Resumen de Determinants of Interest Rate Exposure of Spanish Banking Industry
Laura Ballester, Román Ferrer Lapeña, Cristóbal González Baixauli, Gloria M. Soto Pacheco
Interest rate risk represents one of the key forms of financial risk faced by banks. It has given rise to an extensive body of research, mainly focused on the estimation of sensitivity of bank stock returns to changes in interest rates. However, the analysis of the sources of bank interest rate risk has received much less attention in the literature. The aim of this paper is to empirically investigate the main determinants of the interest rate exposure of Spanish commercial banks by using panel data methodology. The results indicate that interest rate exposure is systematically related to some bankspecific characteristics. In particular, a significant positive association is found between bank size, derivative activities, and proportion of loans to total assets and banks' interest rate exposure. In contrast, the proportion of deposits to total assets is significantly and negatively related to the level of bank's interest rate risk.
