Kalotychou, Elena; Staikouras, Sotiris K.; Zhao, Gang - 2022
The current study investigates the time-varying interest rate exposure of financial intermediaries (bank/insurance) across four major markets (i.e. U.S., UK, Japan and Europe) from October 2002 to December 2012. We use the two-factor term structure model to measure the changes in the level and...