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The Impact Of The Yield Curve On Bank Equity Returns: Evidence From Canada, Robert N. Killins, Peter V. Egly, Sourav Batabyal
The Impact Of The Yield Curve On Bank Equity Returns: Evidence From Canada, Robert N. Killins, Peter V. Egly, Sourav Batabyal
Economics and Finance Faculty Publications and Presentations
We examine the reaction of Canadian banks equity returns to changes in yield curve spreads. We find that Canadian banks equity returns are positively impacted by contemporaneous (and lagged) yield curve spreads. Our results also suggest that Canadian banks have become more sensitive to changes in the slope of the yield curve in the post 2007-2009 financial crisis. We also find an asymmetric impact of the slope of the yield curve on Canadian bank equity returns. For equity investors, the yield curve’s relevance varies with spreadmaturities. Our findings have important implications for the estimations of banks’ cost of capital and …
Bank Net Interest Margins, The Yield Curve, And The 2007–2009 Financial Crisis, Peter V. Egly, David W. Johnk, Andre V. Mollick
Bank Net Interest Margins, The Yield Curve, And The 2007–2009 Financial Crisis, Peter V. Egly, David W. Johnk, Andre V. Mollick
Economics and Finance Faculty Publications and Presentations
Using quarterly call report data from 2000 to 2016, we reexamine the relationship between net interest margins (NIM) and the yield curve for more than 5,500 U.S. commercial banks. In the full sample, yield curve and RGDP growth have positive effects on NIM, while inflation and deposit‐to‐loan ratios (D/L) have negative effects. Splitting the sample around the 2007–2009 crisis, we show the impact of yield curve and RGDP growth on NIM increasing during the “recovery” (2009Q3 to 2016Q4), and inflation and D/L changing signs. Positive effects of yield curve on profits vary with bank size and change over time.
The Impact Of Chinese Purchases Of U.S. Government Debt On The Treasury Yield Curve, Radhames A. Lizardo, Andre V. Mollick
The Impact Of Chinese Purchases Of U.S. Government Debt On The Treasury Yield Curve, Radhames A. Lizardo, Andre V. Mollick
Economics and Finance Faculty Publications and Presentations
Examining monthly data from May of 1985 to May of 2008, we find that increases in Chinese purchases of U.S government debt lead to decreases in Treasury yields. The effect is stronger as the maturity increases: a one percent increase in purchases of U.S. Treasuries by Chinese investors lowers the two-year (ten-year) Treasury yield by 10 to 38 basis points (39 to 55 basis points) on average, ceteris paribus . Overall, the demand-side variable capturing Chinese purchases of U.S. Treasuries improves the cointegrating properties of U.S. interest rates. In-sample and out-of-sample forecasts reinforce that the model with Chinese purchases greatly …