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Valuing Core Deposits
16 references·2 citing·53 second hop
Valuing Core Deposits (2012)Valuing Core DepositsBasel Committee On Banking Supervision (2010)Basel Committee On Banking Su…Are there asymmetries in the response of bank interest rates to monetary shocks? (2007)Are there asymmetries in the …Competition, transmission and bank pricing policies: Evidence from Belgian loan and deposit markets (2006)Competition, transmission and…What Goes Up Must Come Down? Asymmetries and Persistence in Bank Deposit Rates (2002)What Goes Up Must Come Down? …Estimating the Value and Interest Rate Risk of Interest-Bearing Transactions Deposits (2000)Estimating the Value and Inte…An Empirical Analysis of the Jarrow-van Deventer Model for Valuing Non-Maturity Demand Deposits (1999)An Empirical Analysis of the …The Economics of Bank Regulation (1998)The Economics of Bank Regulat…The arbitrage-free valuation and hedging of demand deposits and credit card loans (1998)The arbitrage-free valuation …Measuring Rents and Interest Rate Risk in Imperfect Financial Markets: The Case of Retail Bank Deposits (1996)Measuring Rents and Interest …Retail Bank Deposit Pricing: An Intertemporal Asset Pricing Approach (1995)Retail Bank Deposit Pricing: …Market Structure and the Nature of Price Rigidity: Evidence from the Market for Consumer Deposits (1992)Market Structure and the Natu…The Rigidity of Prices: Evidence from the Banking Industry (1991)The Rigidity of Prices: Evide…Post-Deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics (1990)Post-Deregulation Bank-Deposi…Changing incentives facing financial-services regulators (1989)Changing incentives facing fi…Measuring and managing interest rate risk: A primer (1984)Measuring and managing intere…Market Evidence on the Effective Maturity of Bank Assets and Liabilities (1984)Market Evidence on the Effect…Government Guarantees and the Valuation of American Banks (2018)Government Guarantees and the…Retail Bank Interest Margins in Low Interest Rate Environments (2016)Retail Bank Interest Margins …Sticky Prices in the United States (1982)What's different about banks? (1985)The Price-Concentration Relationship in Banking (1989)Regulations, Market Structure, Institutions, and the Cost of Financial Intermediation (2003)Asymmetric Price Transmission: A Survey (2004)Bank Concentration and Competition: An Evolution in the Making (2004)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Bank Deposit Rate Clustering: Theory and Empirical Evidence (1999)Deposit market competition, wholesale funding, and bank risk (2013)Macroeconomics and Reality (1980)Statistical analysis of cointegration vectors (1988)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Output Growth Volatility and Remittances (2009)Bank profitability and taxation (2010)Service Regulation and Growth: Evidence from OECD Countries (2011)Risk measurement when shares are subject to infrequent trading (1979)Market Interest Rates and Commercial Bank Profitability: An Empirical Investigation (1981)The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions (1984)Bank Foreign Lending, Mandatory Disclosure Rules, and the Reaction of Bank Stock Prices to the Mexican Debt Crisis (1987)The US Dollar Shortage in Global Banking and the International Policy Response (2009)Banks' Risk Exposures (2015)Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression (1983)Financial Intermediation and Delegated Monitoring (1984)Incentive-Compatible Debt Contracts: The One-Period Problem (1985)Bank Capital and Value in the Cross-Section (2010)Real interest rates, leverage, and bank risk-taking (2013)Bank Leverage and Monetary Policy's Risk‐Taking Channel: Evidence from the United States (2016)Limited-dependent and qualitative variables in econometrics (1983)How Do Banks Set Interest Rates? (2004)Regulations, Market Structure, Institutions, and the Cost of Financial Intermediation (2004)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Risk management of non-maturing liabilities (2003)Operations in Financial Services—An Overview (2010)Banking on Deposits: Maturity Transformation without Interest Rate Risk (2018)Biases in Dynamic Models with Fixed Effects (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Analysis of Panel Data (2003)Integration and efficiency convergence in EU banking markets (2009)The dynamics of US bank profitability (2013)Taxes and bank capital structure (2016)Coherent Measures of Risk (1999)The risk management of nothing (2009)Does Competition Reduce the Risk of Bank Failure? (2010)Markets: The Credit Rating Agencies (2010)Corporate financing and investment decisions when firms have information that investors do not have (1984)Corporate Financing and Investment Decisions When Firms Have InformationThat Investors Do Not Have (1984)Managerial Incentives for Short-Term Results (1985)Deposit Insurance (1996)Comparing Market and Supervisory Assessments of Bank Performance: Who Knows What When? (1998)Deposit insurance and risk-taking behavior in the credit union industry (1999)
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References

  • 2010Basel Committee On Banking Supervision1,591 cited
  • 1991The Rigidity of Prices: Evidence from the Banking Industry778 cited
  • 1992Market Structure and the Nature of Price Rigidity: Evidence from the Market for Consumer Deposits690 cited
  • 1998The Economics of Bank Regulation500 cited
  • 2007Are there asymmetries in the response of bank interest rates to monetary shocks?232 cited
  • 2006Competition, transmission and bank pricing policies: Evidence from Belgian loan and deposit markets193 cited
  • 1984Market Evidence on the Effective Maturity of Bank Assets and Liabilities153 cited
  • 1996Measuring Rents and Interest Rate Risk in Imperfect Financial Markets: The Case of Retail Bank Deposits127 cited
  • 1998The arbitrage-free valuation and hedging of demand deposits and credit card loans120 cited
  • 1989Changing incentives facing financial-services regulators114 cited
  • 1990Post-Deregulation Bank-Deposit-Rate Pricing: The Multivariate Dynamics92 cited
  • 1995Retail Bank Deposit Pricing: An Intertemporal Asset Pricing Approach82 cited
  • 2002What Goes Up Must Come Down? Asymmetries and Persistence in Bank Deposit Rates62 cited
  • 1984Measuring and managing interest rate risk: A primer55 cited
  • 2000

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Estimating the Value and Interest Rate Risk of Interest-Bearing Transactions Deposits
52 cited
  • 1999An Empirical Analysis of the Jarrow-van Deventer Model for Valuing Non-Maturity Demand Deposits51 cited
  • Cited by

    • 2018Government Guarantees and the Valuation of American Banks31 cited
    • 2016Retail Bank Interest Margins in Low Interest Rate Environments25 cited