Re-examination of interest rate sensitivity of commercial bank stock returns using a random coefficient model
作者： Simon H. Kwan
DOI: 10.1007/BF00127084
关键词:
摘要: This article develops and tests a random coefficient two-index model for commercial bank stock returns which controls the time-varying interest rate sensitivity caused by bank's changing maturity profile. Using sample of 51 actively traded banks, seemingly unrelated regression results provide evidence that are significantly sensitive. The effect changes on is found to be positively related mismatch between assets liabilities, when proxy compatible each other.
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