摘要：This paper examines the mean, volatility spillovers and response asymmetries betweenshort-term and long-term interest rates, exchange rates and portfolios of money center, largeand medium-sized banks in the U.S. I use the multivariate version of Nelson’s (1991)Exponential Generalized Autoregressive Conditionally Heteroscedastic (EGARCH) model.Results indicate mean and volatility spillovers from short-term interest rates and exchange ratesand long-term interest rates and exchange rates to three bank portfolios. Results also showresponse asymmetries from short-term interest rates and exchange rates and long-term interestrates and exchange rates to all the three bank portfolios. These findings have importantimplications for bankers in terms of devising different hedging strategies against interest ratesand exchange rate risks.
