Linear and nonlinear interest rate exposure in Spain
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Peter Oertmann* & Christel Rendu & Heinz Zimmermann, 2000. "Interest Rate Risk of European Financial Corporations," European Financial Management, European Financial Management Association, vol. 6(4), pages 459-478.
- Di Iorio, Amalia & Faff, Robert, 2000. "An analysis of asymmetry in foreign currency exposure of the Australian equities market," Journal of Multinational Financial Management, Elsevier, pages 133-159.
- Stuart Hyde, 2007.
"The response of industry stock returns to market, exchange rate and interest rate risks,"
Emerald Group Publishing, vol. 33(9), pages 693-709, August.
- Hyde, Stuart J, 2007. "The response of industry stock returns to market, exchange rate and interest rate risks," MPRA Paper 9679, University Library of Munich, Germany.
- Stone, Bernell K., 1974. "Systematic Interest-Rate Risk in a Two-Index Model of Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(05), pages 709-721, November.
- Lynge, Morgan J. & Zumwalt, J. Kenton, 1980. "An Empirical Study of the Interest Rate Sensitivity of Commercial Bank Returns: A Multi-Index Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(03), pages 731-742, September.
- Flannery, Mark J & James, Christopher M, 1984. " The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions," Journal of Finance, American Finance Association, vol. 39(4), pages 1141-1153, September.
- Prasad, Anita Mehra & Rajan, Murli, 1995. "The role of exchange and interest risk in equity valuation: A comparative study of international stock markets," Journal of Economics and Business, Elsevier, pages 457-472.
- Madura, Jeff & Zarruk, Emilio R, 1995. "Bank Exposure to Interest Rate Risk: A Global Perspective," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(1), pages 1-13, Spring.
- Gloria M. Soto Pacheco & Cristóbal González & Laura Ballester & Román Ferrer, 2009. "Determinants of interest rate exposure of Spanish banking industry," Working Papers. Serie EC 2009-07, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Bartram, Sohnke M., 2004.
"Linear and nonlinear foreign exchange rate exposures of German nonfinancial corporations,"
Journal of International Money and Finance,
Elsevier, vol. 23(4), pages 673-699, June.
- Sohnke M. Bartram, 2002. "Linear and Nonlinear Foreign Exchange Rate Exposures of German Nonfinancial Corporations," Finance 0207001, EconWPA.
- Sweeney, Richard J & Warga, Arthur D, 1986. " The Pricing of Interest-Rate Risk: Evidence from the Stock Market," Journal of Finance, American Finance Association, vol. 41(2), pages 393-410, June.
- O'Neal, Edward S, 1998. "Why Electric Utility Stocks Are Sensitive to Interest Rates," The Financial Review, Eastern Finance Association, vol. 33(1), pages 147-161, February.
- Faff, R. W. & Howard, P. F., 1999. "Interest rate risk of Australian financial sector companies in a period of regulatory change," Pacific-Basin Finance Journal, Elsevier, pages 83-101.
- E. Dinenis & S. K. Staikouras, 1998.
"Interest rate changes and common stock returns of financial institutions: evidence from the UK,"
The European Journal of Finance,
Taylor & Francis Journals, pages 113-127.
- de Roon, F.A. & Veld, C.H. & Wei, J., 1996. "A Study on the Efficiency of the Market for Dutch Long Term Call Options," Discussion Paper 1996-33, Tilburg University, Center for Economic Research.
- Marc-Gregor Czaja & Hendrik Scholz & Marco Wilkens, 2009. "Interest rate risk of German financial institutions: the impact of level, slope, and curvature of the term structure," Review of Quantitative Finance and Accounting, Springer, vol. 33(1), pages 1-26, July.
- Elyasiani, Elyas & Mansur, Iqbal, 1998. "Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 535-563, May.
- Koutmos, Gregory & Martin, Anna D., 2003. "Asymmetric exchange rate exposure: theory and evidence," Journal of International Money and Finance, Elsevier, vol. 22(3), pages 365-383, June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Moya-Martínez, Pablo & Ferrer-Lapeña, Román & Escribano-Sotos, Francisco, 2014. "Oil price risk in the Spanish stock market: An industry perspective," Economic Modelling, Elsevier, vol. 37(C), pages 280-290.
- Al-Shboul, Mohammad & Anwar, Sajid, 2014. "Foreign exchange rate exposure: Evidence from Canada," Review of Financial Economics, Elsevier, pages 18-29.
- Papadamou, Stephanos & Siriopoulos, Costas, 2014. "Interest rate risk and the creation of the Monetary Policy Committee: Evidence from banks’ and life insurance companies’ stocks in the UK," Journal of Economics and Business, Elsevier, pages 45-67.
- Muhammad Imtiaz Subhani & Syed Akif Hasan & Rabia Mohammad Ayub Moten & Amber Osman, 2011. "An Application of GARCH while investigating volatility in stock returns of the World," South Asian Journal of Management Sciences (SAJMS), Iqra University, Iqra University, pages 49-59.
- repec:eee:finana:v:52:y:2017:i:c:p:260-280 is not listed on IDEAS
- Muhammad Imtiaz Subhani & Syed Akif Hasan & Rabia Mohammad Ayub Moten & Amber Osman, 2011.
"An Application of GARCH while investigating volatility in stock returns of the World,"
South Asian Journal of Management Sciences (SAJMS), Iqra University,
Iqra University, pages 49-59.
- Subhani, Muhammad Imtiaz & Hasan, Syed Akif & Osman, Ms. Amber, 2012. "An Application of GARCH while investigating volatility in stock returns of the World," MPRA Paper 45089, University Library of Munich, Germany.
- repec:spr:jknowl:v:8:y:2017:i:3:d:10.1007_s13132-015-0301-4 is not listed on IDEAS
- Daniel Ventosa-Santaulària & Carlos Vladimir Rodríguez-Caballero, 2013. "Polynomial Regressions and Nonsense Inference," Econometrics, MDPI, Open Access Journal, vol. 1(3), pages 1-13, November.
- repec:eaa:aeinde:v:17:y:2017:i:2_5 is not listed on IDEAS
- Ferrer, Román & Bolós, Vicente J. & Benítez, Rafael, 2016. "Interest rate changes and stock returns: A European multi-country study with wavelets," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 1-12.
- Bessler, Wolfgang & Kurmann, Philipp, 2014. "Bank risk factors and changing risk exposures: Capital market evidence before and during the financial crisis," Journal of Financial Stability, Elsevier, pages 151-166.
More about this item
KeywordsFinancial risk; Stock returns; Spain; Risk management; Interest rates;
StatisticsAccess and download statistics
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:eme:mfipps:v:36:y:2010:i:5:p:431-451. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Virginia Chapman). General contact details of provider: http://www.emeraldinsight.com .