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The value of using interest rate derivatives to manage risk of U.S. banking organizations

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Author Info

  • Elijah Brewer, III
  • William E. Jackson, III
  • James T. Moser

Abstract

This article examines the major differences in the accounting and stock market characteristics of banking organizations that use derivatives relative to those that do not.

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File URL: http://www.chicagofed.org/digital_assets/publications/economic_perspectives/2001/3qepart4.pdf
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Bibliographic Info

Article provided by Federal Reserve Bank of Chicago in its journal Economic Perspectives.

Volume (Year): (2001)
Issue (Month): Q III ()
Pages: 49-66

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Handle: RePEc:fip:fedhep:y:2001:i:qiii:p:49-66:n:v.25no.3

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Related research

Keywords: Bank holding companies ; Interest rates ; Stock market ; Derivative securities;

References

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  1. Charles W. Calomiris & Berry Wilson, 1996. "Bank capital and portfolio management: the 1930s capital crunch and scramble to shed risk," Proceedings 521, Federal Reserve Bank of Chicago.
  2. Kane, Edward J & Unal, Haluk, 1990. " Modeling Structural and Temporal Variation in the Market's Valuation of Banking Firms," Journal of Finance, American Finance Association, vol. 45(1), pages 113-36, March.
  3. Lloyd, William P. & Shick, Richard A., 1977. "A Test of Stone's Two-Index Model of Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(03), pages 363-376, September.
  4. Eric S. Rosengren, 1990. "The case for junk bonds," New England Economic Review, Federal Reserve Bank of Boston, issue May, pages 40-49.
  5. Brewer, Elijah III, 1989. "Relationship between bank holding company risk and nonbank activity," Journal of Economics and Business, Elsevier, vol. 41(4), pages 337-353, November.
  6. Elizabeth S. Laderman, 1993. "Determinants of bank versus nonbank competitiveness in short-term business lending," Economic Review, Federal Reserve Bank of San Francisco, pages 17-32.
  7. Ben S. Bernanke & Cara S. Lown, 1991. "The Credit Crunch," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 22(2), pages 205-248.
  8. Gary Gorton & Richard Rosen, 1995. "Banks and derivatives," Working Papers 95-12, Federal Reserve Bank of Philadelphia.
    • Gary Gorton & Richard Rosen, 1995. "Banks and Derivatives," NBER Chapters, in: NBER Macroeconomics Annual 1995, Volume 10, pages 299-349 National Bureau of Economic Research, Inc.
  9. Elijah Brewer, III & Bernadette A. Minton & James T. Moser, 1996. "Interest-rate derivatives and bank lending," Working Paper Series, Macroeconomic Issues WP-96-13, Federal Reserve Bank of Chicago.
  10. Kashyap, Anil K & Stein, Jeremy C & Wilcox, David W, 1993. "Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance," American Economic Review, American Economic Association, vol. 83(1), pages 78-98, March.
  11. Diamond, Douglas W, 1984. "Financial Intermediation and Delegated Monitoring," Review of Economic Studies, Wiley Blackwell, vol. 51(3), pages 393-414, July.
  12. Flannery, Mark J & James, Christopher M, 1984. " The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions," Journal of Finance, American Finance Association, vol. 39(4), pages 1141-53, September.
  13. Stone, Bernell K., 1974. "Systematic Interest-Rate Risk in a Two-Index Model of Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(05), pages 709-721, November.
  14. Herbert L. Baer & John N. McElravey, 1993. "Capital shocks and bank growth -- 1973 to 1991," Economic Perspectives, Federal Reserve Bank of Chicago, issue Jul, pages 2-21.
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Citations

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Cited by:
  1. Ioana-Diana PÃUN & Ramona GOGONCEA, 2013. "Interest Rate Risk Management and the Use of Derivative Securities," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 16(2), pages 242-254, December.
  2. Memmel, Christoph & Schertler, Andrea, 2011. "Banks' management of the net interest margin: Evidence from Germany," Discussion Paper Series 2: Banking and Financial Studies 2011,13, Deutsche Bundesbank, Research Centre.
  3. Memmel, Christoph & Schertler, Andrea, 2009. "The dependency of the banks' assets and liabilities: evidence from Germany," Discussion Paper Series 2: Banking and Financial Studies 2009,14, Deutsche Bundesbank, Research Centre.

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