6533b7d6fe1ef96bd1266f6b
RESEARCH PRODUCT
Linear and Nonlinear Interest Rate Exposure of Spanish Firms
Román FerrerCristóbal GonzálezGloria M. Sotosubject
Interest rate riskNonlinear systembusiness.industryFinancial economicsmedia_common.quotation_subjectEconometricsbusinessRisk managementStock (geology)Interest ratemedia_commondescription
This paper carries out a comprehensive analysis of the interest rate risk borne by the Spanish firms on a sector basis. The traditional linear interest rate exposure model has been extended to allow for the possibility of a nonlinear exposure component as well as the presence of asymmetric behaviour in the exposure pattern. The obtained results show a significant interest rate exposure for some sectors, especially with regard to changes in the long-term interest rates. Moreover, it is documented that the linear exposure profile prevails over the asymmetric and nonlinear exposure patterns. In particular, the Construction sector is the sector that shows the highest incidence of interest rate risk in the Spanish case.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2006-01-01 | SSRN Electronic Journal |