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Survey Data and the Interest Rate Sensitivity of US Bank Stock Returns
Author(s) -
Benink H. A.,
Wolff C. C. P.
Publication year - 2000
Publication title -
economic notes
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.274
H-Index - 19
eISSN - 1468-0300
pISSN - 0391-5026
DOI - 10.1111/1468-0300.00030
Subject(s) - interest rate , econometrics , stock (firearms) , economics , autoregressive integrated moving average , empirical evidence , financial economics , monetary economics , time series , statistics , mathematics , engineering , mechanical engineering , philosophy , epistemology
In this paper, we provide empirical evidence on the interest rate sensitivity of the stock returns of the twenty largest US bank holding companies. The main contribution of the paper is the use of survey data to model the unexpected interest rate variable, which is an alternative approach to the existing literature. We find evidence of significant negative interest rate sensitivity during the early 1980s, and evidence of declining significance in the late 1980s and early 1990s. This result is also obtained when using the forecast errors of ARIMA processes to model the unexpected movement in the interest rate.