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Risikoexposure deutscher Universal- und Hypothekenbanken gegenüber makroökonomischen Schocks

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Behr, P., Sebastian, S. Risikoexposure deutscher Universal- und Hypothekenbanken gegenüber makroökonomischen Schocks. Credit and Capital Markets – Kredit und Kapital, 39(4), 513-536. https://doi.org/10.3790/ccm.39.4.513
Behr, Patrick and Sebastian, Steffen "Risikoexposure deutscher Universal- und Hypothekenbanken gegenüber makroökonomischen Schocks" Credit and Capital Markets – Kredit und Kapital 39.4, 2006, 513-536. https://doi.org/10.3790/ccm.39.4.513
Behr, Patrick/Sebastian, Steffen (2006): Risikoexposure deutscher Universal- und Hypothekenbanken gegenüber makroökonomischen Schocks, in: Credit and Capital Markets – Kredit und Kapital, vol. 39, iss. 4, 513-536, [online] https://doi.org/10.3790/ccm.39.4.513

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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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Article Details

Author Details

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.