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A time series/cross section analysis of the determinants of Australian trading bank loan/deposit interest margins: 1962–1981
9 references·16 citing·40 second hop
A time series/cross section analysis of the determinants of Australian trading bank loan/deposit interest margins: 1962–1981 (1985)A time series/cross section analysis of t…Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England (2000)Serial Correlation as a Conve…The Determinants of Bank Interest Margins: Theory and Empirical Evidence (1981)The Determinants of Bank Inte…Alternative approaches to the theory of the banking firm (1980)Alternative approaches to the…THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)THE SUPPLY OF DEALER SERVICES…Serial Correlation as a Convenient Simplification, Not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England (1978)Serial Correlation as a Conve…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Time Series Analysis, Forecasting and Control. 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Empirical evidence from Kenya (2014)What factors drive interest r…Determinants of bank interest margins: Impact of maturity transformation (2014)Determinants of bank interest…Determinants of Net Interest Margins of Commercial Banks in Kenya: A Panel Study (2012)Determinants of Net Interest …The determinants of interest margins and their effect on bank diversification: Evidence from Asian banks (2011)The determinants of interest …Determinants of bank interest margins in Russia: Does bank ownership matter? 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(2020)Commercial bank net interest margins, default risk, interest-rate risk, and off-balance sheet banking (1997)Factors explaining the interest margin in the banking sectors of the European Union (2004)Bank profitability and the business cycle (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Generalized autoregressive conditional heteroskedasticity (1986)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)Long memory relationships and the aggregation of dynamic models (1980)Understanding spurious regressions in econometrics (1986)25 years of time series forecasting (2006)On the measurement of inequality (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The arbitrage theory of capital asset pricing (1976)
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References

  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1971Time Series Analysis, Forecasting and Control.2,771 cited
  • 1978THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS1,393 cited
  • 1981The Determinants of Bank Interest Margins: Theory and Empirical Evidence830 cited
  • 1978Serial Correlation as a Convenient Simplification, Not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England612 cited
  • 2000Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England430 cited
  • 1980Alternative approaches to the theory of the banking firm418 cited

Cited by

  • 2017Non-interest income and bank lending160 cited
  • 2011Determinants of bank interest margins in Russia: Does bank ownership matter?158 cited
  • 2016The determinants of bank net interest margins: A panel evidence from South Asian countries148 cited
  • 2008Bank interest margins in OECD countries142 cited
  • 2019Bank margins and profits in a world of negative rates142 cited
  • 2002

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The Determinants of Bank Interest Spread in Brazil
141 cited
  • 2003Assessing the success of reform in transition banking 10 years later: an interest margins analysis140 cited
  • 1992Optimal Bank Interest Margin under Capital Regulation and Deposit Insurance132 cited
  • 2016Finance-growth nexus and dual-banking systems: Relative importance of Islamic banks114 cited
  • 2012Determinants of Net Interest Margins of Commercial Banks in Kenya: A Panel Study107 cited
  • 2016Finance-Growth Nexus and Dual-Banking Systems : Relative Importance of Islamic Banks104 cited
  • 2007Factors Determining Net Interest Margins in Australia: Domestic and Foreign Banks102 cited
  • 2014Determinants of bank interest margins: Impact of maturity transformation102 cited
  • 1989Bank spread with uncertain deposit level and risk aversion101 cited
  • 2014What factors drive interest rate spread of commercial banks? Empirical evidence from Kenya97 cited
  • 2011The determinants of interest margins and their effect on bank diversification: Evidence from Asian banks88 cited