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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

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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/publications/economicperspectives/2001/3qepart4.pdf
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Publisher 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;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Brewer III, Elijah & Minton, Bernadette A. & Moser, James T., 2000. "Interest-rate derivatives and bank lending," Journal of Banking & Finance, Elsevier, vol. 24(3), pages 353-379, March. [Downloadable!] (restricted)
    Other versions:
  2. Edward J. Kane & Haluk Unal, 1990. "Modeling Structural and Temporal Variation in the Market's Valuation of Banking Firms," NBER Working Papers 2693, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. 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. [Downloadable!]
  4. Gary Gorton & Richard Rosen, 1995. "Banks and Derivatives," Center for Financial Institutions Working Papers 95-07, Wharton School Center for Financial Institutions, University of Pennsylvania.
  5. Gary Gorton & Richard Rosen, 1995. "Banks and derivatives," Working Papers 95-12, Federal Reserve Bank of Philadelphia.
  6. 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. [Downloadable!]
  7. Charles W. Calomiris & Berry Wilson, 1996. "Bank capital and portfolio management: the 1930s capital crunch and scramble to shed risk," Proceedings, Federal Reserve Bank of Chicago, issue May, pages 515-530.
  8. Gary Gorton & Richard Rosen, . "Banks and Derivatives," Rodney L. White Center for Financial Research Working Papers 06-95, Wharton School Rodney L. White Center for Financial Research.
  9. Eric S. Rosengren, 1990. "The case for junk bonds," New England Economic Review, Federal Reserve Bank of Boston, issue May, pages 40-49.
  10. 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. [Downloadable!] (restricted)
  11. Diamond, Douglas W, 1984. "Financial Intermediation and Delegated Monitoring," Review of Economic Studies, Blackwell Publishing, vol. 51(3), pages 393-414, July. [Downloadable!] (restricted)
  12. 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. [Downloadable!] (restricted)
  13. 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. [Downloadable!] (restricted)
    Other versions:
  14. Gary Gorton & Richard Rosen, . "Banks and Derivatives," Rodney L. White Center for Financial Research Working Papers 6-95, Wharton School Rodney L. White Center for Financial Research.
  15. 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. [Downloadable!] (restricted)
  16. Gary Gorton & Richard Rosen, 1995. "Banks and Derivatives," NBER Working Papers 5100, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  17. 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. [Downloadable!]
  18. Ben S. Bernanke & Cara S. Lown, 1991. "The Credit Crunch," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 22(1991-2), pages 205-248. [Downloadable!]
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