کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5103593 1480437 2017 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Looking beyond banks' average interest rate risk: Determinants of high exposures
ترجمه فارسی عنوان
ریسک نرخ بهره متوسط ​​بانکها: عوامل موثر بر ریسک بالا
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper studies the magnitude and determinants of interest rate risk (IRR) of listed U.S. bank holding companies. As our first contribution, we test whether banks avoid exposures to IRR as prescribed in classic bank hedging literature. To do so, we use a state space model and Kalman filter techniques to estimate time-series of interest rate betas from bank stock returns. While the interest rate exposures of banks average close to zero, we find that individual banks at times exhibit high and significant exposures to interest rate risk. As our second contribution, we relate these high betas to lagged bank characteristics from accounting data, applying logit regressions and unconditional quantile regressions. We find that high exposures are partly systemic and comove with bank characteristics like size or leverage. This has implications for the monitoring of interest rate risk by regulators and investors as well as for the ongoing debates on the appropriate capitalization of banks.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 63, February 2017, Pages 204-218
نویسندگان
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