Aktienrenditen und makroökonomische Risikoprämien: Eine empirische Untersuchung für den deutschen Kapitalmarkt

Interest rate risk of German financial institutions: the impact of level, slope, and curvature of the term structure

“…Most studies investigating the interest rate sensitivity of financial institutions use interest rate factors with maturities either at the long-end such as, e.g., Oertmann et al (2000) and Bessler and Opfer (2005) or at the very short-end of the term structure as in Staikouras (1998, 2000) or they use both but in alternative models as in Madura and Zarruk (1995), Bartram (2002), and Fraser et al (2002). Hence, we specify our model 1 with a single interest rate factor containing the monthly first differences in German government spot rates with a time-to-maturity of ten years.…”

“…In both cases, interest rate risk is measured as an asset's sensitivity to a single interest rate factor. Most recent contributions using variants of this approach include Madura and Zarruk (1995), Oertmann et al (2000), and Elyasiani and Mansur (2003) who compare the interest rate sensitivity of financial institutions in an international context; Faff and Howard (1999) for Australia; Staikouras (1998, 2000) for the UK; Mansur (1998, 2004), Tai (2000), Fraser et al (2002), and Brewer et al (2007) for the US, and, most relevant in the context of this study, Bartram (2002), Bessler and Opfer (2005), and Scholz et al (2008) who provide an investigation of German financial and non-financial corporations.…”

Interest Rate Risk Rewards in Stock Returns of Financial Corporations: Evidence from Germany

“…Although some authors find no or at the most weak evidence of this interest rate sensitivity and assume this finding to result in part from a prevalent use of interest rate risk management tools (see, e.g., Allen and Jagtiani, 1997, and Maher, 1997), a significant interest rate sensitivity has been mostly confirmed in other recent empirical studies. These include Madura and Zarruk (1995), Oertmann et al (2000), and Bessler and Murtagh (2004), who compare the interest rate sensitivity of financial institutions in an international context; Faff and Howard (1999) for Australia; Dinenis and Staikouras (1998, 2000) for the UK; Elyasiani and Mansur (1998, 2004), Tai (2000), Fraser et al (2002), and Brewer et al (2007) for the USA, and, for the German stock market also investigated in this paper, Bartram (2002), Bessler and Opfer (2003, 2005), Behr and Sebastian (2006), and Scholz et al (2008).…”