Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/265006 
Erscheinungsjahr: 
2022
Quellenangabe: 
[Journal:] European Financial Management [ISSN:] 1468-036X [Volume:] 28 [Issue:] 4 [Publisher:] Wiley [Place:] Hoboken, NJ [Year:] 2022 [Pages:] 883-925
Verlag: 
Wiley, Hoboken, NJ
Zusammenfassung: 
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.
Schlagwörter: 
bank stock returns
Bayesian DCC M‐GARCH model
interest rate risk
maturity transformation
term structure of interest rates
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