Arbeitspapier
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: 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.
- ISBN
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978-3-95729-553-8
- Language
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Englisch
- Bibliographic citation
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Series: Deutsche Bundesbank Discussion Paper ; No. 05/2019
- Classification
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Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Subject
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interest rate risk in the banking book
fixed-interest period of housing loans
interest swaps
regulation of interest rate risk
- Event
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Geistige Schöpfung
- (who)
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Memmel, Christoph
- Event
-
Veröffentlichung
- (who)
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Deutsche Bundesbank
- (where)
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Frankfurt a. M.
- (when)
-
2019
- Handle
- Last update
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10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Memmel, Christoph
- Deutsche Bundesbank
Time of origin
- 2019
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