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Determinants of interest rate exposure of Spanish banking industry

  • Gloria M. Soto Pacheco

    ()

    (Universidad de Murcia)

  • Cristóbal González

    (Universitat de València)

  • Laura Ballester

    (Universidad de Castilla-La Mancha)

  • Román Ferrer

    (Universitat de València)

Interest rate risk represents one of the key forms of financial risk faced by banks. It has given rise to an extensive body of research, mainly focused on the estimation of sensitivity of bank stock returns to changes in interest rates. However, the analysis of the sources of bank interest rate risk has received much less attention in the literature. The aim of this paper is to empirically investigate the main determinants of the interest rate exposure of Spanish commercial banks by using panel data methodology. The results indicate that interest rate exposure is systematically related to some bank-specific characteristics. In particular, a significant positive association is found between bank size, derivative activities, and proportion of loans to total assets and banks¿ interest rate exposure. In contrast, the proportion of deposits to total assets is significantly and negatively related to the level of bank¿s interest rate risk. El riesgo de interés representa una de las principales fuentes de riesgo financiero a las que se enfrentan las entidades bancarias. Este riesgo ha dado lugar a un extenso cuerpo de investigación, centrado básicamente en la estimación de la sensibilidad del rendimiento de las acciones bancarias ante las variaciones de los tipos de interés. Sin embargo, el análisis de los determinantes del riesgo de interés ha recibido mucha menos atención en la literatura.El objetivo de este trabajo es investigar empíricamente los principales determinantes de la exposición al riesgo de interés de las entidades bancarias españolas utilizando metodología de datos de panel. Los resultados obtenidos indican que la exposición al riesgo de interés se encuentra sistemáticamente relacionada con varias características bancarias. En particular, se ha constatado una significativa asociación positiva entre el tamaño de la entidad, el volumen de operaciones con activos derivados y el ratio de préstamos sobre activos bancarios totales y el grado de exposición al riesgo de interés. Por el contrario, se ha observado una relación negativa significativa entre el ratio de depósitos sobre activos bancarios totales y el nivel del riesgo de interés de las entidades bancarias.

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Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie EC with number 2009-07.

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Length: 36 pages
Date of creation: Apr 2009
Date of revision:
Publication status: Published by Ivie
Handle: RePEc:ivi:wpasec:2009-07
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