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Risikoexposure deutscher Universal- und Hypothekenbanken gegenüber makroökonomischen Schocks
Behr, Patrick | Sebastian, Steffen
Credit and Capital Markets – Kredit und Kapital, Vol. 39 (2006), Iss. 4 : pp. 513–536
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Patrick Behr, Frankfurt/M.
Steffen Sebastian, Regensburg
References
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Abstract
Exposure of Germany Universal and Mortgage Banks to Macroeconomic Shock Risks
The present study analyses the implications of six macroeconomic variables for risk premiums relating to bank shares in Germany between February 1973 and December 2003. Separate analyses of universal and of mortgage banks deserve to be given special importance. The results of the study confirm the initial hypothesis that the returns on universal-bank shares are subject to influencing factors that are different from those valid for mortgage bank shares. Moreover, employing a dynamic regression model has also helped identify substantial fluctuations of the influence of macroeconomic factors over time. In this context, almost all variations show that the variance of risk premiums on account of macroeconomic factors can be explained insofar as even market factor could, when included, not be expected to improve the model.