Who bears interest rate risk?

Arbeitspapier

We study the allocation of interest rate risk within the European banking sector using novel data. Banks' exposure to interest rate risk is small on aggregate, but heterogeneous in the cross-section. In contrast to conventional wisdom, net worth is increasing in interest rates for approximately half of the institutions in our sample. Cross-sectional variation in banks' exposures is driven by cross-country differences in loan-rate fixation conventions for mortgages. Banks use derivatives to partially hedge on-balance sheet exposures. Residual exposures imply that changes in interest rates have redistributive effects within the banking sector.

Angaben zum Objekt

• ISBN: 978-92-899-3281-3
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ECB Working Paper ; No. 2176

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Interest Rates: Determination, Term Structure, and Effects ; Financial Markets and the Macroeconomy
• Thema: interest rate risk ; banking ; risk management ; hedging

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Hoffmann, Peter ; Langfield, Sam ; Pierobon, Federico ; Vuillemey, Guillaume
• Ereignis: Veröffentlichung
• (wer): European Central Bank (ECB)
• (wo): Frankfurt a. M.
• (wann): 2018

Weitere Informationen

• DOI: doi:10.2866/561738
• Handle: http://hdl.handle.net/10419/183358
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ