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https://hdl.handle.net/20.500.14279/19339
Τίτλος: | Banks’ equity performance and the term structure of interest rates | Συγγραφείς: | Elyasiani, Elyas Hasan, Iftekhar Kalotychou, Elena Pouliasis, Panos K. Staikouras, Sotiris K. |
Major Field of Science: | Social Sciences | Field Category: | Economics and Business | Λέξεις-κλειδιά: | Banks;Economic cycles;Equity return;Interest rate risk;Yield curve | Ημερομηνία Έκδοσης: | Μαΐ-2020 | Πηγή: | Financial Markets, Institutions and Instruments, 2020, vol. 29, no. 2, pp. 43-64 | Volume: | 29 | Issue: | 2 | Start page: | 43 | End page: | 64 | Περιοδικό: | Financial Markets, Institutions and Instruments | Περίληψη: | Using an extensive global sample, this paper investigates the impact of the term structure of interest rates on bank equity returns. Decomposing the yield curve to its three constituents (level, slope and curvature), the paper evaluates the time-varying sensitivity of the bank's equity returns to these constituents by using a diagonal dynamic conditional correlation multivariate GARCH framework. Evidence reveals that the empirical proxies for the three factors explain the variations in equity returns above and beyond the market-wide effect. More specifically, shocks to the long-term (level) and short-term (slope) factors have a statistically significant impact on equity returns, while those on the medium-term (curvature) factor are less clear-cut. Bank size plays an important role in the sense that exposures are higher for SIFIs and large banks compared to medium and small banks. Moreover, banks exhibit greater sensitivities to all risk factors during the crisis and post-crisis periods compared to the pre-crisis period; though these sensitivities do not differ for market-oriented and bank-oriented financial systems. | URI: | https://hdl.handle.net/20.500.14279/19339 | ISSN: | 14680416 | DOI: | 10.1111/fmii.12125 | Rights: | © The Authors. Attribution-NonCommercial-NoDerivatives 4.0 International |
Type: | Article | Affiliation: | Temple University Fordham University Cyprus University of Technology University of London Bank of Finland University of Sydney |
Publication Type: | Peer Reviewed |
Εμφανίζεται στις συλλογές: | Άρθρα/Articles |
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fmii.12125.pdf | Fulltext | 2.36 MB | Adobe PDF | Δείτε/ Ανοίξτε |
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