The effects of interest rate changes on bank stock returns and profitability

摘要: We empirically investigate the sensitivity of Canadian commercial bank stock returns and profitability to changes in interest rates. find a statistically significant negative relationship between rates over period 1995-2006, while is not past five years. Furthermore, banks' appears be significantly affected by our sample period. Our results suggest that Banks are relatively well immunized against rate risk. This may due an appropriate matching duration assets liabilities (on balance sheet risk management) andlor efficient use derivatives (off management).