahiase, 2019. "Time Series Analysis of Interest Rates Volatility and Stock Returns in Ghana," Emerging Economy Studies, International Management Institute, vol. 5(2), pages 89-102, November.
  44. William L. Scott & Richard L Peterson, 1986. "Interest Rate Risk And Equity Values Of Hedged And Unhedged Financial Intermediaries," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(4), pages 325-329, December.
  45. Bindseil, Ulrich & Domnick, Clemens & Zeuner, Jörg, 2015. "Critique of accommodating central bank policies and the 'expropriation of the saver' - A review," Occasional Paper Series 161, European Central Bank.
  46. Peter Hoffmann & Sam Langfield & Federico Pierobon & Guillaume Vuillemey, 2019. "Who Bears Interest Rate Risk?," The Review of Financial Studies, Society for Financial Studies, vol. 32(8), pages 2921-2954.
  47. John F. Chant, 1985. "Recent experience in the deregulation of Canadian financial institutions," Proceedings 60, Federal Reserve Bank of Chicago.
  48. Martin Knaup & Wolf Wagner, 2012. "A Market-Based Measure of Credit Portfolio Quality and Banks' Performance During the Subprime Crisis," Management Science, INFORMS, vol. 58(8), pages 1423-1437, August.
  49. Akhigbe, Aigbe & Whyte, Ann Marie, 2003. "Changes in market assessments of bank risk following the Riegle-Neal Act of 1994," Journal of Banking & Finance, Elsevier, vol. 27(1), pages 87-102, January.
  50. George D. Irwin, 1985. "The role of the Farm Credit System," Proceedings 63, Federal Reserve Bank of Chicago.
  51. 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.
  52. Beverly Hirtle, 1997. "Derivatives, Portfolio Composition, and Bank Holding Company Interest Rate Risk Exposure," Journal of Financial Services Research, Springer;Western Finance Association, vol. 12(2), pages 243-266, October.
  53. Emin, Mustafa & James, Christopher & Li, Tao, 2025. "Variable deposit betas and bank exposure to interest rate risk," Journal of Financial Intermediation, Elsevier, vol. 62(C).
  54. Wetmore, Jill L. & Brick, John R., 1998. "The Basis Risk Component of Commercial Bank Stock Returns," Journal of Economics and Business, Elsevier, vol. 50(1), pages 67-76, January.
  55. Bluhm, Marcel, 2018. "Persistent liquidity shocks and interbank funding," Journal of Financial Stability, Elsevier, vol. 36(C), pages 246-262.
  56. Akhigbe, Aigbe & Whyte, Ann Marie, 2001. "The impact of FDICIA on bank returns and risk: Evidence from the capital markets," Journal of Banking & Finance, Elsevier, vol. 25(2), pages 393-417, February.
  57. Cantrell, Brett W. & Yust, Christopher G., 2018. "The relation between religiosity and private bank outcomes," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 86-105.
  58. Elijah Brewer & Cheng-Few Lee, 1985. "The association between bank stock market-based risk measures and the financial characteristics of the firm: a pooled cross-section time- series approach," Proceedings 72, Federal Reserve Bank of Chicago.
  59. Joseph C. Scully, 1985. "Unequal treatment of banks vs. thrifts," Proceedings 91, Federal Reserve Bank of Chicago.
  60. Gary L. Benjamin, 1985. "An overview of the financial stress in agriculture," Proceedings 62, Federal Reserve Bank of Chicago.
  61. Barry F. Sullivan, 1985. "Capital adequacy," Proceedings 89, Federal Reserve Bank of Chicago.
  62. repec:ecb:ecbops:2010161 is not listed on IDEAS
  63. Michael D. Boehlje, 1985. "Agricultural policy and financial stress," Proceedings 65, Federal Reserve Bank of Chicago.
  64. victor Lyonnet, 2018. "Asset-liability management in life insurance: Evidence from France," Working Papers 2018-12, Center for Research in Economics and Statistics.
  65. Michael C. Keeley & Gary C. Zimmerman, 1985. "Competition for money market deposit accounts," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 5-27.
  66. Tumer-Alkan, G., 2008. "Essays on banking," Other publications TiSEM 8d5ec521-4702-4e75-bc79-a, Tilburg University, School of Economics and Management.
  67. Baele, Lieven & De Bruyckere, Valerie & De Jonghe, Olivier & Vander Vennet, Rudi, 2015. "Model uncertainty and systematic risk in US banking," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 49-66.
  68. E. Dinenis & S. K. Staikouras, 1998. "Interest rate changes and common stock returns of financial institutions: evidence from the UK," The European Journal of Finance, Taylor & Francis Journals, vol. 4(2), pages 113-127.
  69. Herbert L. Baer & Larry R. Mote, 1985. "Bank regulation and structure: an international overview," Proceedings 57, Federal Reserve Bank of Chicago.
  70. Thomas H. Huston, 1985. "Regulation during financial stress," Proceedings 90, Federal Reserve Bank of Chicago.
  71. Russell E. Van Hooser, 1985. "Private insurance is not a viable alternative to Federal Deposit Insurance," Proceedings 75, Federal Reserve Bank of Chicago.
  72. George G. Kaufman, 1985. "Ensuring the safety and soundness of the banking system: policy alternatives," Proceedings 81, Federal Reserve Bank of Chicago.
  73. David C. Cates, 1985. "Commitments and contingencies: the "invisible hand"," Proceedings 88, Federal Reserve Bank of Chicago.
  74. Elyas Elyasiani & Iftekhar Hasan & Elena Kalotychou & Panos K. Pouliasis & Sotiris K. Staikouras, 2020. "Banks’ equity performance and the term structure of interest rates," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 29(2), pages 43-64, May.
  75. Linda Allen & Julapa Jagtiani, 1997. "Risk and Market Segmentation in Financial Intermediaries' Returns," Journal of Financial Services Research, Springer;Western Finance Association, vol. 12(2), pages 159-173, October.
  76. Thomas F. Cargill & Shoichi Royama, 1985. "Japanese banking and corporate finance in transition," Proceedings 58, Federal Reserve Bank of Chicago.
  77. George Pennacchi, 1985. "An empirical analysis of bank risk," Proceedings 70, Federal Reserve Bank of Chicago.
  78. Richard L. Peterson & William L. Scott, 1985. "Major causes of bank failures," Proceedings 67, Federal Reserve Bank of Chicago.
  79. George Gregorash & James Morrison, 1985. "The lean years: trends in agricultural banking," Proceedings 64, Federal Reserve Bank of Chicago.
  80. Andrew T. Young & Travis Wiseman & Thomas L. Hogan, 2014. "Changing Perceptions of Maturity Mismatch in the U.S. Banking System: Evidence from Equity Markets," Southern Economic Journal, John Wiley & Sons, vol. 81(1), pages 193-210, July.
  81. Mohamed Belkhir & Abdelaziz Chazi, 2010. "Compensation Vega, Deregulation, and Risk‐Taking: Lessons from the US Banking Industry," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(9‐10), pages 1218-1247, November.
  82. Mark J. Flannery, 2020. "Contrasting Worldviews at Bank and Securities Market Regulators," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(S1), pages 43-62, October.
  83. Allen, Linda & Jagtiani, Julapa, 2000. "The risk effects of combining banking, securities, and insurance activities," Journal of Economics and Business, Elsevier, vol. 52(6), pages 485-497.
  84. Alan E. Grunewald & Alex J. Pollock, 1985. "Money managers and bank liquidity," Proceedings 93, Federal Reserve Bank of Chicago.
  85. Alfredo Martõn-Oliver & Vicente Salas-Fum¡S & Jesus Saurina, 2007. "A Test of the Law of One Price in Retail Banking," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(8), pages 2021-2040, December.
  86. repec:wvu:wpaper:10-04 is not listed on IDEAS
  87. David L. Mengle, 1990. "The case for interstate branch banking," Economic Review, Federal Reserve Bank of Richmond, vol. 76(Nov), pages 3-17.
  88. Brewer, Elijah & Deshmukh, Sanjay & Opiela, Timothy P., 2014. "Interest-rate uncertainty, derivatives usage, and loan growth in bank holding companies," Journal of Financial Stability, Elsevier, vol. 15(C), pages 230-240.
  89. Franklin D. Berger & Gerald P. O'Driscoll & Eugenie D. Short, 1985. "Recent bank failures: determinants and consequences," Proceedings 66, Federal Reserve Bank of Chicago.
  90. Jermann, Urban & Xiang, Haotian, 2025. "Rules versus discretion in capital regulation," Journal of Financial Economics, Elsevier, vol. 169(C).
  91. Mark Iarovyi & sasson Bar Yosef & Itzhak Venezia, 2017. "Implied Maturity Mismatches and Investor Disagreement," Proceedings of Economics and Finance Conferences 4507072, International Institute of Social and Economic Sciences.
  92. Andrew S. Carron, 1985. "Overseas financial sector deregulation: lessons from Australia and New Zealand," Proceedings 59, Federal Reserve Bank of Chicago.
  93. Catherine England, 1985. "A proposal for introducing private deposit insurance," Proceedings 73, Federal Reserve Bank of Chicago.
  94. Stanley C. Silverberg, 1985. "Deposit insurance and the soundness of banks," Proceedings 83, Federal Reserve Bank of Chicago.
  95. Cookson, J. Anthony & Fox, Corbin & Gil-Bazo, Javier & Imbet, Juan F. & Schiller, Christoph, 2026. "Social media as a bank run catalyst," Journal of Financial Economics, Elsevier, vol. 176(C).
  96. 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.
  97. Li Xu & Alex Tang, 2011. "SFAS No. 159," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 10(2), pages 92-109, May.
  98. Gary G. Gilbert, 1985. "An analytical framework for improved disclosure in banking," Proceedings 92, Federal Reserve Bank of Chicago.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.