IDEAS home Printed from https://ideas.repec.org/a/bpj/zfbrbw/v34y2022i4p228-239n4.html
   My bibliography  Save this article

Banks’ Management of Interest Rate Risk: Empirical Evidence from Savings Banks and Credit Cooperatives

Author

Listed:
  • Platte Daniel

    (M.Sc., Research Assistant, Finance Center Münster, University of Münster. I thank an anonymous reviewer for worthwile suggestions, Jörn Debener for helpful comments, and Andreas Ernsting and Patrick Pohla for their research assistance. This research did not receive any specific grant from funding agencies in the public, commercial, or not-for-profit sectors. Declarations of interest: none.,)

Abstract

German banking supervisors repeatedly warn of the potential threats arising from the current levels of interest rate risk. Especially banks with a traditional business model that highly depend on income from their interest business have extended their maturity transformation to stabilize the net interest margins with higher term premiums. This paper uses a unique data set comprising balance sheet data from German savings banks and credit cooperatives enhanced with information from their disclosure reports between 2012 and 2020 to analyze the level of interest rate risk and its management. The results suggest that interest rate derivatives are not primarily related to the general level of interest rate risk in banks but may particularly be used by banks to avoid exceeding specific regulatory limits. Furthermore, smaller banks are less likely to use derivatives. However, the results suggest that these banks manage their interest rate risk exposure via higher shares of securities, giving these banks more flexibility in maturity management.

Suggested Citation

  • Platte Daniel, 2022. "Banks’ Management of Interest Rate Risk: Empirical Evidence from Savings Banks and Credit Cooperatives," Zeitschrift für Bankrecht und Bankwirtschaft (ZBB) / Journal of Banking Law and Banking (JBB), RWS Verlag, vol. 34(4), pages 228-239, August.
    • Handle: RePEc:bpj:zfbrbw:v:34:y:2022:i:4:p:228-239:n:4
    DOI: 10.15375/zbb-2022-0405
    as

    Download full text from publisher

    File URL: https://doi.org/10.15375/zbb-2022-0405
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.
    File URL: https://libkey.io/10.15375/zbb-2022-0405?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:zfbrbw:v:34:y:2022:i:4:p:228-239:n:4. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.