What drives the short-term fluctuations of banks' exposure to interest rate risk?
In: Discussion paper 2019, no 05
In: Deutsche Bundesbank; Eurosystem
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In: Discussion paper 2019, no 05
In: Deutsche Bundesbank; Eurosystem
In: Discussion paper Eurosystem ; 2017, no. 35
In: Discussion paper Eurosystem
Using a unique data set on German banks' loans to the German real economy, we investigate banks' credit risk. This data set includes the volume of loans per bank and industry as well as the corresponding write-downs. Our empirical study for the period 2003-2011 yields the following results: (i) Beyond the nationwide credit loss rate, industry composition, and regional factors, the loans' maturity structure is found to drive the bank-wide loss rates in the credit portfolio. (ii) The nationwide loss rate has the most impact, followed by the maturity structure and the industry composition. (iii) For nationwide banks, these common factors explain about 26% of the time variation in the loss rate of credit portfolios; for regional banks, this percentage is less than eight percent. -- Credit risk ; systematic risk ; maturity ; stress tests
In: Discussion paper
In: Series 2, Banking and financial studies 13/2011
We decompose the change in banks' net interest margin into a change in market-wide bank rates and a change in the balance-sheet composition. Our empirical findings from a detailed data set on German banks' balance-sheet positions, broken down into different maturities, creditors and borrowers and degrees of liquidity are as follows: (i) Changes in bank rates have a much greater impact on and explain more of the variation in net interest margins than do changes in balance-sheet compositions. (ii) Changes in bank rates and changes in balance-sheet compositions affect the change in the net interest margin less strongly for derivative users than for non-users. On average, banks employ interest rate derivatives to reduce on-balance risk. (iii) When risk-taking becomes more lucrative, banks tend to increase their on-balance exposure. This effect is more pronounced for derivative users than for non-users. -- Net Interest Margin ; Banking ; Balance-Sheet Composition
In: Discussion paper Eurosystem
In: Ser. 2, Banking and financial studies 2011,17
In: Discussion paper
In: Ser. 2, Banking and financial studies 2009,14
In: Review of financial economics: RFE, Band 38, Heft 4, S. 674-686
ISSN: 1873-5924
AbstractWe investigate whether banks actively manage their exposure to interest rate risk in the short run. Using bank‐level data of German banks for the period 2011Q4–2017Q2, we find evidence that banks actively manage their interest rate risk exposure in their banking books. Specifically, they adjust their exposure to the earning opportunities presented by this risk, take account of their regulatory situation, and manage this exposure using interest swaps. We also find that the fixed‐interest period of housing loans has an impact on the banks' overall exposure to interest rate risk. This last finding, in combination with the empirical evidence that customer preferences predominantly determine the fixed‐interest period of these loans, is not in line with active interest rate risk management.
In: Review of Financial Economics, Band 38, Heft 4
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Working paper
In: Deutsche Bundesbank Discussion Paper No. 05/2019
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In: Bundesbank Discussion Paper No. 35/2017
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In: Bundesbank Series 2 Discussion Paper No. 2010,07
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In: Bundesbank Series 2 Discussion Paper No. 2010,14
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In: Bundesbank Series 2 Discussion Paper No. 2008,07
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In: Reihe: Finanzierung, Kapitalmarkt und Banken 34
In: Credit and Capital Markets, Band 54, Heft 4
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