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Análisis De La Sensibilidad A Las Variaciones En Los Tipos De Interés De Las Acciones Bancarias

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Author Info

  • Germán López Espinosa

    (Universidad de Navarra)

Abstract

The main purpose of this study is to analyse interest rate sensitivity of the stockreturns of the Spanish bank holding companies. The results seem to indicate that thebanking system was not sensitive to interest rate risk for the period of December 1962to May 1996. An interesting alternative hypothesis is whether the interest sensitivity ofany bank stocks was significant before the introduction of MEFF in Spain. El estudio de la sensibilidad a variaciones del tipo de interés por parte de las acciones bancarias españolas es el propósito principal de este trabajo. Se observa que el sector bancario español, en su conjunto, no ha tenido un riesgo significativo de tipos de interés en el período comprendido entre Diciembre de 1962 y Mayo de 1996. También se analiza si algún banco individual soportaba un riesgo significativo de tipos antes de la introducción del MEFF en España.

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File URL: http://www.ivie.es/downloads/docs/wpasec/wpasec-2002-04.pdf
File Function: Fisrt version / Primera version, 2002
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Bibliographic Info

Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2002-04.

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Length: 23 pages
Date of creation: Feb 2002
Date of revision:
Publication status: Published by Ivie
Handle: RePEc:ivi:wpasec:2002-04

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Related research

Keywords: sensibilidad; riesgo sistemático y cambio estructural. sensitivity; systematic risk and structural change.;

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