Memmel, Christoph - In: Review of Financial Economics 38 (2020) 4, pp. 674-686
We investigate whether banks actively manage their exposure to interest rate risk in the short run. Using bank …-level data of German banks for the period 2011Q4–2017Q2, we find evidence that banks actively manage their interest rate risk …-interest period of housing loans has an impact on the banks' overall exposure to interest rate risk. This last finding, in combination …