Banks may well perform differently in lending to firms according to their funding structure. This paper surveys the relation between Loan volatility and deposit in Iranian banking system. The extent to which bank lending is connected to funding structure is affected by the banks’ characteristics (such as capital structure, profitability, and the measure of non-performing loans). To analyze this...

We examine whether equity volatility can explain the difference in syndicated corporate loan spreads paid by U.S. and European borrowers first documented by Carey and Nini (2007). We argue that OLS estimates of the association between equity volatility and loan spreads are biased and inconsistent. We suggest instrumental variables that potentially identify consistent estimates. Our instrumental...

We use robust control to study how a central bank in an economy with imperfect interest rate pass-through conducts monetary policy if it fears that its model could be misspecified. The effects of the central bank’s concern for robustness can be summarised as follows. First, depending on the shock, robust optimal monetary policy under commitment responds either more cautiously or more aggressive...

This paper analyzes how the movements of the policy interest rate affect bank-relevant variables through changes in the composition of the loan portfolio. Using a computational approach that fully accounts for borrowers’ heterogeneity, we show how the variety of bank customers changes and how this change affects the bank’s cash influx, making it more volatile. The paper also sheds light on how ...

This paper investigates the conditional volatility of the firm’s assets in contrast to existing studies that focus primarily on equity volatility. Using a novel dataset that allows us to map out significant portions of the capital structure, we examine the volatility properties of asset returns as calculated by a weighted average of equity, bond and loan prices. The two fundamental findings in ...

This paper uses individual loan data for a national lender to estimate loan price elasticities across loan products and racial groups. The data contain detail on closing dates and prices, enabling control for market volatility and construction of pseudo-prices for foregone products. The empirical model is a mixed multinomial and conditional logit which is rooted in a structural utility framewor...

This paper focuses on how market risk, economic activities, nancial leverage, in ation shocks and trading activities a ect REIT return volatility using U.S equity REITs data from 1995 to 2009. The ndings suggest that systematic risk positively a ects REIT return volatility, with a higher impact in up markets than in down markets. Dividend Yield (DY) and Return On Average Equity (ROAE) negativel...