The impact of interest rate and exchange ratevolatility on banks' stock returns and volatility:evidence from Italy
Başlık çevirisi mevcut değil.
- Tez No: 727168
- Danışmanlar: DR. ROCCO ROBERTO MOSCONI
- Tez Türü: Yüksek Lisans
- Konular: Maliye, Ekonomi, Endüstri ve Endüstri Mühendisliği, Finance, Economics, Industrial and Industrial Engineering
- Anahtar Kelimeler: Bank stock returns, Exchange rate risk, Market risk, Interest rate risk, Volatility, ARCH, GARCH, OLS
- Yıl: 2018
- Dil: İngilizce
- Üniversite: Polıtecnıco Dı Mılano
- Enstitü: Yurtdışı Enstitü
- Ana Bilim Dalı: Belirtilmemiş.
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: Belirtilmemiş.
Özet
Özet yok.
Özet (Çeviri)
Grounding on the paper by Kasman, Vardar and Tunc (2011), the purpose of this study is to investigate the impact of interest rate and exchange rate changes and volatility on FTSE Italia All Share Banks Index and four Italian banks' stocks returns using the OLS and GARCH models. The results present that interest rate changes have a negative and significant impact on the conditional bank stock returns. An increase on interest rate may negatively affect the cost of funding, the net interest margin of the securities portfolio and loan portfolio. In contrast, exchange rate changes have a positive and significant effect on the conditional bank stock returns. An increase in exchange rate (stronger local currency) may affect bank profitability in a positive way if the bank has a short position. Besides the results show that interest rate and exchange rate volatility have a strong positive impact on the conditional bank stock return volatility.
Benzer Tezler
- Türkiye Cumhuriyet Merkez Bankasının faiz kararlarının döviz kuruna etkisi: Ekonometrik bir analiz
The impact of interest rates on the exchange rate of the Central Bank of the Republic of Turkey: An econometric analysis
DUYGU YÜCE
- Döviz kuru ve oynaklığının ticari bankaların performansı üzerine etkisi: Türkiye üzerine bir uygulama
The effect of exchange rate and volatility on the of performance commercial banks: An application on Turkey
NİGAR ALEV
- Merkez Bankası ve dalgalı kur politikası: Türkiye örneği
Central Bank of the republic of Turkey and floating exchange rate policy: The case of Turkey
ARZU SEÇİL DİZMAN
- Parasal aktarım mekanizması faiz kanalının etkinliği
Monetary transmission: The effectiveness of interest rate channel
FATMANUR ARABACI
- Döviz kurunu belirleyen faktörler ve kur riski
Determination of foreign exchange rates and foreign exchange risk
MEHMET COŞKUN ÖZAVNİK
