Determinants of interest rate exposure of Spanish banking industry

Interest rate risk represents one of the key forms of financial risk faced by banks. It has given rise to an extensive body of research, mainly focused on the estimation of sensitivity of bank stock returns to changes in interest rates. However, the analysis of the sources of bank interest rate risk has received much less attention in the literature. The aim of this paper is to empirically investigate the main determinants of the interest rate exposure of Spanish commercial banks by using panel data methodology. The results indicate that interest rate exposure is systematically related to some bank-specific characteristics. In particular, a significant positive association is found between bank size, derivative activities, and proportion of loans to total assets and banks¿ interest rate exposure. In contrast, the proportion of deposits to total assets is significantly and negatively related to the level of bank¿s interest rate risk. El riesgo de interés representa una de las principales fuentes de riesgo financiero a las que se enfrentan las entidades bancarias. Este riesgo ha dado lugar a un extenso cuerpo de investigación, centrado básicamente en la estimación de la sensibilidad del rendimiento de las acciones bancarias ante las variaciones de los tipos de interés. Sin embargo, el análisis de los determinantes del riesgo de interés ha recibido mucha menos atención en la literatura.El objetivo de este trabajo es investigar empíricamente los principales determinantes de la exposición al riesgo de interés de las entidades bancarias españolas utilizando metodología de datos de panel. Los resultados obtenidos indican que la exposición al riesgo de interés se encuentra sistemáticamente relacionada con varias características bancarias. En particular, se ha constatado una significativa asociación positiva entre el tamaño de la entidad, el volumen de operaciones con activos derivados y el ratio de préstamos sobre activos bancarios totales y el grado de exposición al riesgo de interés. Por el contrario, se ha observado una relación negativa significativa entre el ratio de depósitos sobre activos bancarios totales y el nivel del riesgo de interés de las entidades bancarias.riesgo de interés, entidades bancarias, acciones, características bancarias. interest rate risk, banking firms, stocks, balance sheet characteristics.

Interest rate exposure of Spanish banks: A nonparametric analysis

Interest rate risk is one of the major financial risks faced by banks due to the very nature of the banking business. The most common approach in the literature has been to estimate the impact of interest rate risk on banks using a simple linear regression model. However, the relationship between interest rate changes and bank stock returns does not need to be exclusively linear. This article provides a comprehensive analysis of the interest rate exposure of the Spanish banking industry employing both parametric and non parametric estimation methods. Its main contribution is to use, for the first time in the context of banks’ interest rate risk, a nonparametric regression technique that avoids the assumption of a specific functional form. One the one hand, it is found that the Spanish banking sector exhibits a remarkable degree of interest rate exposure, although the impact of interest rate changes on bank stock returns has significantly declined following the introduction of the euro. Further, a pattern of positive exposure emerges during the post-euro period. On the other hand, the results corresponding to the nonparametric model support the expansion of the conventional linear model in an attempt to gain a greater insight into the actual degree of exposure

How credit ratings affect sovereign credit risk: cross-border evidence in Latin American emerging markets

This article builds upon previous literature by providing a better understanding of how contagion changes in bordering sovereign CDS emerging markets resulting from credit rating events. To that end, we follow the novel GVAR methodology using data from six Latin American emerging countries during an extensive sample period from 2004 to 2014. Our findings showevidence for the existence of significant and asymmetric cross-border effects. In particular, a competition effect is observed before the event occurs, indicating that non-event countries suffer (benefit) fromupgrades (downgrades) in Brazil,Mexico and Chile (in Argentina and Brazil). In contrast, an imitation effect is observed after rating upgrades in Chile, to the benefit of bordering non-event countries

Do sovereign ratings cause instability in cross-border emerging CDS markets?

We analyse the cross-border transmission effect of credit ratings on sovereign CDSs covering a broad sample of emerging countries during the period 2004 to 2015. This study differentiates between the spillover and competition effects between and within geographical areas of emerging countries. We find substantial evidence of cross-border effects with asymmetric responses to upgrades and downgrades. The market reaction differs across regions, reflecting how the international and local impact of rating events are due to different types of effects. At the international portfolio level, the competitive effect is dominant over the spillover effect. Negative events in Asia benefit Africa (which is also negatively affected by upgrades in Asia) and Middle East, the latter transmitting in turn to Asia with the same competitive effect. However, some spillover effects are also found both at the portfolio and intra-portfolio levels. The ones associated with downgrades are especially sensitive. In these cases, we identify the particular emerging economies that contribute to an increase in financial instability and to regional spillover effects

Is there a connection between sovereign CDS spreads and the stock market? Evidence for European and US returns and volatilities

This study complements the current literature, providing a thorough investigation of the lead–lag connection between stock indices and sovereign credit default swap (CDS) returns for 14 European countries and the US over the period 2004–2016. We use a rolling VAR framework that enables us to analyse the connection process over time covering both crisis and non-crisis periods. In addition, we analyse the relationship between stock market volatility and CDS returns. We find that the connection between the credit and equity markets does exist and that it is time variable and seems to be related to financial crises. We also observe that stock market returns anticipate sovereign CDS returns, and sovereign CDSs anticipate the conditional volatility of equity returns, closing a connectedness circle between markets. Contribution percentages in terms of returns are more intense in the US than in Europe and the opposite result is found with respect to volatilities. Within Europe, a greater impact in Eurozone countries compared to non-Eurozone countries is observed. Finally, an additional analysis is also carried out for the financial sector, obtaining results largely consistent with those found using sovereign data.The authors acknowledge financial support from the Fundación Ramón Areces and PGC2018-095072-B-I00. In addition, Laura Ballester acknowledges financial support from the Spanish Ministry of Science, Innovation and Universities and FEDER project PGC2018-093645-B-I00 and Ana González-Urteaga acknowledges financial support from the Ministry of Economics and Competitiveness through grant ECO2016-77631-R (AEI/FEDER.UE), from the Ministry of Science and Innovation through grant PID2019-104304GB-I00/AEI/10.13039/501100011033, and a UPNA Research Grant for Young Researchers, Edition 2018

An integrated approach for reconstructing a surface model of the proximal femur from sparse input data and a multi-resolution point distribution model: an in vitro study

Background: Accurate reconstruction of a patient-specific surface model of the proximal femur from preoperatively or intraoperatively available sparse data plays an important role in planning and supporting various computer-assisted surgical procedures. Methods: In this paper, we present an integrated approach using a multi-resolution point distribution model (MR-PDM) to reconstruct a patient-specific surface model of the proximal femur from sparse input data, which may consist of sparse point data or a limited number of calibrated X-ray images. Depending on the modality of the input data, our approach chooses different PDMs. When 3D sparse points are used, which may be obtained intraoperatively via a pointer-based digitization or from a calibrated ultrasound, a fine level point distribution model (FL-PDM) is used in the reconstruction process. In contrast, when calibrated X-ray images are used, which may be obtained preoperatively or intraoperatively, a coarse level point distribution model (CL-PDM) will be used. Results: The present approach was verified on 31 femurs. Three different types of input data, i.e., sparse points, calibrated fluoroscopic images, and calibrated X-ray radiographs, were used in our experiments to reconstruct a surface model of the associated bone. Our experimental results demonstrate promising accuracy of the present approach. Conclusions: A multi-resolution point distribution model facilitate the reconstruction of a patient-specific surface model of the proximal femur from sparse input dat

Bank fragility and contagion: Evidence from the bank CDS market

Understanding how contagion works among financial institutions is a top priority for regulators and policy makers who aim to foster financial stability and to prevent financial crises. Using bank credit default swap (CDS) data, we provide a framework for the evaluation of contagion among banks in different countries and regions during a period of prolonged financial distress. We measure contagion in terms of return spillovers, following a Generalized VAR (GVAR) approach. In addition, we propose an innovative framework to distinguish between two types of contagion: systematic (linked to global factors), and idiosyncratic (linked to bank specific factors). We find evidence of both types of contagion, although the spillover dynamics changed over time. Our measure of systematic contagion is always greater than the idiosyncratic component, thus highlighting the importance of common factors in the propagation of risk spillovers. This indicates that international linkages among banking markets are central to the transmission of shocks

El rol de la clase social, la educación y el desempleo parentales en el desarrollo cognitivo infantil

Objective: Assessing the association between socioeconomic gradient and cognitive development among children of a Spanish birth cohort aged 5-6 years from a gender perspective. Method: Cognitive development was assessed on 525 children aged 5-6 years in the INMA-Valencia cohort, with the Global Cognitive Score (GCS) from McCarthy Scales of Children’s Abilities. Information on social class, education level and employment was collected for both parents in addition to other sociodemographic factors, parental, family and child characteristics. The relationship between maternal and paternal socioeconomic gradient and cognitive development was assessed by linear regressions and comparing the variance explained by each indicator measured in the mother and father. Results: Maternal socioeconomic gradient indicators explained more variance on GCS than paternal. Maternal education and paternal social class had an important individual effect that stayed after adjusting by other parental, child and family determinants. In the multivariable analysis, maternal education, age and intelligence, paternal social class and the child’s age and sex were significantly associated with cognitive development. Conclusions: Diverse socioeconomic gradient factors have an important influence on cognitive development, maternal education being the strongest determinant. Policies should be implemented to mitigate the negative effects of this gradient on child development.Objetivo: Evaluar la asociación del gradiente socioeconómico y el desarrollo cognitivo en ni˜nos y ni˜nas de una cohorte espa˜nola a los 5-6 a˜nos de edad desde una perspectiva de género. Método: Se evaluó el desarrollo cognitivo en 525 ni˜nos/as de 5-6 a˜nos de la cohorte INMA-Valencia, mediante la Puntuación Global Cognitiva (PGC) de las Escalas McCarthy para ni˜nos y ni˜nas. Se recogió información de ambos progenitores sobre clase social, nivel de estudios y empleo, además de otros factores sociodemográficos, características parentales, de la familia y del ni˜no o la ni˜na. La relación entre el gradiente socioeconómico materno y paterno y el desarrollo cognitivo se evaluó mediante modelos de regresión lineal y comparando la varianza explicada por cada uno de los indicadores medidos en la madre y en el padre. Resultados: Los indicadores de gradiente socioeconómico de la madre explicaron más varianza del índice de PGC que los del padre. La educación materna y la clase social paterna tuvieron un importante efecto individual, que se mantuvo tras ajustar por otros determinantes de los progenitores, del ni˜no o de la ni˜na, y del entorno familiar. En el análisis multivariante, la educación, la edad y la inteligencia maternas, la clase social paterna, y la edad y el sexo del infante se asociaron significativamente con el desarrollo cognitivo. Conclusiones: Distintos factores del gradiente socioeconómico tienen influencia en el desarrollo cognitivo, siendo la educación materna el determinante más fuerte. Deberían implementarse políticas para paliar los efectos negativos de este gradiente en el desarrollo infantil

Valores de éxito y emprendimiento

El entorno mundial de crisis económica y financiera en el que nos encontramos desde hace años ha dificultado la incorporación de jóvenes al mercado laboral, si a esto le sumamos el crecimiento de la tasa de paro y las cualificaciones exigidas por las empresas en el primer empleo las opciones de conseguir un puesto de trabajo se vislumbran, a priori, complicadas. Ante estos hechos muchos jóvenes, movidos por la desesperación, terminan buscando una oportunidad de trabajo fuera de nuestras fronteras. Alternativas como el emprendimiento o el autoempleo podrían ser una opción para la juventud de optar al mercado laboral. Ante el paradigma actual de la duda que pueda plantearse cualquier persona joven sobre la idea de emprender o no, el conocer que valores que pueden determinar el éxito de dicho emprendimiento podría ser un vehículo que le facilitase la consecución de los objetivos marcados. El presente trabajo busca conocer que valores han determinado el éxito de personas relevantes en su profesión y cuáles de esos valores coinciden con las características del emprendedor.The global environment of economic and financial crisis in which we find for years has hampered the incorporation of youth into the labor market. If we add the growth of the unemployment rate and the qualifications required by companies in the first job the chances of getting a job become complicated. Given these facts many young people out of desperation they end up looking for a job opportunity outside our borders. Alternatives such as entrepreneurship or self-employment may be an option for young people to get into the labor market as long as they were accompanied by support from governments, administrations, organizations and institutions to help them on the path of entrepreneurship. Given the current paradigm of doubt that may arise any young person on the idea of undertaking or not, knowing that values that can determine the success of this venture could be a vehicle that will facilitate the achievement of the objectives. The present work seeks to understand which values have determined the success of relevant people in your profession and which of these values match the characteristics of the entrepreneur.peerReviewe