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Linear and nonlinear interest rate sensitivity of Spanish banks · Study

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ArticleLinear and nonlinear interest rate sensitivity of Spanish banks

Laura Ballester2011

OA

Articlegreen2011

Linear and nonlinear interest rate sensitivity of Spanish banks

Laura Ballester · Román Ferrer · Cristóbal González

37 citations·0/0 files stored·The Spanish Review of Financial Economics

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Banking stability, regulation, efficiency Financial Risk and Volatility Modeling Risk Management in Financial Firms

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References

1984The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions 1974Systematic Interest-Rate Risk in a Two-Index Model of Returns 1998Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model 2003Asymmetric exchange rate exposure: theory and evidence 2004Linear and nonlinear foreign exchange rate exposures of German nonfinancial corporations 2002Sources of Bank Interest Rate Risk 1995BANK EXPOSURE TO INTEREST RATE RISK: A GLOBAL PERSPECTIVE 2002The Interest Rate Exposure of Nonfinancial Corporations

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2018Testing extensions of Fama & French models: A quantile regression approach 2019Impact of changes in the level, slope and curvature of interest rates on U.S. sector returns: an asymmetric nonlinear cointegration approach

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2008Interest Rate Risk Rewards in Stock Returns of Financial Corporations: Evidence from Germanyarticle · 10 shared references 2010Linear and nonlinear interest rate exposure in Spainarticle · 10 shared references 2016Interest rate changes and stock returns: A European multi-country study with waveletsarticle · 9 shared references 2015Interest Rate Sensitivity of S panish Industries: A Quantile Regression Approacharticle · 9 shared references 2018Does Shariah compliance make interest rate sensitivity of Islamic equities lower? An industry level analysis under different market statesarticle · 8 shared references 2009Interest rate risk of German financial institutions: the impact of level, slope, and curvature of the term structurearticle · 7 shared references

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Year2011

Typearticle

Published2011-07-01

VenueThe Spanish Review of Financial Economics

ISSN-L2173-1268

Languageen

Citations37

Files0 public / 0

ShelfBanking stability, regulation, efficiency

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doi10.1016/j.srfe.2011.09.002

openalex_workW1975637752

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