The Impact of Exchange Rates and Interest Rates on Bank Stock Returns: Evidence from U.S. Banks
This paper examines the mean, volatility spillovers and response asymmetries between short-term and long-term interest rates, exchange rates and portfolios of money center, large and medium-sized banks in the U.S. I use the multivariate version of Nelson’s (1991) Exponential Generalized Autoregressi...
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| Format: | Article |
| Language: | English |
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Sciendo
2016-04-01
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| Series: | Studies in Business and Economics |
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| Online Access: | https://doi.org/10.1515/sbe-2016-0011 |