Interest Rate Sensitivity of Bank Stock Returns in a Universal Banking System
研究了德国全能银行和美国货币中心银行股票收益对利率变化的敏感性，发现两国银行均显著暴露于利率风险，质疑了允许银行持有商业企业股份能降低利率风险的观点。
The EEC banking directive has made universal banking the dominant institutional form in Europe, while in the United States universal banks are still ruled out. In this paper we explore the sensitivity of stock returns for German universal banks and U.S. money center banks to innovation in interest rates. A two factor GARCH market model is applied and our results indicate that banks in both countries are significantly exposed to interest rate risk. This finding is in contrast with previous work on interest rate sensitivity for hypothetical U.S. universal banks which concluded that the banks interest rate risk could be reduced if the separation of banking and commerce was eliminated. Our result suggests that it is doubtful that allowing banks to own a reasonable percentage of total assets in commercial fums will lower their exposure to interest rate changes.