Rolfe Winkler, en Reuters, tiene un post la relacion entre la yield curve y las ganancias de los Bancos. Los gráficos son muy explicativos.
A bank originating a new 30-year mortgage at 5.3% is taking significant interest rate risk. Remember, the bank has to borrow short to fund the mortgage, by selling CDs for instance. One year CDs average 1.6% according to Bankrate. Because rates can’t go lower, deposits are likely to get more expensive over the 30-year life of the mortgage. What looks like a healthy interest rate spread today (5.3% – 1.6% = 3.7%) is going to tighten.
Por ultimo y dentro del tema de tasas de interes, un paper:
Monetary Cycles, Financial Cycles and the Business Cycle
One of the most robust stylized facts in macroeconomics is the forecasting power of the term spread for future real activity. The economic rationale for this forecasting power usually appeals to expectations of future interest rates, which affect the slope of the term structure. In this paper, we propose a possible causal mechanism for the forecasting power of the term spread, deriving from the balance sheet management of financial intermediaries. When monetary tightening is associated with a flattening of the term spread, it reduces net interest margin, which in turn makes lending less profitable, leading to a contraction in the supply of credit. We provide empirical support for this hypothesis, thereby linking monetary cycles, financial cycles, and the business cycle.
Link al Paper.