Within a global frame leading to the elaboration of an interest rate risk pricing model applicable to financial institutions which takes the basis risk into account, the current paper analyses the long-term impact of the most representative Spanish monetary market interest rates variations over...

Interest rate risk represents one of the key forms of financial risk faced by banks. It has given rise to an extensive body of research, mainly focused on the estimation of sensitivity of bank stock returns to changes in interest rates. However, the analysis of the sources of bank interest rate...

The development of the Spanish mortgage market during the last decade has increased the concern about its integration with capital markets. In this context, this paper examines from an empirical perspective the hypothesis of integration between the primary mortgage market and the capital market...