Artikel
What drives the short‐term fluctuations of banks' exposure to interest rate risk?
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.
- Sprache
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Englisch
- Erschienen in
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Journal: Review of Financial Economics ; ISSN: 1873-5924 ; Volume: 38 ; Year: 2020 ; Issue: 4 ; Pages: 674-686 ; Hoboken, NJ: Wiley
- Klassifikation
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Wirtschaft
- Thema
-
fixed‐interest period of housing loans
interest rate risk in the banking book
interest swaps
regulation of interest rate risk
- Ereignis
-
Geistige Schöpfung
- (wer)
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Memmel, Christoph
- Ereignis
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Veröffentlichung
- (wer)
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Wiley
- (wo)
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Hoboken, NJ
- (wann)
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2020
- DOI
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doi:10.1002/rfe.1100
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Memmel, Christoph
- Wiley
Entstanden
- 2020
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