6533b855fe1ef96bd12b0a48

RESEARCH PRODUCT

Impact of interest rate risk on the Spanish banking sector

Laura BallesterRomán FerrerCristóbal Gonález

subject

Interest rate riskFinancial economicsmedia_common.quotation_subjectAutoregressive conditional heteroskedasticityDegree of interestUnivariateMonetary economicsBusinessVolatility (finance)Banking sectorStock (geology)Interest ratemedia_common

description

This paper examines the exposure of the Spanish banking sector to interest rate risk. With that aim, a univariate GARCH-M model, which takes into account not only the impact of interest rate changes but also the effect of their volatility on the distribution of bank stock returns, is used. The results show that both changes and volatility of interest rates have a negative and significant impact on the stock returns of the Spanish banking industry. Moreover, there seems to be a direct relationship between the size of banking firms and their degree of interest rate sensitivity.

yearjournalcountryeditionlanguage
2010-01-01
https://doi.org/10.1007/978-88-470-1481-7_1