The financial crisis exploited the poorness of real liquidity risk perception in the banking system. The paper suggests a wiser uses of econometrics tools can be more effective in detecting banking risk in order to reduce bias in the decision processes. A methodology to better focus the real...

This paper examines households' interest rate risk perception when choosing between fixed rate mortgages (FRMs) and adjustable rate mortgages (ARMs). The empirical analysis, carried out on the basis of data from the Survey on Household Income and Wealth by the Bank of Italy, highlights pervasive...

The study aims at ascertaining whether a relationship exists between the liquidity risk and the interest rate risk of credit institutions. By analysing the balance sheet of a small Italian bank during the years 2009 and 2010, we outlined its liquidity profile, the variables that influenced its...

A cross section of 18 Indian banks are surveyed to assess the interest rate risk levels reported by them in their Basel II Pillar III disclosures. The banks report interest rate risk levels ranging from less than 1% to 9%.A regression analysis of interest rate risk levels against ownership,...

Because they engage in maturity transformation, a steepening of the yield curve should, all else equal, boost bank profitability. We re-examine this conventional wisdom by estimating the reaction of bank intraday stock returns to exogenous fluctuations in interest rates induced by monetary...

Using data from 1299 microfinance institutions (MFIs) in 84 countries and following different approaches, it was found the lending interest rate is determined by the funding cost, the loan size, and the efficiency level of MFIs. With respect to competition, results are mixed. Only in Asia is a...

We use portfolios of passive investment strategies to replicate the interest risk of banks' banking books. The following empirical statements are derived. (i) Changes in banks' market value and in their net interest income are highly correlated, irrespective of the banks' portfolio composition....

Besides market risk, banking stocks are also subject to interest rate risk due to the simple fact that banking profitability is a function of prevailing interest rate. This paper examines the effects of interest rate changes on banking stock returns in India using the multivariate OLS and GARCH...

The interest rate risk is the degree of exposure of a bank's financial condition to adverse movements in interest rates. Changes in interest rates affect a bank's earnings by changing its net interest income and the level of other interest-sensitive income and operating expenses. Changes in...

The paper aims to investigate some significant critical issues of the national and international regulation of bank interest rate risk. Particularly, the paper examines the link between internal models and standardized models used by banks to provide financial information to banking authorities...