Relevant bibliographies by topics / Credit Interest Rate

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Credit Interest Rate'

Author: Grafiati
Published: 5 June 2025
Last updated: 16 July 2025

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Journal articles on the topic "Credit Interest Rate"

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Abadi, Joseph, Markus Brunnermeier, and Yann Koby. "The Reversal Interest Rate." American Economic Review 113, no. 8 (2023): 2084–120. http://dx.doi.org/10.1257/aer.20190150.

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The reversal interest rate is the rate at which accommodative monetary policy reverses and becomes contractionary for lending. We theoretically demonstrate its existence in a macroeconomic model featuring imperfectly competitive banks that face financial frictions. When interest rates are cut too low, further monetary stimulus cuts into banks’ profit margins, depressing their net worth and curtailing their credit supply. Similarly, when interest rates are low for too long, the persistent drag on bank profitability eventually outweighs banks’ initial capital gains, also stifling credit supply. We quantify the importance of this mechanism within a calibrated New Keynesian model. (JEL E12, E32, E43, E44, E52, G21, L25)
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Maran, Maran. "Impact of Interest Loan, Growth of Regional Gross Domestic Product, Inflation and Economic Growth on Loans at Credit Union in West Kalimantan, Indonesia." Journal of Asian Multicultural Research for Economy and Management Study 2, no. 3 (2021): 37–47. http://dx.doi.org/10.47616/jamrems.v2i3.119.

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Loans or credits offered by Kopdit credit unions are a potential source of funds that need to be developed, to help accelerate the home industry and the micro and small economies. Therefore, we want to see the impact of several conditions such as the loan interest rate, GDP per capita growth, inflation rate and economic growth. Quite a number of studies have looked at the impact of interest rates, GDP growth, inflation rates and economic growth on loans or credits to banks or banking institutions. We do not look at credit or loans from banks, but on Kopdit credit unions (CU). The results of our research show that simultaneously the loan interest rate, GDP growth, inflation rate and economic growth have a strong enough influence on loans at Credit Union Credit Unions, namely 79.2454%. Partially the variable of loan interest rate, GDP growth per capita, inflation rate affects outstanding loans, while economic growth partially has no effect on outstanding loans.
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Černý, Jakub, and Jiří Witzany. "Interest Rate Swap Credit Valuation Adjustment." Journal of Derivatives 23, no. 2 (2015): 24–35. http://dx.doi.org/10.3905/jod.2015.23.2.024.

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Piazzesi, Monika, and Martin Schneider. "Interest Rate Risk in Credit Markets." American Economic Review 100, no. 2 (2010): 579–84. http://dx.doi.org/10.1257/aer.100.2.579.

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Hasanah, Eneng Nur. "INFLATION, INTEREST RATE AND CREDIT RATE IN INDONESIA." Jurnal Manajemen Indonesia 17, no. 2 (2017): 15. http://dx.doi.org/10.25124/jmi.v17i2.1064.

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Infl asi akan mempengaruhi tingkat suku bunga. Ketika infl asi naik maka tingkat suku bungaakan meningkat begitupun sebaliknya, ketika infl asi turun maka tingkat suku bunga akanmenurun juga. Tidak seperti negara lain, Indonesia memiliki keadaan yang unik, terkadangmeskipun BI Rate turun namun tingkat kredit tidak turun. Jadi, berdasarkan kasus ini, makalahini mengkaji hubungan Infl asi, Suku Bunga dan Tingkat Kredit. Dengan menggunakanmodel Vasicek, paper ini mengevaluasi fi tting long-term, speed and volatility dari setiaptingkat kredit berdasarkan kategori bank di Indonesia. Kemudian menilai tingkat fl uktuasipada masing-masing bank. Tingkat masing-masing kategori bank sangat fl uktuasi namuntidak lebih dari 0,005 dan tidak lebih rendah dari 0,005.
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Liang, Jin, and Yin Xu. "Valuation of credit contingent interest rate swap." Risk and Decision Analysis 4, no. 1 (2013): 39–46. http://dx.doi.org/10.3233/rda-2012-0072.

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Liao, Gordon Y. "Credit migration and covered interest rate parity." Journal of Financial Economics 138, no. 2 (2020): 504–25. http://dx.doi.org/10.1016/j.jfineco.2020.06.002.

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DE FIORE, FIORELLA, and ORESTE TRISTANI. "Credit and the Natural Rate of Interest." Journal of Money, Credit and Banking 43, no. 2-3 (2011): 407–40. http://dx.doi.org/10.1111/j.1538-4616.2010.00379.x.

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Lukas, Moritz. "Estimating interest rate elasticities in consumer credit." Economics Letters 156 (July 2017): 155–58. http://dx.doi.org/10.1016/j.econlet.2017.05.004.

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Lv, Wujun, and Linlin Tian. "Pricing of Credit Risk Derivatives with Stochastic Interest Rate." Axioms 12, no. 8 (2023): 782. http://dx.doi.org/10.3390/axioms12080782.

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This paper deals with a credit derivative pricing problem using the martingale approach. We generalize the conventional reduced-form credit risk model for a credit default swap market, assuming that the firms’ default intensities depend on the default states of counterparty firms and that the stochastic interest rate follows a jump-diffusion Cox–Ingersoll–Ross process. First, we derive the joint Laplace transform of the distribution of the vector process (rt,Rt) by applying piecewise deterministic Markov process theory and martingale theory. Then, using the joint Laplace transform, we obtain the explicit pricing of defaultable bonds and a credit default swap. Lastly, numerical examples are presented to illustrate the dynamic relationships between defaultable securities (defaultable bonds, credit default swap) and the maturity date.
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Dissertations / Theses on the topic "Credit Interest Rate"

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Jackson, Alexander. "Interest rate and credit risk modelling." Thesis, University of Oxford, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.400043.

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BARBOSA, KLENIO DE SOUZA. "TRADE CREDIT: INVARIANT INTEREST RATE. WHY?" PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2003. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=3701@1.

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CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO<br>Há evidência - Petersen e Rajan (1997) - que fornecedores têm uma vantagem informacional sobre o risco de seus clientes. Entretanto, Elliehausen e Wolken (1993) reportam que taxas de crédito comercial são freqüentemente padronizadas. Por que os fornecedores não usam sua vantagem informacional para adequar taxas de juros a risco? Este trabalho demonstra que se a demanda por insumos for suficientemente inelástica, a competição com os bancos faz com que a taxa de crédito comercial seja invariante e cole na taxa bancária. Se, ao contrário, a demanda for suficientemente elástica, a taxa invariante de crédito comercial é zero, como usualmente acontece nos E.U.A. em créditos de fornecedor até 10 dias.<br>There is evidence - Petersen and Rajan (1997) - that suppliers have superior information on their clients capacity of repayment. However, Elliehausen and Wolken (1993) report that trade credit rates are frequently standardized. Why do not suppliers use their informational advantage to make the interest rate reflect the risk? This work shows that, if the demand for imputs is sufficiently inelastic, competition among banks leads the trade credit rate to be invariant and very close to banking rate. On the contrary, if the demand is sufficiently elastic, the trade credit rate is invariant and equal to zero, as usually occurs with suppliers credit with maturity until 10 days in USA.
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Iqbal, Adam Saeed. "Dynamic interest rate and credit risk models." Thesis, Imperial College London, 2011. http://hdl.handle.net/10044/1/6851.

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This thesis studies the pricing of Treasury bonds, the pricing of corporate bonds and the modelling of portfolios of defaultable debt. By drawing on the related literature, Chapter 1 provides economic background and motivation for the study of each of these topics. Chapter 2 studies the use of Gaussian affine dynamic term structure models (GDTSMs) for forming forecasts of Treasury yields and conditional decompositions of the yield curve into expectation and risk premium components. Specifically, it proposes market prices of risk that can generate bond price time series that are consistent with the important empirical result of Cochrane and Piazzesi (2005), that a linear combination of forward rates can forecast excess returns to bonds. Since the GDTSM here falls into the essentially affine class (Duffee (2002)), it is analytically tractable. Chapter 3 studies conditional risk premia in a commonly applied default intensity based model for pricing corporate bonds. Here, I refer to such models as completely affine defaultable dynamic term structure models (DDTSMs). There are two main contributions. First, I show that completely affine DDTSMs imply that the compensation for the risk associated with shocks to default intensities (the credit spread risk premium) is related to the volatility of default intensities. Second, I run regressions to show that this relationship holds in a set of corporate bond data. Finally, Chapter 4 proposes a new dynamic model for default rates in large debt port- folios. The model is similar in principle to Duffie, Saita, and Wang (2007) and Duffie, Eckner, Horel, and Saita (2009) in that the default intensity depends on the observed macroeconomic state and unobserved frailty variables. However, the model is designed for use with more commonly available aggregate, rather than individual, default data. Fitting the model to aggregate charge-off rates in US corporate, real-estate and non- mortgage retail sectors, it is found that interest rates, industrial production and unemployment rates have quantitatively plausible effects on aggregate default rates.
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Dozzi, Anna <1993&gt. "Prosper: Interest Rate and Credit Risk Analysis." Master's Degree Thesis, Università Ca' Foscari Venezia, 2019. http://hdl.handle.net/10579/14422.

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The technological development of recent years has allowed a revolution in the financial sector with the introduction of new financing methods including Peer to Peer Lending. In this study it will be discussed the business model of Prosper, which is a Peer to Peer Lending platform that aims to facilitate the connection between borrowers and creditors by implementing the disintermediation process. To get a general idea of the theme that will be discussed later, the most discussed topics in recent literature regarding P2P platforms have been reported. In particular, it will be analysed the topics of the relationship with the banks, the importance of the information related to the users of the platform, the credit risk and the interest rate. Subsequently, the Prosper database will be studied in order to understand the real advantages of this platform. In particular, from the data provided by Prosper will be studied the various information concerning the borrowers and creditors. Then, the loans provided by the platform will be examined, and the risk adjusted interest rate will be calculated from their interest rate and credit risk. The objective of this document is to determine the adequacy of the interest rates proposed by Prosper and to establish the variables that influence them.
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Nguyen, Hai Nam. "Contributions to credit risk and interest rate modeling." Thesis, Evry-Val d'Essonne, 2014. http://www.theses.fr/2013EVRY0038.

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Cette thèse traite de plusieurs sujets en mathématiques financières: risque de crédit, optimisation de portefeuille et modélisation des taux d’intérêts. Le chapitre 1 consiste en trois études dans le domaine du risque de crédit. La plus innovante est la première dans laquel nous construisons un modèle tel que la propriété d’immersion n’est vérifiée sous aucune mesure martingale équivalente. Le chapitre 2 étudie le problème de maximisation de la somme d’une utilité de la richesse terminale et d’une utilité de la consommation. Le chapitre 3 étudie l’évaluation des produits dérivés de taux d’intérêt dans un cadre multicourbe, qui prend en compte la différence entre une courbe de taux sans risque et des courbes de taux Libor de différents tenors<br>This thesis deals with several topics in mathematical finance: credit risk, portfolio optimization and interest rate modeling. Chapter 1 consists of three studies in the field of credit risk. The most innovative is the first one, where we construct a model such that the immersion property does not hold under any equivalent martingale measure. Chapter 2 studies the problem of maximization of the sum of the utility of the terminal wealth and the utility of the consumption, in a case where a sudden jump in the risk-free interest rate induces market incompleteness. Chapter 3 studies the valuation of Libor interest rate derivatives in a multiple-curve setup, which accounts for the spreads between a risk-free discount curve and Libor curves of different tenors
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Hellander, Martin. "Credit Value Adjustment: The Aspects of Pricing Counterparty Credit Risk on Interest Rate Swaps." Thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-173225.

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In this thesis, the pricing of counterparty credit risk on an OTC plain vanilla interest rate swap is investigated. Counterparty credit risk can be defined as the risk that a counterparty in a financial contract might not be able or willing to fulfil their obligations. This risk has to be taken into account in the valuation of an OTC derivative. The market price of the counterparty credit risk is known as the Credit Value Adjustment (CVA). In a bilateral contract, such as a swap, the party’s own creditworthiness also has to be taken into account, leading to another adjustment known as the Debit Value Adjustment (DVA). Since 2013, the international accounting standards (IFRS) states that these adjustments have to be done in order to reflect the fair value of an OTC derivative. A short background and the derivation of CVA and DVA is presented, including related topics like various risk mitigation techniques, hedging of CVA, regulations etc.. Four different pricing frameworks are compared, two more sophisticated frameworks and two approximative approaches. The most complex framework includes an interest rate model in form of the LIBOR Market Model and a credit model in form of the Cox-Ingersoll- Ross model. In this framework, the impact of dependencies between credit and market risk factors (leading to wrong-way/right-way risk) and the dependence between the default time of different parties are investigated.<br>I den här uppsatsen har prissättning av motpartsrisk för en OTC ränteswap undersökts. Motpartsrisk kan definieras som risken att en motpart i ett finansiellt kontrakt inte har möjlighet eller viljan att fullfölja sin del av kontraktet. Motpartsrisken måste tas med I värderingen av ett OTC-derivat. Marknadspriset på motpartrisken är känt som Credit Value Adjustment (CVA). I ett bilateralt kontrakt, t.ex. som en swap, måste även den egna kreditvärdighet tas med i värderingen, vilket leder till en justering som är känd som Debit Value Adjustment (DVA). Sedan 2013 skall, enligt den internationella redovisningsstandarden (IFRS), dessa prisjusteringar göras vid redovisningen av värdet för ett OTC derivat. En kort bakgrund samt härledningen av CVA och DVA ar presenterade tillsammans med relaterade ämnen. Fyra olika metoder för att beräkna CVA har jämförts, två mer sofistikerade metoder och två approximativa metoder. I den mest avancerade metoden används en räntemodell i form av LIBOR Market Model samt en kreditmodell i form av en Cox-Ingersoll-Ross modell. I den här metoden undersöks även påverkan av CVA då det existerar beroenden mellan marknads
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Svensson, Emma, and Viktor Tingström. "Pricing interest rate derivatives : The effects of the 2007 credit crisis." Thesis, Jönköping University, JIBS, Business Administration, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-13095.

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<p>The purpose of this thesis is to compare and analyze the single curve and the multiple curve frameworks used to price interest rate derivatives and to discuss the advantages of the multiple curve framework. We also describe how the overall derivative market has been affected by the 2007 credit crisis.</p>
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Yueh, Meng-Lan. "Numerical lattice methods for implementing interest rate and credit risk models." Thesis, University of Warwick, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.252479.

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Mbongo, Nkounga Jeffrey Ted Johnattan. "Building Interest Rate Curves and SABR Model Calibration." Thesis, Stellenbosch : Stellenbosch University, 2015. http://hdl.handle.net/10019.1/96965.

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Thesis (MSc)--Stellenbosch University<br>ENGLISH ABSTRACT : In this thesis, we first review the traditional pre-credit crunch approach that considers a single curve to consistently price all instruments. We review the theoretical pricing framework and introduce pricing formulas for plain vanilla interest rate derivatives. We then review the curve construction methodologies (bootstrapping and global methods) to build an interest rate curve using the instruments described previously as inputs. Second, we extend this work in the modern post-credit framework. Third, we review the calibration of the SABR model. Finally we present applications that use interest rate curves and SABR model: stripping implied volatilities, transforming the market observed smile (given quotes for standard tenors) to non-standard tenors (or inversely) and calibrating the market volatility smile coherently with the new market evidences.<br>AFRIKAANSE OPSOMMING : Geen Afrikaanse opsomming geskikbaar nie
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Abiola, Isaac Abiodun. "Modeling credit risk spread and interest rate volatility in the Eurodollar market." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp04/nq25214.pdf.

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Books on the topic "Credit Interest Rate"

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United States. Federal Trade Commission. Division of Consumer and Business Education. Credit card interest rate reduction scams. Federal Trade Commission, Bureau of Consumer Protection, Division of Consumer & Business Education, 2011.

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V, Mann Steven, and Choudhry Moorad, eds. Measuring and controlling interest rate and credit risk. 2nd ed. Wiley, 2003.

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Koenig, Steven R. When are farm interest rate subsidy programs most effective? U.S. Dept. of Agriculture, Economic Research Service, 1998.

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United States. Dept. of Agriculture. Economic Research Service, ed. When are farm interest rate subsidy programs most effective? U.S. Dept. of Agriculture, Economic Research Service, 1998.

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Gertler, Mark. Interest rate spreads, credit constraints, and investment fluctuations: An empirical investigation. National Bureau of Economic Research, 1990.

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Corales, Irma C. Costs of agricultural credit in the Philippines: Short-run effects of interest rate deregulation. Philippine Institute for Development Studies, 1987.

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Bomfim, Antúlio N. Counterparty credit risk in interest rate swaps during times of market stress. Federal Reserve Board, 2003.

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Geddes, John M. Consumer Loan Advocates (CLA) presents ARM aid. The Advocates, 1991.

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Liu, Jun. The market price of credit risk: An empirical analysis of interest rate swap spreads. National Bureau of Economic Research, 2002.

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Jan, Przystupa, and Dzwonik-Wróbel Ewa, eds. Monetary policy transmission in Poland: A study of the importance of interest rate and credit channels. SUERF, 2008.

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Book chapters on the topic "Credit Interest Rate"

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Wu, Lixin. "Market Model for Credit Derivatives." In Interest Rate Modeling, 3rd ed. Chapman and Hall/CRC, 2024. http://dx.doi.org/10.1201/9781003389101-14.

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Wu, Lixin. "Market Model for Credit Derivatives." In Interest Rate Modeling. CRC Press, 2019. http://dx.doi.org/10.1201/9781351227421-13.

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Cesari, Giovanni, John Aquilina, Niels Charpillon, Zlatko Filipović, Gordon Lee, and Ion Manda. "Interest-Rate Products." In Modelling, Pricing, and Hedging Counterparty Credit Exposure. Springer Berlin Heidelberg, 2009. http://dx.doi.org/10.1007/978-3-642-04454-0_8.

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Krebs, Helena Maria. "Interest Rate Game and Symmetric Equilibria." In On the Foundations of Credit Rationing. Springer Fachmedien Wiesbaden, 2024. http://dx.doi.org/10.1007/978-3-658-44488-4_3.

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Osborne, Michael. "Is APR a Robust Measure of the Cost of Consumer Credit?" In Multiple Interest Rate Analysis. Palgrave Macmillan UK, 2014. http://dx.doi.org/10.1057/9781137372772_4.

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Carreira, Marcos C. S., and Richard J. Brostowicz. "BRL Interest Rate Market and Credit Risk." In Brazilian Derivatives and Securities. Palgrave Macmillan UK, 2016. http://dx.doi.org/10.1057/9781137477279_4.

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Kienitz, Jörg, and Peter Caspers. "A Gaussian Rates-Credit Pricing Framework." In Interest Rate Derivatives Explained: Volume 2. Palgrave Macmillan UK, 2017. http://dx.doi.org/10.1057/978-1-137-36019-9_10.

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Adams, Dale W., Douglas H. Graham, and J. D. Von Pischke. "Overview of the Importance of Interest-Rate Policies." In Undermining Rural Development with Cheap Credit. Routledge, 2021. http://dx.doi.org/10.4324/9780429270178-8.

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Bindseil, Ulrich, and Alessio Fotia. "Unconventional Monetary Policy." In Introduction to Central Banking. Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-70884-9_4.

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AbstractThis chapter introduces the reader to unconventional monetary policy, i.e. monetary policy using instruments going beyond the steering of short-term interest rates as described in the previous chapter. We start by providing the rationale of unconventional monetary policy, i.e. essentially pursuing an effective monetary policy when conventional policies are not able to provide the necessary monetary accommodation because of the zero lower bound. We then discuss negative interest rate policies, and explain why rates slightly below zero have proven to be feasible despite the existence of banknotes. We also discuss possible unintended side-effects of negative interest rates. We continue with a discussion of non-conventional credit operations: lengthening of their duration, the use of fixed-rate full allotment, the widening of the access of counterparties to the central bank’s credit operation, targeted operations, credit in foreign currency, and widening the collateral set. Finally, we turn to the purposes and effects of securities purchase programmes. We end the chapter by revisiting the classification of central bank instruments in three categories: conventional, unconventional, and lender of last resort.
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de Boissieu, Christian. "The ‘Overdraft Economy’, the ‘Auto-economy’ and the Rate of Interest." In Money, Credit and Prices in Keynesian Perspective. Palgrave Macmillan UK, 1989. http://dx.doi.org/10.1007/978-1-349-20117-4_5.

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Conference papers on the topic "Credit Interest Rate"

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Krivosheev, Oleg I. "The Phenomenon of the Near-Crisis Interest Rates Blow Up in the Context of Constant Inelastic Demand for Refinancing Short Credits." In 2024 17th International Conference on Management of Large-Scale System Development (MLSD). IEEE, 2024. http://dx.doi.org/10.1109/mlsd61779.2024.10739508.

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Hryhorkiv, Vasyl, Lesia Buiak, Andrii Verstiak, Mariia Hryhorkiv, Oksana Verstiak, and Andrii Berdnuk. "Mining Credit Interest Rate Data from Multiple Data Sources." In 2019 9th International Conference on Advanced Computer Information Technologies (ACIT). IEEE, 2019. http://dx.doi.org/10.1109/acitt.2019.8780034.

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Lukama Chikweti, Henry, Lubinda Haabazoka, and Jackson Phiri. "Theoretical Aspects of the Short Term Consumer Credit Interest Rate Model." In 4th African International Conference on Industrial Engineering and Operations Management. IEOM Society International, 2023. http://dx.doi.org/10.46254/af04.20230003.

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Huang, Quanguo. "Information Productivity and Interest Rate of Credit An Analysis Based on the Model of Credit Rationing." In 2009 International Joint Conference on Computational Sciences and Optimization, CSO. IEEE, 2009. http://dx.doi.org/10.1109/cso.2009.247.

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Bayrak, Metin, Kadyrbek Sultakeev, and Dastan Aseinov. "Effect of Efficiency on Interest Rate in Microfinance Systems of Some Transition Economies." In International Conference on Eurasian Economies. Eurasian Economists Association, 2016. http://dx.doi.org/10.36880/c07.01566.

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Although the share of microfinance institutions in financial sector of Transition Economies are increasing, the level of interest rates charged by microfinance institutions are very high than normal bank interest rates. Because in these countries the main reasons of high interest rates are operational cost, funding costs, credit risk, inflation and target profit of MFIs. The main purpose of this paper is to analyze the effect of efficiency on interest rate in microfinance system of sampled transition economies. This study uses MIX data that runs from 2000 to 2014 for transition economies countries. The efficiency of microfinance institutions in sampled transition economies measured by applying Stochastic Frontier Approach. The impact of efficiency on interest rate will be analyzed using fixed effects and random effects panel data models.&#x0D;
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Tufaner, Mustafa Batuhan, Sıtkı Sönmezer, and Ahmet Alkan Çelik. "Impact of Sovereign Credit Ratings on Capital Markets." In International Conference on Eurasian Economies. Eurasian Economists Association, 2017. http://dx.doi.org/10.36880/c08.01914.

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Sovereign credit ratings are of great importance in terms of country's economy in recent years. Sovereign credit ratings can greatly affect both financial markets and macroeconomic balances. On the other hand, these credit ratings are closely related to the political situation of the countries. Therefore, all factors behind the credit rating announcements operating in global markets needs to be put forward. The content of this paper is to identify policy interest reaction towards sovereign credit ratings and examine of countries that experienced severe rating changes. In this bulletin, big three credit rating agencies are compared and critically assessed various credit rating of Turkey. The analyzed dataset covers sovereign rating announcements released by reputable rating agencies, stock price, Dollar / TL exchange rate, Dollar / Euro exchange rate and benchmark bond.&#x0D;
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Wu, Hong-Ru, and Man-Ying Bai. "An Empirical Analysis on Interest Rate Elasticity of Demand about Rural Small Credit in China." In 2008 4th International Conference on Wireless Communications, Networking and Mobile Computing (WiCOM). IEEE, 2008. http://dx.doi.org/10.1109/wicom.2008.2316.

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Cech, C. "An empirical investigation of the short-term relationship between interest rate risk and credit risk." In COMPUTATIONAL FINANCE 2008. WIT Press, 2008. http://dx.doi.org/10.2495/cf080181.

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Ata, Sezai. "The Macroeconomic Effects of Credit Regulations." In International Conference on Eurasian Economies. Eurasian Economists Association, 2018. http://dx.doi.org/10.36880/c10.02075.

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In this study, the effects of macro prudential policies on consumer loans in the recent period are examined on the basis of total loan developments and credit type. The findings of the study show that macro prudential policies are quite effective in slowing down the growth rate of total credit and consumer loans for the ultimate purpose. In addition, the overall provisioning and risk weighting regimes provided banks with a modest level of capital adequacy ratios and prevented banks from growing in risky assets. The results of some loan types indicate that credit utilization, determined by changes in interest rates, can also be limited through macro prudential policies. Regulations for credit are not final and invariable. Credit data should be followed up at regular intervals and adjusted to the most appropriate state by tightening or loosening when necessary. In order to balance the large price increases between regions and to prevent speculative movements in the housing market, it is necessary to determine speculative region criteria specific to Turkey and then apply it to prevent speculative price bubbles. It is important to analyze the effect of rapid growth of residential mortgage lending on housing prices and also on the income distribution in the middle and long term. Considering the recent low or negative rate hikes in credit card expenditures, the effects of the flexibility introduced in installment numbers in September 2016 should be monitored in the upcoming period. Restrictions should be somewhat eased if they are not sufficient.
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Dağlaroğlu, Tolga, Baki Demirel, and Serdar Varlık. "De-Leveraging and Mitigating Pro-Cyclicality of Capital Flows in Emerging Market Economies: Role of Macro-Prudential Policies." In International Conference on Eurasian Economies. Eurasian Economists Association, 2013. http://dx.doi.org/10.36880/c04.00727.

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International capital flows have been on an unprecedented roller-coaster ride in recent years. Capital flows to emerging market economies have been strongly correlated with changes in global financing conditions, rising sharply during periods with relatively low global interest rates and low VIX (called risk-on) and shrinking afterward. In open emerging market economies, interest rate increases can attract excessive capital inflows appreciating the exchange rate, and leading to excessive borrowing in foreign currency, and encouraging leverage. A well-designed macro prudential policy prevents credit –driven bubble and mitigating pro-cyclicality of capital flows.
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Reports on the topic "Credit Interest Rate"

1

Rosenberger, Grant E., and Peter Zimmerman. Interest Rate Risk at US Credit Unions. Federal Reserve Bank of Cleveland, 2024. http://dx.doi.org/10.26509/frbc-wp-202403.

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Rising interest rates have prompted concerns about losses on bank assets, especially following the failure of Silicon Valley Bank (SVB) in March 2023. In this working paper, we examine whether US credit unions could be subject to similar losses as banks and analyze how their regulatory capital would be affected. We estimate that after realizing losses from assets that have decreased in value and not yet been sold the overall net worth of the credit union industry would have fallen by 40 percent in 2023:Q1. Unrealized losses were most severe at the largest credit unions. Nonetheless, the bulk of deposits at credit unions were insured, suggesting limited risk of an SVB-style run. In addition, credit union deposit rates are relatively insensitive to market interest rates, providing credit unions with a hedge against a rising rate environment. Overall, credit unions’ balance sheet positions seemed to be more resilient to unrealized interest rate risk than banks’.
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Jenkins, Paul, and Carl Walsh. Real Interest Rate, Credit Markets, and Economic Stabilization. National Bureau of Economic Research, 1985. http://dx.doi.org/10.3386/w1575.

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Hirano, Tomohiro, and Joseph Stiglitz. Credit, Land Speculation, and Low-Interest-Rate Policy. National Bureau of Economic Research, 2025. https://doi.org/10.3386/w33661.

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Cavalcanti, Tiago, Joseph P. Kaboski, Bruno Martins, and Cezar Santos. Research Insights: How Do High Interest Rates Limit Development? Inter-American Development Bank, 2023. http://dx.doi.org/10.18235/0005299.

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Credit markets in developing countries are characterized by large gaps between lending and deposit rates. Interest rate spreads in Brazil are high and vary significantly across similar firms. High interest rate spreads can substantially decrease a countrys output since they reduce access to credit for potentially productive firms.
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Boel, Paola, and Christopher J. Waller. On the essentiality of credit and banking at zero interest rates. Federal Reserve Bank of Cleveland, 2023. http://dx.doi.org/10.26509/frbc-wp-202313.

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We investigate the welfare-increasing role of credit and banking at zero interest rates in a microfounded general equilibrium monetary model. Agents differ in their opportunity costs of holding money due to heterogeneous idiosyncratic time-preference shocks. Without banks, the constrained-efficient allocation is never attainable, since impatient agents always face a positive implicit rate in equilibrium. With banks, patient agents pin down the borrowing rate and in turn enable impatient agents to borrow at no cost when the inflation rate approaches the highest discount factor. Banks can therefore improve welfare at zero rates, provided that both types of agents are included in the financial system and that the borrowing limit is sufficiently lax. The result is robust to several extensions.
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Gertler, Mark, R. Glenn Hubbard, and Anil Kashyap. Interest Rate Spreads, Credit Constraints, and Investment Fluctuations: An Empirical Investigation. National Bureau of Economic Research, 1990. http://dx.doi.org/10.3386/w3495.

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7

Liu, Jun, Francis Longstaff, and Ravit Mandell. The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads. National Bureau of Economic Research, 2002. http://dx.doi.org/10.3386/w8990.

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8

Galindo, Arturo J., and Roberto Steiner. Asymmetric Interest Rate Transmission in an Inflation Targeting Framework: The Case of Colombia. Banco de la República de Colombia, 2020. http://dx.doi.org/10.32468/be.1138.

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After adopting an inflation targeting framework for monetary policy at the turn of the century, the Central Bank of Colombia started actively using the monetary policy interest rate as its key policy tool. In this regard, this paper examines the interest rate pass-through from the monetary policy rate to the retail rates in Colombia and explores asymmetries in the adjustment process within the framework of a non-linear version of the ARDL (NARDL) model developed by Shin et al. (2014). Our findings show that the policy rate plays a key role in determining deposit and lending retail rates but the nature of the pass-through varies across different types of lending products. In the case of lending rates, the pass-through is usually a full one, and takes around 12 months to be nearly complete. Our results capture an asymmetric positive pass-through in deposit rates and an upward rigidity in the lending rates of consumer and ordinary corporate loans, key segments of the credit market. These findings imply that most retail lending rates respond more to policy rate cuts than to hikes, indicating that financial intermediaries are more reluctant to raise interest rates than to decrease them following policy adjustments.
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Fritsch, Nicholas. Tail Sensitivity of US Bank Net Interest Margins: A Bayesian Penalized Quantile Regression Approach. Federal Reserve Bank of Cleveland, 2025. https://doi.org/10.26509/frbc-wp-202509.

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Bank net interest margins (NIM) have been historically stable in the US on average, but this stability deteriorated in the post-2020 period, particularly in the tails of the distribution. Recent literature disagrees on the extent to which banks hedge interest rate risk, and past literature shows that credit risk and persistence are also important considerations for bank NIM. I use a novel approach to Bayesian dynamic panel quantile regression to document heterogeneity in US bank NIM estimated sensitivities to interest rates, credit risk, and own persistence. I find increased sensitivity to interest rates in the tails of the conditional NIM distribution during the post-2020 period, driven by increased interest rate sensitivities of bank loans and deposits. Density forecast evaluation shows that the model forecasts outperform frequentist benchmark models, and standard tail risk measures show that risks to bank NIM have material implications for bottom-line measures of bank profitability.
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Cui, Jingyuan George, Xiaosheng Guo, and Leticia Juarez. Bank Loans, Trade Credit and Export Prices: Evidence from Exchange Rate Shocks in China. Inter-American Development Bank, 2024. http://dx.doi.org/10.18235/0013020.

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This study investigates exchange rate pass-through (ERPT) to international prices in the context of trade credit usage. Utilizing a comprehensive dataset including customs transactions and balance sheet data of Chinese exporters during 2000-2011, we document several stylized facts. First, there exists a significant dampening effect on the sensitivity of international pricing to exchange rate fluctuations among exporters that extend substantial trade credit, indicating a more complete ERPT. Second, the interest payments made by exporters to domestic banks exhibit negative responsiveness to home currency depreciation. Third, we observe substantial complementarity between trade credit and bank loans. To explain these patterns, we introduce a theoretical model featuring trade credits, bank lending and exchange rate shocks. Our findings underscore the importance of considering the financial health of firms in policy formulation, particularly in strategies aimed at managing inflation through supply chains.
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