intTypePromotion=1

SEIGNIORAGE, RESERVE REQUIREMENTS AND BANK SPREADS IN BRAZIL

Chia sẻ: Dadasd Aadad | Ngày: | Loại File: PDF | Số trang:39

0
36
lượt xem
4
download

SEIGNIORAGE, RESERVE REQUIREMENTS AND BANK SPREADS IN BRAZIL

Mô tả tài liệu
  Download Vui lòng tải xuống để xem tài liệu đầy đủ

Our Bayesian approach estimates a time-varying exposure from banks’ gains and losses on their interest-rate derivative positions. This approach builds on early work by Gorton and Rosen (1995) who did not have data on market values, because few banks reported them before the adoption of fair value accounting in the mid 1990s. Instead, Gorton and Rosen use data on "replacement costs" from the Call Reports, which refers to the value of derivatives that are assets to the bank (not netting out the liabilities). Under the assumption that the positions have constant maturity and constant interest- rate exposure, these data can be used to compute the market value...

Chủ đề:
Lưu

Nội dung Text: SEIGNIORAGE, RESERVE REQUIREMENTS AND BANK SPREADS IN BRAZIL

ADSENSE
ADSENSE

CÓ THỂ BẠN MUỐN DOWNLOAD

 

Đồng bộ tài khoản
2=>2