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The Term Structure of Interest Rates and the Swiss Regional Bank Crisis - Empirical Evidence and its Limits

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  • Markus Staub

Abstract

This paper provides evidence that it is problematic to provide evidence concerning the link between the term structure of interest rates and banking problems in the regional bank sector in Switzerland. In a setting of micro-level panel data it is documented that there is generally a lack of robustness in the sense that correlation as well as significance results depend crucially on modelling assumptions. Whether the crisis in the Swiss regional bank sector in the early nineties can be seen as a consequence of the term structure inversion remains an open question.

Suggested Citation

  • Markus Staub, 1998. "The Term Structure of Interest Rates and the Swiss Regional Bank Crisis - Empirical Evidence and its Limits," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 134(IV), pages 655-684, December.
    • Handle: RePEc:ses:arsjes:1998-iv-19
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    Cited by:

    1. Jonas Meuli & Dr. Thomas Nellen & Dr. Thomas Nitschka, 2016. "Securitisation, loan growth and bank funding: the Swiss experience since 1932," Working Papers 2016-18, Swiss National Bank.
    2. Martin Hellwig, 2009. "Systemic Risk in the Financial Sector: An Analysis of the Subprime-Mortgage Financial Crisis," De Economist, Springer, vol. 157(2), pages 129-207, June.
    3. Martin Hellwig, 2000. "Banken zwischen Politik und Markt: Worin besteht die volkswirtschaftliche Verantwortung der Banken?," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 1(3), pages 337-356, August.

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