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

Markus Staub

Swiss Journal of Economics and Statistics (SJES), 1998, vol. 134, issue IV, 655-684

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.

Date: 1998
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Handle: RePEc:ses:arsjes:1998-iv-19