Interest rate risk and bank net interest margins

By William B. English. 2002

118 citations recorded by the source corpus.

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Citations in the corpus

Capital Regulation, Risk-Taking and Monetary Policy: A Missing Link in the Transmission Mechanism? (2008, unknown): “14 In fact, the empirical evidence on the impact of interest rate risk on bank’s net interest margin is somewhat mixed; see Banking Supervision Committee (2000) and English (2002).”
Bank margins and profits in a world of negative rates (2019, background): “English (2002), studying the link between interest rate risk exposure and bank margins in ten OECD countries over the period 1979-1999, points out that the average yield on bank assets is more closely related to long-term rates than the average yield on liabilities, hence a steep yield curve should…”
The Influence of Monetary Policy on Bank Profitability (2017, unknown): “English (2002) studies the link between interest rate risk and bank interest rate margins in 10 industrialised countries.”
Bank profitability and risk-taking under low interest rates (2017, background): “English (2002) addresses the issue of interest rate risk and net interest margins by inspecting interest rate volatility.”
Stress Testing Banks (2014, background): “Interest income is clearly a function of the yield curve and credit spreads posited under the stress scenario, but what the net impact of rising or falling rates are on bank profitability remains ambiguous, perhaps in part because of interest rate hedging strategies (English 2002, Purnanandam 2007).”
Interest rate risk and bank equity valuations (2012, background): “margins (net interest income as a percentage of interest-earnings assets) and interest rates have generally found little evidence that net interest margins respond to changes in short-term rates or the slope of the yield curve; see, for example, English [2002], Hanweck and Ryu [2005] and references ”
“Low-For-Long” interest rates and banks’ interest margins and profitability: Cross-country evidence (2017, unknown): “…investigating the effects of interest rates on bank net interest margins, using aggregate data for 10 industrial countries over 20 years, English (2002) finds for many countries no evidence that changes in the levels of short-term and long-term rates or the slope of the yield curve…”