THE CYCLICALITY OF PRICE-COST MARGINS IN BANKING: AN EMPIRICAL ANALYSIS OF ITS DETERMINANTS
We study the determinants of the cyclical behavior of banks' price‐cost margins in the United States banking sector, using time series quarterly data for the period 1979–2005. We contribute to the literature by building an empirical model of the countercyclical behavior of these margins first d...
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Veröffentlicht in: | Economic inquiry 2011-01, Vol.49 (1), p.26-46 |
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description | We study the determinants of the cyclical behavior of banks' price‐cost margins in the United States banking sector, using time series quarterly data for the period 1979–2005. We contribute to the literature by building an empirical model of the countercyclical behavior of these margins first documented by Aliaga‐Díaz and Olivero (2010a). Doing so we are able to explore potential explanations for this behavior, and to show that margins are consistently countercyclical, even after controlling for the effects of credit risk and monetary policy. As a mechanism for the propagation of aggregate shocks, the countercyclical nature of margins in banking can provide additional support to stabilization policy. (JEL E32, E44, G21) |
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OLIVERO, MARÍA PÍA</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c7487-eee16f1ed9378af209c1acf4f38032483dbfac3157189fdf14c9a20fc867bf1a3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2011</creationdate><topic>Analysis</topic><topic>Bank liquidity</topic><topic>Bank management</topic><topic>Bank operations</topic><topic>Bank regulation</topic><topic>Banking industry</topic><topic>Banking system</topic><topic>Banks (Finance)</topic><topic>Business cycles</topic><topic>Commercial banks</topic><topic>Credit risk</topic><topic>Cyclical analysis</topic><topic>Federal Reserve monetary policy</topic><topic>Financial regulation</topic><topic>Monetary policy</topic><topic>Profit</topic><topic>Risk management</topic><topic>Stabilization</topic><topic>Studies</topic><topic>Time series</topic><topic>U.S.A</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>ALIAGA-DÍAZ, ROGER</creatorcontrib><creatorcontrib>OLIVERO, MARÍA PÍA</creatorcontrib><collection>Istex</collection><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>Gale Business: Insights</collection><collection>Business Insights: Essentials</collection><collection>Gale In Context: Biography</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><collection>ProQuest Health & Medical Complete (Alumni)</collection><collection>Risk Abstracts</collection><collection>Safety Science and Risk</collection><collection>Environmental Sciences and Pollution Management</collection><jtitle>Economic inquiry</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>ALIAGA-DÍAZ, ROGER</au><au>OLIVERO, MARÍA PÍA</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>THE CYCLICALITY OF PRICE-COST MARGINS IN BANKING: AN EMPIRICAL ANALYSIS OF ITS DETERMINANTS</atitle><jtitle>Economic inquiry</jtitle><date>2011-01</date><risdate>2011</risdate><volume>49</volume><issue>1</issue><spage>26</spage><epage>46</epage><pages>26-46</pages><issn>0095-2583</issn><eissn>1465-7295</eissn><coden>ECIND6</coden><abstract>We study the determinants of the cyclical behavior of banks' price‐cost margins in the United States banking sector, using time series quarterly data for the period 1979–2005. We contribute to the literature by building an empirical model of the countercyclical behavior of these margins first documented by Aliaga‐Díaz and Olivero (2010a). Doing so we are able to explore potential explanations for this behavior, and to show that margins are consistently countercyclical, even after controlling for the effects of credit risk and monetary policy. As a mechanism for the propagation of aggregate shocks, the countercyclical nature of margins in banking can provide additional support to stabilization policy. (JEL E32, E44, G21)</abstract><cop>Oxford, UK</cop><pub>Blackwell Publishing Ltd</pub><doi>10.1111/j.1465-7295.2010.00327.x</doi><tpages>21</tpages></addata></record> |
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subjects | Analysis Bank liquidity Bank management Bank operations Bank regulation Banking industry Banking system Banks (Finance) Business cycles Commercial banks Credit risk Cyclical analysis Federal Reserve monetary policy Financial regulation Monetary policy Profit Risk management Stabilization Studies Time series U.S.A |
title | THE CYCLICALITY OF PRICE-COST MARGINS IN BANKING: AN EMPIRICAL ANALYSIS OF ITS DETERMINANTS |
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