Interest rate risk in the euro area

Peter Hoffmann

Research Bulletin, 2019, vol. 55

Abstract: Challenging conventional wisdom, recent research shows that, collectively, euro area banks have limited exposure to interest rate risk, but that their individual exposures vary significantly from institution to institution. Differences in interest-rate setting conventions for loan contracts, especially mortgages, across euro area countries have been shown to be an important driver of this heterogeneity. This heterogeneity remains pronounced even after taking into account hedging activity in derivatives markets, suggesting that monetary policy may be transmitted through different channels in different parts of the euro area. JEL Classification: G21, E43, E44

Keywords: Banking; Hedging; Interest Rate Risk; Risk Management (search for similar items in EconPapers)
Date: 2019-02
Note: 1137913
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