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Linear and nonlinear interest rate sensitivity of Spanish banks
16 references·2 citing·48 second hop
Linear and nonlinear interest rate sensitivity of Spanish banks (2011)Linear and nonlinear interest rate sensit…Interest rate risk of German financial institutions: the impact of level, slope, and curvature of the term structure (2009)Interest rate risk of German …Spanish stock market sensitivity to real interest and inflation rates: an extension of the Stone two-factor model with factors of the Fama and French three-factor model (2008)Spanish stock market sensitiv…Linear and nonlinear exchange rate exposure (2007)Linear and nonlinear exchange…The sensitivity of US banks' stock returns to interest rate and exchange rate changes (2006)The sensitivity of US banks' …Financial Intermediaries and Interest Rate Risk: II (2006)Financial Intermediaries and …Linear and nonlinear foreign exchange rate exposures of German nonfinancial corporations (2004)Linear and nonlinear foreign …The Interest Rate Risk Exposure of Financial Intermediaries: A Review of the Theory and Empirical Evidence (2003)The Interest Rate Risk Exposu…Asymmetric exchange rate exposure: theory and evidence (2003)Asymmetric exchange rate expo…The Interest Rate Exposure of Nonfinancial Corporations (2002)The Interest Rate Exposure of…Sources of Bank Interest Rate Risk (2002)Sources of Bank Interest Rate…Interest Rate Risk of European Financial Corporations (2000)Interest Rate Risk of Europea…Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model (1998)Sensitivity of the bank stock…Derivatives, Portfolio Composition, and Bank Holding Company Interest Rate Risk Exposure (1997)Derivatives, Portfolio Compos…BANK EXPOSURE TO INTEREST RATE RISK: A GLOBAL PERSPECTIVE (1995)BANK EXPOSURE TO INTEREST RAT…The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions (1984)The Effect of Interest Rate C…Systematic Interest-Rate Risk in a Two-Index Model of Returns (1974)Systematic Interest-Rate Risk…Impact of changes in the level, slope and curvature of interest rates on U.S. sector returns: an asymmetric nonlinear cointegration approach (2019)Impact of changes in the leve…Testing extensions of Fama & French models: A quantile regression approach (2018)Testing extensions of Fama & …The theory and practice of econometrics (1986)Commercial bank net interest margins, default risk, interest-rate risk, and off-balance sheet banking (1997)Diversification, Size, and Risk at Bank Holding Companies (1997)Oil price risk in the Spanish stock market: An industry perspective (2013)Derivatives holdings and systemic risk in the U.S. banking sector (2014)Interest rate changes and stock returns: A European multi-country study with wavelets (2016)Market Interest Rates and Commercial Bank Profitability: An Empirical Investigation (1981)INTEREST RATE CHANGES AND COMMON STOCK RETURNS OF FINANCIAL INSTITUTIONS: REVISITED (1990)Bank moral hazard and the introduction of official deposit insurance in Canada (2003)Interest rate and exchange rate exposures of banking institutions in pre-crisis Korea (2004)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Foreign exchange risk exposure: Survey and suggestions (2005)Foreign exchange exposure of “domestic” corporations (2010)Do exchange rate changes have symmetric or asymmetric effects on stock prices? (2016)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Bank holding company performance, risk, and “busy” board of directors (2015)Emission trading and carbon market performance in Shenzhen, China (2017)Public Attention to Environmental Issues and Stock Market Returns (2020)International Portfolio Choice and Corporation Finance: A Synthesis (1983)The Exchange-Rate Exposure of U.S. Multinationals (1990)Goods Prices and Exchange Rates: What Have We Learned? (1996)Does the currency regime shape unhedged currency exposure? (2010)Unconditional and conditional exchange rate exposure (2012)Women on boards and corporate social irresponsibility: evidence from a Granger style reverse causality minimisation procedure (2020)Risk, Return, and Equilibrium: Empirical Tests (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Problems and Solutions in Conducting Event Studies (1990)The sensitivity of bank stock returns to market, interest and exchange rate risks (1992)An Intertemporal Capital Asset Pricing Model (1973)Asset returns and inflation (1977)Risk measurement when shares are subject to infrequent trading (1979)Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983- 1991 (1996)Cost and Profit Efficiency of Financial Conglomerates and Universal Banks in Europe (2002)Does the stock market value bank diversification? (2007)Stock Returns and the Term Structure (1985)Business conditions and expected returns on stocks and bonds (1989)Stock Returns, Expected Returns, and Real Activity (1990)US stock market sensitivity to interest and inflation rates: a quantile regression approach (2016)Exposure to Currency Risk: Definition and Measurement (1984)Operating Flexibility, Global Manufacturing, and the Option Value of a Multinational Network (1994)What Lies Beneath: Foreign Exchange Rate Exposure, Hedging and Cash Flows (2007)How do banks make the trade-offs among risks? The role of corporate governance (2016)Banks' Non-Interest Income and Systemic Risk (2019)Banks’ Noninterest Income and Systemic Risk (2020)
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References

  • 1984The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions771 cited
  • 1974Systematic Interest-Rate Risk in a Two-Index Model of Returns294 cited
  • 1998Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model251 cited
  • 2003Asymmetric exchange rate exposure: theory and evidence180 cited
  • 2004Linear and nonlinear foreign exchange rate exposures of German nonfinancial corporations147 cited
  • 2002Sources of Bank Interest Rate Risk117 cited
  • 1995BANK EXPOSURE TO INTEREST RATE RISK: A GLOBAL PERSPECTIVE106 cited
  • 2002The Interest Rate Exposure of Nonfinancial Corporations91 cited
  • 1997Derivatives, Portfolio Composition, and Bank Holding Company Interest Rate Risk Exposure90 cited
  • 2007Linear and nonlinear exchange rate exposure77 cited
  • 2006The sensitivity of US banks' stock returns to interest rate and exchange rate changes67 cited
  • 2003The Interest Rate Risk Exposure of Financial Intermediaries: A Review of the Theory and Empirical Evidence64 cited
  • 2000Interest Rate Risk of European Financial Corporations64 cited
  • 2006Financial Intermediaries and Interest Rate Risk: II53 cited
  • 2009

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Interest rate risk of German financial institutions: the impact of level, slope, and curvature of the term structure
52 cited
  • 2008Spanish stock market sensitivity to real interest and inflation rates: an extension of the Stone two-factor model with factors of the Fama and French three-factor model47 cited
  • Cited by

    • 2018Testing extensions of Fama & French models: A quantile regression approach31 cited
    • 2019Impact of changes in the level, slope and curvature of interest rates on U.S. sector returns: an asymmetric nonlinear cointegration approach30 cited