Abstract

Interest Rate Risk of Banks and Non-Banks:
Evidence from Germany and the United States

W. Bessler, J.P. Murtagh

Universität Gießen

In this paper we explore the sensitivity of monthly returns to changes in interest rates for eight industry-level financial and non-financial indexes in Germany and the United States. Our results indicate that financial firms are interest rate sensitivity. However, some non-financial firms exhibit interest rate sensitivity as well. Interestingly, the size and sign of the coefficients are opposite between the financial and non-financial indexes, lending further support to the notion that the financial industries are special in their reaction to interest rate changes.