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Linear and nonlinear interest rate sensitivity of Spanish banks

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Linear and nonlinear interest rate sensitivity of Spanish banks

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dc.contributor.author Ballester Miquel, Laura
dc.contributor.author Ferrer Lapeña, Román
dc.contributor.author González Baixauli, Eusebio Cristobal
dc.date.accessioned 2018-04-12T14:33:05Z
dc.date.available 2018-04-12T14:33:05Z
dc.date.issued 2011
dc.identifier.citation Ballester Miquel, Laura Ferrer Lapeña, Roman González Baixauli, Eusebio Cristobal 2011 Linear and nonlinear interest rate sensitivity of Spanish banks Spanish Review of Financial Economics 9 2 35 48
dc.identifier.uri http://hdl.handle.net/10550/65617
dc.description.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 that avoids the assumption of a specific functional form. On the one hand, it is found that the Spanish banking sector exhibits a remarkable degree of interest rate exposure, although the impact of interest rate changes on bank, stock returns have significantly declined following the introduction of the euro. Further, a pattern of positive exposure emerges during the post-euro period. On the other hand, the results corresponding to the nonparametric model support the expansion of the conventional linear model in an attempt to gain a greater insight into the actual degree of exposure.
dc.language.iso eng
dc.relation.ispartof Spanish Review of Financial Economics, 2011, vol. 9, num. 2, p. 35-48
dc.subject Economia
dc.title Linear and nonlinear interest rate sensitivity of Spanish banks
dc.type journal article es_ES
dc.date.updated 2018-04-12T14:33:05Z
dc.identifier.doi 10.1016/j.srfe.2011.09.002
dc.identifier.idgrec 071061
dc.rights.accessRights open access es_ES

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