کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7356584 | 1478286 | 2018 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Bank's interest rate risk and profitability in a prolonged environment of low interest rates
ترجمه فارسی عنوان
ریسک نرخ بهره بانکی و سودآوری در یک محیط طولانی با نرخ بهره پایین
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper investigates the size and development of banking book interest rate risk positions of Dutch banks during 2008 to 2015. Due to hedging, interest rate risk is small and the income from maturity transformation is only a small share of the net interest margin and the return on assets. However, interest rate risk positions do vary significantly between banks and over time. My results suggest that banks lower their interest rate risk significantly when the yield curve flattens. Interest rate risk is negatively related to on-balance sheet leverage and has a U-shaped relation with solvability for banks that do not use derivatives. Banks that received government assistance during the financial crisis have higher interest rate risk than banks that did not receive assistance.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 89, April 2018, Pages 94-104
Journal: Journal of Banking & Finance - Volume 89, April 2018, Pages 94-104
نویسندگان
Raymond F.D.D. Chaudron,