IDEAS home Printed from https://ideas.repec.org/a/bla/ecnote/v29y2000i2p201-213.html
   My bibliography  Save this article

Survey Data and the Interest Rate Sensitivity of US Bank Stock Returns

Author

Listed:
  • H. A. Benink
  • C. C. P. Wolff

Abstract

type="main" xml:lang="en"> In this paper, we provide empirical evidence on the interest rate sensitivity of the stock returns of the twenty largest US bank holding companies. The main contribution of the paper is the use of survey data to model the unexpected interest rate variable, which is an alternative approach to the existing literature. We find evidence of significant negative interest rate sensitivity during the early 1980s, and evidence of declining significance in the late 1980s and early 1990s. This result is also obtained when using the forecast errors of ARIMA processes to model the unexpected movement in the interest rate.

Suggested Citation

  • H. A. Benink & C. C. P. Wolff, 2000. "Survey Data and the Interest Rate Sensitivity of US Bank Stock Returns," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 29(2), pages 201-213, July.
    • Handle: RePEc:bla:ecnote:v:29:y:2000:i:2:p:201-213
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/1468-0300.00030
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

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

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Francisco Jareno, 2008. "Spanish stock market sensitivity to real interest and inflation rates: an extension of the Stone two-factor model with factors of the Fama and French three-factor model," Applied Economics, Taylor & Francis Journals, vol. 40(24), pages 3159-3171.
    2. Antonio Roma, 2006. "Common factors and balance sheet structure of major European banks," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 59(237), pages 123-170.
    3. Schüler, Martin, 2002. "The threat of systemic risk in banking: evidence for Europe," ZEW Discussion Papers 02-21, ZEW - Leibniz Centre for European Economic Research.
    4. Foos, Daniel & Lütkebohmert, Eva & Markovych, Mariia & Pliszka, Kamil, 2017. "Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve," Discussion Papers 24/2017, Deutsche Bundesbank.
    5. Kiran Batool, 2021. "Impact of Interest Rates on Stock Index: Case of Pakistan Stock Exchange," International Journal of Business and Economic Affairs (IJBEA), Sana N. Maswadeh, vol. 6(1), pages 1-12.
    6. Renu Ghosh & K. Latha & Sunita Gupta, 2018. "Interest Rate Sensitivity of Non-banking Financial Sector in India," Vikalpa: The Journal for Decision Makers, , vol. 43(3), pages 152-170, September.
    7. Pariyada Sukcharoensin, 2013. "Time-Varying Market, Interest Rate and Exchange Rate Risks of Thai Commercial Banks," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 9(1), pages 25-45.
    8. 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, vol. 71(C), pages 45-67.
    9. Schüler, Martin & Schröder, Michael, 2003. "Systemic Risk in European Banking: Evidence from Bivariate GARCH Models," ZEW Discussion Papers 03-11, ZEW - Leibniz Centre for European Economic Research.
    10. Jareño, Francisco & Navarro, Eliseo, 2010. "Stock interest rate risk and inflation shocks," European Journal of Operational Research, Elsevier, vol. 201(2), pages 337-348, March.
    11. Antonio Roma, 2006. "Common factors and balance sheet structure of major European banks," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 59(237), pages 123-170.
    12. Massomeh Hajilee & Farhang Niroomand, 2018. "The impact of interest rate volatility on financial market inclusion: evidence from emerging markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(2), pages 352-368, April.

    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:bla:ecnote:v:29:y:2000:i:2:p:201-213. 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: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0391-5026 .

    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.