Modeling Structural and Temporal Variation in the Market's Valuation of Banking Firms
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This paper decomposes both the market sensitivity and the interest-rate sensitivity of bank stock into on-balance-sheet and off-balance-sheet components. It derives these constituent and often-offsetting sensitivities from a nonstationary three-equation model that employs accounting and capital
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美国国家经济研究局创建时间：
1988-08-01
