Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve
Year of publication: |
2022
|
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Authors: | Foos, Daniel ; Lütkebohmert-Holtz, Eva ; Markovych, Mariia ; Pliszka, Kamil |
Published in: |
European financial management : the journal of the European Financial Management Association. - Oxford : Wiley-Blackwell, ISSN 1468-036X, ZDB-ID 1480712-9. - Vol. 28.2022, 4, p. 883-925
|
Subject: | bank stock returns | Bayesian DCC M-GARCH model | interest rate risk | maturity transformation | term structure of interest rates | Zinsstruktur | Yield curve | Zinsrisiko | Interest rate risk | Bank | Bankrisiko | Bank risk | EU-Staaten | EU countries | Kapitaleinkommen | Capital income |
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