Banks, Maturity Transformation, and Monetary Policy

Paul, Pascal

doi:10.24148/wp2020-07

Cited by 5 publications

(3 citation statements)

References 41 publications

(100 reference statements)

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“…Earlier literature based on reduced-form estimations, reviewed by Rudebusch et al (2006), showed that lower (higher) term premium was associated with slower (higher) future growth, consistent with the "banking view" evidence of Paul (2020). In turn, Rudebusch et al (2006) present evidence that declines in term premium are associated with higher future GDP growth, in line with what they label "the Bernanke/practitioner view," in which lower term premium is related to stimulus to the economy by making financial market conditions more accommodative for some classes of borrowers.…”

Section: Resultssupporting

confidence: 65%

“…In a recent paper, Paul (2020) shows that banks' net interest margins move in a strongly correlated fashion with measures of term premia. Decomposing yields in expected short-term rates and term premia, there is evidence that banks' stock returns and net interest margins are impacted positively by higher term premia, and negatively by expectations of higher short-term rates in the future.…”

Section: Resultsmentioning

confidence: 99%

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Identification of monetary shocks through the yield curve: Evidence for Brazil

Filho¹

2021

Braz. Rev. Fin.

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This paper derives a new measure of monetary shock for Brazil based on the yield curve. First, the Diebold and Li (2006) model is estimated with nominal yields. The changes of the latent variables of this model surrounding monetary policy meetings are used to analyze the effects on the Brazilian economy. Monetary policy decisions associated with steeper yield curves lead to higher future economic activity.

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Section: Resultssupporting

confidence: 65%

Section: Resultsmentioning

confidence: 99%

Identification of monetary shocks through the yield curve: Evidence for Brazil

Filho¹

2021

Braz. Rev. Fin.

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“…We show that our findings are unaffected if we account for such alternative channels by directly controlling for deposit flows and cash flow effects. The sensitivity of credit supply along those various margins may in turn help banks achieve more stable net interest margins (Drechsler, Savov and Schnabl, 2021;Paul, 2022Paul, , 2023. Abbassi et al (2016), Peydró, Polo and Sette (2021), Carpinelli and Crosignani (2021), Peydró et al (2023), andAbbassi et al (2023) also use security-and loan-level data in combination.…”

Section: Introductionmentioning

confidence: 99%

Monetary Transmission through Bank Securities Portfolios

Krainer¹,

Paul²

2023

ERWP

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We study the transmission of monetary policy through bank securities portfolios for the United States using granular supervisory data on bank securities, hedging positions, and corporate credit. We find that banks that experienced larger market value losses on their securities during the monetary tightening cycle in 2022 extended relatively less credit to firms. Such a spillover effect was stronger for (i) available-for sale securities, (ii) unhedged securities, (iii) low-capitalized banks, and (iv) banks that have to include unrealized gains and losses on their available-for-sale securities in their regulatory capital. Our findings provide evidence for a forceful transmission channel of monetary policy that is shaped by the regulatory framework of the banking system.

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Financial Reporting in Insurance and International Financial Reporting Standards

Tomic¹

2022

AIDA Europe Research Series on Insurance Law and Regulation

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Financial reporting obligations for financial institutions, including insurance companies, have increased in recent years and insurers needs to stay up-to-date on the latest revisions of International Financial Reporting Standards and data reporting requirements and to comply with it. Many of these reporting obligations on listed and large non-listed insurers will benefit the insurance industry in the long term but it is challenging and costly task for insurance companies. The complexity of organizing high-quality data, transparent and structured reporting processes for different purposes (e.g., financial and regulatory reporting, CSR reporting, and many other types of reporting at local level) with internal and external stakeholders within a specified time frame, have become a strategic initiative, value-based investment, and opportunity for growth of insurance companies. To meet the various reporting requirements while overcoming reporting challenges, insurance companies need to ensure effective data governance and oversight in their reporting processes, which require considerable staff resources, and expertise in a wide variety of area, including appropriate IT architecture setup. In this chapter, we will analyze financial reporting obligations for insurance companies and evolution of the international accounting standards for the insurance industry. Moreover, we will discuss some practical issues facing insurers to comply with different regulatory, financial, and business reporting requirements to fulfill their reporting obligations.

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Banks, Maturity Transformation, and Monetary Policy

Cited by 5 publications

References 41 publications

Identification of monetary shocks through the yield curve: Evidence for Brazil

Identification of monetary shocks through the yield curve: Evidence for Brazil

Monetary Transmission through Bank Securities Portfolios

Financial Reporting in Insurance and International Financial Reporting Standards

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