search query: @indexterm DEFAULTS / total: 25
reference: 24 / 25
| Author: | Angbazo, L. |
| Title: | Commercial bank net interest margins, default risk, interest-rate risk, and off-balance sheet banking |
| Journal: | Journal of Banking and Finance
1997 : JAN, VOL. 21:1, p. 55-88 |
| Index terms: | FINANCE BANKING DEFAULTS |
| Language: | eng |
| Abstract: | This paper tests hypothesis that banks with more risky loans and higher interest-rate risk exposure would select loan and deposit rates to achieve higher net interest margins. Call Report data for different size classes of banks for 1989-1993 show that the net interest margins of commercial banks reflect both default and interest-rate risk premia. The net interest margins of money-center banks are affected by default risk, but not by interest rate risk, which is consistent with their greater concentration in short-term assets and off-balance sheet hedging instruments. |
SCIMA