This paper develops a model of the term structures of nominal and real interest rates driven by state variables representing the short-term real interest rate, expected inflation, inflation's central tendency, and four volatility factors.
This paper develops a structural credit risk model of a bank that issues deposits, shareholders’ equity, and fixed or floating coupon bonds in the form of contingent capital or subordinated debt.
A model of multimarket spatial competition is developed where small, single-market banks compete with large, multimarket banks (LMBs) for retail loans and deposits.
The market prices of stocks and other assets tend to cluster on round fractions. A similar clustering is found in the interest rates paid on retail bank deposits.
