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Interest Rate Risk at Commercial Banks: An Empirical Investigation

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  • Mitchell, Karlyn
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    Abstract

    This paper develops and estimates models to measure banks' exposure to interest rate risk. The models are estimated for the 1976-83 period to determine whether banks' exposure to interest rate risk increased as a result of increased interest rate volatility and financial deregulation. The major findings are that banks changed their risk management strategies after 1979 and that total exposure to interest rate risk remained quite small. Copyright 1989 by MIT Press.

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    Bibliographic Info

    Article provided by Eastern Finance Association in its journal The Financial Review.

    Volume (Year): 24 (1989)
    Issue (Month): 3 (August)
    Pages: 431-55

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    Handle: RePEc:bla:finrev:v:24:y:1989:i:3:p:431-55

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    Web page: http://www.easternfinance.org/
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    Web: http://www.blackwellpublishing.com/subs.asp?ref=0732-8516

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    Cited by:
    1. Chamberlain, Sandra & Howe, John S. & Popper, Helen, 1997. "The exchange rate exposure of U.S. and Japanese banking institutions," Journal of Banking & Finance, Elsevier, vol. 21(6), pages 871-892, June.
    2. Sohnke M. Bartram, 2001. "The Interest Rate Exposure of Nonfinancial Corporations," Finance 0112002, EconWPA, revised 27 Dec 2001.
    3. Susan Ryan & Andrew C. Worthington, 2002. "Time-Varying Market, Interest Rate and Exchange Rate Risk in Australian Bank Portfolio Stock Returns: A Garch-M Approach," School of Economics and Finance Discussion Papers and Working Papers Series 112, School of Economics and Finance, Queensland University of Technology.
    4. Eric Wong & Jim Wong & Phyllis Leung, 2008. "The Foreign Exchange Exposure of Chinese Banks," Working Papers 0807, Hong Kong Monetary Authority.

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