... Research & Statistics and Monetary A airsFederal Reserve Board, Washington, D.C.Interest Rate Risk and Bank Equity ValuationsWilliam B. English, Skander J. Van den Heuvel, and EgonZakrajsek2012-26NOTE: ... the failure o f the standard CAPM to its sta tic nature; see, forexample, Hansen and Richard [1987], Jagannathan and Wang [1996], and Gomes et al. [2003]. More recently,Avramov and Chordia [2006] ... repricing/maturity gap to increase byone standard deviation (1.7 years). In contrast, greater dependence on savings or demand and transaction deposits is associatedwith a bigger market beta, implying...