Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/192933
Authors: 
Memmel, Christoph
Year of Publication: 
2019
Series/Report no.: 
Bundesbank Discussion Paper 05/2019
Abstract: 
We investigate whether banks actively manage their exposure to interest rate risk in the short run. Using bank-level data of German banks for the period 2011Q4- 2017Q2, we find evidence that banks actively manage their interest rate risk exposure in their banking books: They take account of their regulatory situation and adjust their exposure to the earning opportunities of this risk. We also find that the customers' preferences predominantly determine the fixed-interest period of housing loans and that the fixed-interest period of these loans has an impact on the banks' overall exposure to interest rate risk. This last finding is not in line with active interest rate risk management.
Subjects: 
interest rate risk in the banking book
fixed-interest period of housing loans
interest swaps
regulation of interest rate risk
JEL: 
G21
ISBN: 
978-3-95729-553-8
Document Type: 
Working Paper
Social Media Mentions:

Files in This Item:
File
Size
651.18 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.