Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve
研究了危机和低利率时期欧元区银行股价对收益率曲线水平、斜率和曲率变动的敏感性，发现敏感性随时间变化且银行平均受益于曲线上升，资本充足、贷款多、存款少的银行更敏感。
Abstract We investigate the interest rate risk exposures of euro area banks during times of crises and very low interest rates. First, we assess sensitivities of banks' stock prices to changes in the level, slope and curvature of the yield curve using the Bayesian DCC M‐GARCH model. Our findings reveal that stock price sensitivities change over time and that, on average, banks benefit from increases in the level, slope and curvature of the yield curve. Second, we observe that banks with higher capital ratios, more customer lending and less deposit financing are particularly sensitive to interest rate movements.