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Paper / 2019SMQ / 165330442354495
Monetary policy and bank profitability in a low interest rate environment: a follow-up and a rejoinder
Goodhart, C. A. E. / Kabiri, Ali
banking / economic policyResource overview

Monetary policy and bank profitability in a low interest rate environment: a follow-up and a rejoinder

Paper2019

by Goodhart, C. A. E., Kabiri, Ali

Tags
bankingeconomic policyfinancial economicsinterest rates

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Suggested foundations for rates and fixed income and asset pricing and factor research. Specialist prerequisites vary by paper.

Before you read

  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

  3. Linear Regression

    Interpret exposures, residuals and uncertainty in fitted coefficients.

  4. Financial Return Characteristics

    Work with returns and recognise their empirical limitations.

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  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

  3. Factor construction

    Connect factor definitions to portfolio construction.

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