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Rising Interest Rate Risk at US Banks

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  • William Bednar
  • Mahmoud Elamin

Abstract

Average interest rate risk in the banking system has been increasing since the end of the financial crisis and is almost back to its pre-recession level. But the increase has not occurred uniformly at large and small banks. At big banks, risk, while increasing, hasn?t yet reached its pre-recession high. It?s in small banks where we see a steep rise in interest rate risk. The big banks? exposure is being driven mainly by their liabilities. At small banks, it is coming from both their assets and liabilities.

Suggested Citation

  • William Bednar & Mahmoud Elamin, 2014. "Rising Interest Rate Risk at US Banks," Economic Commentary, Federal Reserve Bank of Cleveland, issue June.
    • Handle: RePEc:fip:fedcec:00013
    DOI: 10.26509/frbc-ec-201412
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    References listed on IDEAS

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    1. James A. Embersit & James V. Houpt, 1991. "A method for evaluating interest rate risk in U.S. commercial banks," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Aug, pages 625-637.
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    Cited by:

    1. Josef Jílek, 2016. "‘Fair Value’ of Core Deposits in the EU version of IFRS: A Critical Review," Australian Accounting Review, CPA Australia, vol. 26(3), pages 312-325, September.
    2. Molyneux, Philip & Pancotto, Livia & Reghezza, Alessio & Rodriguez d'Acri, Costanza, 2022. "Interest rate risk and monetary policy normalisation in the euro area," Journal of International Money and Finance, Elsevier, vol. 124(C).
    3. William C Handorf, 2016. "CAMEL to CAMELS: The risk of sensitivity," Journal of Banking Regulation, Palgrave Macmillan, vol. 17(4), pages 273-287, November.
    4. Oshima, Katsuhiro, 2020. "Search for yield and business cycles," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    5. Blickle, Kristian, 2022. "Local banks, credit supply, and house prices," Journal of Financial Economics, Elsevier, vol. 143(2), pages 876-896.
    6. Guillaume Vuillemey, 2019. "Bank Interest Rate Risk Management," Management Science, INFORMS, vol. 65(12), pages 5933-5956, December.

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