This paper examines the relationship between the World Interest Rate (WIR) and the Stoxx 600 Banks index (SX7P) using a quantile approach and cross-quantilogram. The results reveal that the Stoxx 600 Banks index strongly predicts the WIR when its index is low, and the WIR significantly influences the SX7P when it is high. The study demonstrates that during a global crisis, the Stoxx 600 Banks index receives shocks, while the WIR acts as a transmitter. The study provides valuable insights into the cyclical pattern and complex relationship between WIR and SX7P, benefiting policymakers, investors, and financial analysts.
This article is the fourth publication of our research work on asset and liability management. The study examines how fluctuations in the performance of European banks and global interest rates mutually influence each other under different economic conditions, providing valuable information for asset and liability management in a changing financial environment..
A pleasure to work with this team