Mariia Markovych

University of Freiburg

Fahnenbergplatz

Freiburg, D-79085

Germany

  • University of Freiburg

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Euro Area Banks' Interest Rate Risk Exposure to Level, Slope and Curvature Swings in the Yield Curve

Bundesbank Discussion Paper No. 24/2017
Number of pages: 51 Posted: 07 Sep 2017
Daniel Foos, Eva Lütkebohmert, Mariia Markovych and Kamil Pliszka
Deutsche Bundesbank, University of Freiburg, Institute for Economic Research, University of Freiburg and Deutsche Bundesbank
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Abstract:

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Bayesian DCC M-GARCH model, interest rate risk, maturity transformation, swings in the yield curve