scholarly journals The determinants of interest rate spread: Empirical evidence from the Central African economic and monetary community

2016 ◽  
Vol 8 (6) ◽  
pp. 66-78
Author(s):  
Dargaud Fofack Achille
Keyword(s):  
Interest Rate ◽  
Empirical Evidence ◽  
Interest Rate Spread

Empirical Evidence of Asymmetric Interest Rate Pass-Through in Vietnam

2013 ◽  
Vol 218 ◽  
pp. 78-93
Author(s):  
NGUYEN KHAC QUOC BAO ◽  
NGUYEN HUU HUY NHUT
Keyword(s):  
Interest Rate ◽  
Empirical Evidence ◽  
Pass Through

Economic Consequences of the AOCI Filter Removal for Advanced Approaches Banks

2019 ◽  
Vol 94 (6) ◽  
pp. 309-335 ◽  
Author(s):  
Sehwa Kim ◽  
Seil Kim ◽  
Stephen G. Ryan
Keyword(s):  
Interest Rate ◽  
Interest Rate Risk ◽  
Economic Consequences ◽  
Data Availability ◽  
Regulatory Capital ◽  
Management Options ◽  
Interest Rate Spread ◽  
Loan Supply ◽  
Other Comprehensive Income ◽  
Interest Rate Risk Management

ABSTRACT We examine economic consequences of U.S. bank regulators' phased removal of the prudential filter for accumulated other comprehensive income for advanced approaches banks beginning on January 1, 2014. The primary effect of the AOCI filter is to exclude unrealized gains and losses on available-for-sale securities from banks' regulatory capital. We predict and find that, to mitigate regulatory capital volatility resulting from the filter removal, advanced approaches banks increased the proportion of investment securities classified as held-to-maturity, thereby limiting their financing and interest rate risk management options, and they decreased securities risk, thereby reducing their interest rate spread. We further predict and find that these banks borrow more under securities repurchase agreements potentially collateralized by held-to-maturity securities and reduce loan supply owing to their reduced financing options, and that they increase loan risk to mitigate the decrease in their interest rate spread. JEL Classifications: G21; G28; M41; M48. Data Availability: Data are available from the public sources cited in the text.

scholarly journals A mixture autoregressive model based on Gaussian and Student’s t-distributions

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Savi Virolainen
Keyword(s):  
Interest Rate ◽  
Autoregressive Model ◽  
Autoregressive Models ◽  
Federal Funds ◽  
Treasury Bill ◽  
Federal Funds Rate ◽  
Empirical Application ◽  
Model Based ◽  
Interest Rate Spread ◽  
Student’S T

Abstract We introduce a new mixture autoregressive model which combines Gaussian and Student’s t mixture components. The model has very attractive properties analogous to the Gaussian and Student’s t mixture autoregressive models, but it is more flexible as it enables to model series which consist of both conditionally homoscedastic Gaussian regimes and conditionally heteroscedastic Student’s t regimes. The usefulness of our model is demonstrated in an empirical application to the monthly U.S. interest rate spread between the 3-month Treasury bill rate and the effective federal funds rate.

scholarly journals The impact of interest rate spread on the banking system efficiency in South Africa

2018 ◽  
Vol 6 (1) ◽  
pp. 1546417
Author(s):  
Varaidzo batsirai Shayanewako ◽  
Asrat Tsegaye ◽  
Christian Nsiah
Keyword(s):  
South Africa ◽  
Interest Rate ◽  
Banking System ◽  
System Efficiency ◽  
Interest Rate Spread ◽  
The Impact

scholarly journals Interest Rate Spread on Bank Profitability: The Case of Ghanaian Banks

2017 ◽  
Vol 1 (1) ◽  
pp. 34-45
Author(s):  
George Owusu- Antwi ◽  
Rachna Banerjee ◽  
James Antwi
Keyword(s):  
Interest Rate ◽  
Bank Profitability ◽  
Interest Rate Spread
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