Banking Output & Price Indicators from Quarterly Reporting Data

Liquidity, Asset Price and Banking

We consider an economy where people have the needs for liquidity because of the unanticipated consumption opportunity, yet banks may not provide su¢ cient liquidity due to imperfect technology in commitment, enforcement and record-keeping. We show a link between the liquidity generated by bank lending, the value of the asset used as collateral and aggregate economic activity. When the record-ke...

Is Price Discrimination Efficient? A Counter–Example from Banking

This note shows that oligopolistic loan competition with discriminatory pricing is inefficient when competing banks differ in their ability to screen borrowers: banks with better screening abilities win too small market shares. This result contrasts with a finding by Spence (1976) who showed that an oligopoly with price discrimination achieves first–best efficiency. JEL classification: D43; D82...

Research output indicators are not productivity indicators

Mining Quarterly Reports for Intraday Stock Price Trends

This paper proposes a methodology for predicting a change in stock prices trends for the time immediately following the publishing of quarterly reports. The methodology consists of three components. The first component benchmarks companies from the same line of business based on their financial ratios. The second component retrieves quarterly reports that share common patterns. The third compon...

Credit Price Optimisation within Retail Banking

The willingness of a customer to pay for a product or service is mathematically captured by a price elasticity model. The model relates the responsiveness of customers to a change in the quoted price. In addition to overall price sensitivity, adverse selection could be observed whereby certain customer segments react differently towards price changes. In this paper the problem of determining op...