Subordinated debt prices and forward-looking estimates of bank asset volatility
Article Abstract:
Analysis of bank-asset volatility using data derived from four banks covering the period 1987-1988 shows that a model incorporating current market prices of equity and subordinated debt predicted rates that reached as much as 40% higher than those derived from using a model based on historical data on price volatility. This result suggests that banks adopt stricter risk-based capital standards and not merely base their risk projections on historical trends.
Publication Name: Journal of Economics and Business
Subject: Economics
ISSN: 0148-6195
Year: 1996
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The basis risk component of commercial bank stock returns
Article Abstract:
Basis risk, which refers to a change in spread between prime rate and LIBOR and Fed funds rates average, was an essential element of the risk associated with commercial bank stocks. Basis risk became higher when core deposits were low and the change in the level of commercial and industrial loans of commercial banks was significant. Such assessment can only be made based on the balance sheet structure of a commercial bank.
Publication Name: Journal of Economics and Business
Subject: Economics
ISSN: 0148-6195
Year: 1998
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Looking back at forward-looking monetary policy
Article Abstract:
The Federal Reserve is found to have maintained its policy toward inflation during two recent periods. Apparent differences can be attributed to imperfect estimates of future inflation.
Publication Name: Journal of Economics and Business
Subject: Economics
ISSN: 0148-6195
Year: 2001
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