Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve

We investigate the interest rate risk exposures of euro area banks during times crises and very low rates. First, we assess sensitivities banks' stock prices to changes in level, slope curvature yield curve using Bayesian DCC M-GARCH model. Our findings reveal that price change over time that, on average, benefit from increases curve. Second, observe with higher capital ratios, more customer lending less deposit financing are particularly sensitive movements.