Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve

Autor:	Foos, Daniel, Lütkebohmert, Eva, Markovych, Mariia, Pliszka, Kamil
Rok vydání:	2022
Předmět:	Accounting ddc:650 Bayesian DCC M‐GARCH model term structure of interest rates maturity transformation interest rate risk General Economics Econometrics and Finance bank stock returns
Zdroj:	European Financial Management. 28:883-925
ISSN:	1468-036X 1354-7798
DOI:	10.1111/eufm.12377
Popis:	We investigate the interest rate risk exposures of euro area banks during times of crises and very low interest rates. First, we assess sensitivities of banks' stock prices to changes in the level, slope and curvature of the yield curve using the Bayesian DCC M‐GARCH model. Our findings reveal that stock price sensitivities change over time and that, on average, banks benefit from increases in the level, slope and curvature of the yield curve. Second, we observe that banks with higher capital ratios, more customer lending and less deposit financing are particularly sensitive to interest rate movements.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::136617a6971254b0ed3109eba7a682c1 https://doi.org/10.1111/eufm.12377 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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