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Interest rate risk in the euro area

Author

Listed:
  • Hoffmann, Peter

Abstract

Challenging conventional wisdom, recent research shows that, collectively, euro area banks have limited exposure to interest rate risk, but that their individual exposures vary significantly from institution to institution. Differences in interest-rate setting conventions for loan contracts, especially mortgages, across euro area countries have been shown to be an important driver of this heterogeneity. This heterogeneity remains pronounced even after taking into account hedging activity in derivatives markets, suggesting that monetary policy may be transmitted through different channels in different parts of the euro area. JEL Classification: G21, E43, E44

Suggested Citation

  • Hoffmann, Peter, 2019. "Interest rate risk in the euro area," Research Bulletin, European Central Bank, vol. 55.
    • Handle: RePEc:ecb:ecbrbu:2019:0055:
    Note: 1137913
    as

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    More about this item

    Keywords

    Banking; Hedging; Interest Rate Risk; Risk Management;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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