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Who bears interest rate risk?
Gespeichert in:
| Personen und Körperschaften: | , , , |
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| Titel: | Who bears interest rate risk?/ Peter Hoffmann, Sam Langfield, Federico Pierobon, Guillaume Vuillemey |
| Format: | E-Book |
| Sprache: | Englisch |
| veröffentlicht: |
Frankfurt am Main, Germany
European Central Bank
[2018]
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| Gesamtaufnahme: |
Europäische Zentralbank: Working paper series ; no 2176 (September 2018)
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| Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| Zusammenfassung: | We study the allocation of interest rate risk within the European banking sector using novel data. Banks' exposure to interest rate risk is small on aggregate, but heterogeneous in the cross-section. In contrast to conventional wisdom, net worth is increasing in interest rates for approximately half of the institutions in our sample. Cross-sectional variation in banks' exposures is driven by cross-country differences in loan-rate fixation conventions for mortgages. Banks use derivatives to partially hedge on-balance sheet exposures. Residual exposures imply that changes in interest rates have redistributive effects within the banking sector. |
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| Umfang: | 1 Online-Ressource (circa 66 Seiten); Illustrationen |
| ISBN: |
9789289932813
9289932813 |
| DOI: | 10.2866/561738 |