Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 9, 2013 erstellt
Beschreibung:
The current study investigates the time-varying interest rate exposure of financial intermediaries (bank/insurance) across four major markets (i.e. U.S., UK, Japan and Europe) from October 2002 to December 2012. We use the two-factor term structure model to measure the changes in the level and slope of the term structure, while a multivariate GARCH model is employed to invsetigate the time-varying risk exposure of financial intermediaries' equity value sensitivity upon changes in the yield curve. We claim that financial institutions are rewarded for having yield curve exposures during our sample period and their equity value is positively (negatively) related to changes in long-term (short-term) rates. Furthermore, the yield curve exposure of banking/insurance institutions has enhanced during the recent current financial crisis