KDI 한국개발연구원 - 경제정책정보 - 발간처별 목록 - 경제분야 국제기구 - BIS - A New Indicator of Bank Funding Cost



유관기관의 다양한 자료를 한 곳에서 살펴보실 수 있습니다.


A New Indicator of Bank Funding Cost

BIS 2020.04.08
The cost of bank funding on money markets is typically the sum of a risk-free rate and a spread that re?ects rollover risk, i.e., the risk that banks cannot roll over their short-term market funding. This risk is a major concern for policymakers, who need to intervene to prevent the funding liquidity freeze from triggering the bankruptcy of solvent financial institutions. We construct a new indicator of rollover risk for banks, which we have called forward funding spread. It is calculated as the di?erence between the three-month forward rate of the yield curve constructed using only instruments with a three-month tenor and the corresponding forward rate of the default-free overnight interest swap yield curve. The forward funding spread usefully complements its spot equivalent, the IBOR-OIS spread, in the monitoring of bank funding risk in real time. First, it accounts for the market participants‘ expectations for how funding costs will evolve over time. Second, it identi?es liquidity regimes, which coincide with the levels of excess liquidity supplied by central banks. Third, it has much higher predictive power for economic growth and bank lending in the United States and the euro area than the spot IBOR-OIS, credit default swap spreads or bank bond credit spreads.

가입하신 이동통신사의 요금제에 따라
데이터 요금이 과다하게 부가될 수 있습니다.

파일을 다운로드하시겠습니까?
KDI 연구 카테고리