Foos, Daniel; Lütkebohmert, Eva; Markovych, Mariia; … - In: European Financial Management 28 (2022) 4, pp. 883-925
We investigate the interest rate risk exposures of euro area banks during times of crises and very low interest rates. First, we assess sensitivities of banks' stock prices to changes in the level, slope and curvature of the yield curve using the Bayesian DCC M‐GARCH model. Our findings reveal...