Wv dqg qhzvsdshu drxqwv iurp d vdpsoh ri lwlhv wkh

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: O IRU WUD.NLQJ IXQGDPHQWDO .KDQJHV UHOHYDQW IRU EDQN .RQGLWLRQ DUH RQO\ DYDLODEOH DW WKH QDWLRQDO OHYHO 7R LQYHVWLJDWH WKH SRWHQWLDO HIIH.WV RI ERQG \LHOG .KDQJHV RQ WKH YDOXH RI EDQNV¶ VH.XULWLHV SRUWIROLRV ZH XVH WKH PRQWKO\ VHULHV RQ JRYHUQPHQW ERQG \LHOGV .RQVWUX.WHG E\ WKH )HGHUDO 5HVHUYH %RDUG  SS    1DWLRQDO OLDELOLWLHV RI IDLOHG EXVLQHVVHV DUH IURP 'XQ¶V 5HYLHZ *LYHQ WKH LPSRUWDQ.H DWWD.KHG WR DJUL.XOWXUDO VKR.NV ZH DOVR .ROOH.WHG GDWD RQ PRQWKO\ .KDQJHV LQ DQ DJUL.XOWXUDO SUL.H LQGH[ GHILQHG DV WKH ORJ GLIIHUHQ.H RI D PRQWKO\ LQGH[ RI DOO DJUL.XOWXUDO SURGX.WV EDVHG RQ  LWHPV IURP WKH 86 'HSDUWPHQW RI $JUL.XOWXUH¶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¶V D..RXQW ZKL.K ZDV EDVHG RQ EDQN VXVSHQVLRQ GDWD DW WKH OHYHO RI )HGHUDO 5HVHUYH 'LVWUL.WV DQG QHZVSDSHU D..RXQWV IURP D VDPSOH RI .LWLHV WKH EDQN IDLOXUH SUR.HVV YDULHV VXEVWDQWLDOO\ QRW RQO\ RYHU WLPH EXW DOVR E\ VWDWH )LJXUHV  UHSRUW YDULRXV PD.URH.RQRPL. WLPH VHULHV DORQJVLGH RXU PHDVXUH RI )HG PHPEHU EDQNV¶ .RQGLWLRQDO IDLOXUH KD]DUG 7KHVH GDWD .RQILUP )ULHGPDQ DQG 6.KZDUW]¶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
View Full Document

This note was uploaded on 11/20/2013 for the course ECON 101a taught by Professor Staff during the Fall '08 term at Berkeley.

Ask a homework question - tutors are online