Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/265006 
Year of Publication: 
2022
Citation: 
[Journal:] European Financial Management [ISSN:] 1468-036X [Volume:] 28 [Issue:] 4 [Publisher:] Wiley [Place:] Hoboken, NJ [Year:] 2022 [Pages:] 883-925
Publisher: 
Wiley, Hoboken, NJ
Abstract: 
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.
Subjects: 
bank stock returns
Bayesian DCC M‐GARCH model
interest rate risk
maturity transformation
term structure of interest rates
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article
Document Version: 
Published Version

Files in This Item:
File
Size





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