Interest Rate Risk and Bank Equity Valuations
Interest Rate Risk and Bank Equity Valuations
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DOI：
10.2139/ssrn.2055292
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发表时间：
2012-05
期刊：
影响因子：
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通讯作者：
William B. English;Skander J. Van den Heuvel;Egon Zakraǰsek
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文献类型：
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作者：
William B. English;Skander J. Van den Heuvel;Egon Zakraǰsek
由于它们参与了期限转换，收益率曲线的陡峭化应该会在其他条件相同的情况下提高银行的盈利能力。我们重新审视这一传统的智慧，估计银行日内股票收益率的反应，引起的利率外生波动的货币政策公告。我们构建了一个新的衡量银行资产和负债的重新定价时间或到期日之间的不匹配，并分析股票收益率的反应如何随着这种不匹配的大小和其他银行特征，包括利率衍生品的使用而变化。我们的研究结果表明，银行股票价格大幅下跌后，意外的利率水平上升或收益率曲线陡峭。然而，一个大的期限缺口，显着减弱了回报率的斜坡惊喜的负面反应，结果与银行作为期限转换器的作用一致。严重依赖核心存款的银行股价下跌更多是为了应对政策引发的利率意外，这种反应主要反映了随之而来的存款脱媒。使用收入和资产负债表数据的结果突出了数量调整的重要性-以及息差-以了解银行股权价值对利率意外的反应。
Because they engage in maturity transformation, a steepening of the yield curve should, all else equal, boost bank profitability. We re-examine this conventional wisdom by estimating the reaction of bank intraday stock returns to exogenous fluctuations in interest rates induced by monetary policy announcements. We construct a new measure of the mismatch between the repricing time or maturity of bank assets and liabilities and analyze how the reaction of stock returns varies with the size of this mismatch and other bank characteristics, including the usage of interest rate derivatives. Our results indicate that bank stock prices decline substantially following an unanticipated increase in the level of interest rates or a steepening of the yield curve. A large maturity gap, however, significantly attenuates the negative reaction of returns to a slope surprise, a result consistent with the role of banks as maturity transformers. Share prices of banks that rely heavily on core deposits decline more in response to policy-induced interest rate surprises, a reaction that primarily reflects ensuing deposit disintermediation. Results using income and balance sheet data highlight the importance of adjustments in quantities--as well as interest margins--for understanding the reaction of bank equity values to interest rate surprises.