<abstract xmlns="http://www.w3.org/1999/xhtml"><p>This paper examines the mean, volatility spillovers and response asymmetries between short-term and long-term interest rates, exchange rates and portfolios of money center, large and medium-sized banks in the U.S. I use the multivariate version of Nelson’s (1991) Exponential Generalized Autoregressive Conditionally Heteroscedastic (EGARCH) model. Results indicate mean and volatility spillovers from short-term interest rates and exchange rates and long-term interest rates and exchange rates to three bank portfolios. Results also show response asymmetries from short-term interest rates and exchange rates and long-term interest rates and exchange rates to all the three bank portfolios. These findings have important implications for bankers in terms of devising different hedging strategies against interest rates and exchange rate risks.</p></abstract>

This paper examines the mean, volatility spillovers and response asymmetries between short-term and long-term interest rates, exchange rates and portfolios of money center, large and medium-sized banks in the U.S. I use the multivariate version of Nelson’s (1991) Exponential Generalized Autoregressive Conditionally Heteroscedastic (EGARCH) model. Results indicate mean and volatility spillovers from short-term interest rates and exchange rates and long-term interest rates and exchange rates to three bank portfolios. Results also show response asymmetries from short-term interest rates and exchange rates and long-term interest rates and exchange rates to all the three bank portfolios. These findings have important implications for bankers in terms of devising different hedging strategies against interest rates and exchange rate risks.

The Impact of Exchange Rates and Interest Rates on Bank Stock Returns: Evidence from U.S. Banks

College of Business Administration, Texas A&M University, Kingsville, India

Studies in Business and Economics

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

This paper examines the mean, volatility spillovers and response asymmetries between short-term and long-term interest rates, exchange rates and portfolios of...

The Impact of Exchange Rates and Interest Rates on Bank Stock Returns: Evidence from U.S. Banks

Publié en ligne: 29 juin 2016

Pages: 124 - 139

DOI: https://doi.org/10.1515/sbe-2016-0011

Mots clés
Bank stock returns, EGARCH, Interest rates, Exchange rates

© 2016 Priti Verma, published by De Gruyter Open

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

The Impact of Exchange Rates and Interest Rates on Bank Stock Returns: Evidence from U.S. Banks

Publié en ligne: 29 juin 2016

Pages: 124 - 139

DOI: https://doi.org/10.1515/sbe-2016-0011

Mots clésBank stock returns, EGARCH, Interest rates, Exchange rates

© 2016 Priti Verma, published by De Gruyter Open

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Mots clés
Bank stock returns, EGARCH, Interest rates, Exchange rates