Search results for "Risk-free interest rate"
showing 2 items of 2 documents
Linear and nonlinear interest rate sensitivity of Spanish banks
2011
Abstract Interest rate risk is one of the major financial risks faced by banks due to the very nature of the banking business. The most common approach in the literature has been to estimate the impact of interest rate risk on banks using a simple linear regression model. However, the relationship between interest rate changes and bank stock returns does not need to be exclusively linear. This article provides a comprehensive analysis of the interest rate exposure of the Spanish banking industry employing both parametric and non-parametric estimation methods. Its main contribution is to use, for the first time in the context of banks’ interest rate risk, a nonparametric regression technique…
Exchange Rate and Inflation Risk Premia in the UME
2012
This paper tests the effects of exchange rate and inflation risk factors on asset pricing in the European Union (EU) stock markets. This investigation is motivated by the results of Vassalou (2000) [Journal of International Money and Finance, 19, 433-70] showing that both exchange rate and foreign inflation are generally priced in equity returns, and the opportunity to evaluate the causality between these sources of risk after the elimination of the EU currency risks because of the adoption of the single currency. Our results show that both exchange rate and inflation risks are significantly priced in the pre- and post-euro periods. Moreover, the size of exchange rate and inflation risk pre…