Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/230014
Autoren: 
Memmel, Christoph
Datum: 
2020
Quellenangabe: 
[Journal:] Review of Financial Economics [ISSN:] 1873-5924 [Volume:] 38 [Issue:] 4 [Pages:] 674-686
Zusammenfassung: 
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. Specifically, they adjust their exposure to the earning opportunities presented by this risk, take account of their regulatory situation, and manage this exposure using interest swaps. We also find that the fixed‐interest period of housing loans has an impact on the banks' overall exposure to interest rate risk. This last finding, in combination with the empirical evidence that customer preferences predominantly determine the fixed‐interest period of these loans, is not in line with active interest rate risk management.
Schlagwörter: 
fixed‐interest period of housing loans
interest rate risk in the banking book
interest swaps
regulation of interest rate risk
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
http://creativecommons.org/licenses/by/4.0/
Dokumentart: 
Article
Dokumentversion: 
Published Version

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