Dynamic gap transformations: Are banks asset – transformers or brokers? or both?

Volume: 46, Issue: 1, Pages: 36 - 52
Published: Feb 1, 2006
Abstract
We study the sensitivity of bank stock returns to interest rates, by extending existing tests in two important directions. We incorporate dynamic gap adjustments and extend the traditional duration gap measure to new gap measures based on the general equilibrium term structure model developed by Longstaff and Schwartz [Longstaff, F. A., & Schwartz, E. S. (1992). Interest-rate volatility and the term structure: A two-factor general equilibrium...
Paper Details
Title
Dynamic gap transformations: Are banks asset – transformers or brokers? or both?
Published Date
Feb 1, 2006
Volume
46
Issue
1
Pages
36 - 52
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