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Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks

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  • Jongmoo Choi
  • Elyas Elyasiani
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    File URL: http://hdl.handle.net/10.1023/A:1007982921374
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    Bibliographic Info

    Article provided by Springer in its journal Journal of Financial Services Research.

    Volume (Year): 12 (1997)
    Issue (Month): 2 (October)
    Pages: 267-286

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    Handle: RePEc:kap:jfsres:v:12:y:1997:i:2:p:267-286

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    Web page: http://www.springerlink.com/link.asp?id=102934

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    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.:
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    1. 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.
    2. Theoharry Grammatikos & Anthony Saunders & Itzhak Swary, 1986. "Returns and risks of U.S. bank foreign currency activities," Working Papers 86-2, Federal Reserve Bank of Philadelphia.
    3. Ikeda, Shinsuke, 1991. " Arbitrage Asset Pricing under Exchange Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 447-55, March.
    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.
      • 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.
    5. Linda Allen & Julapa Jagtiani, 1996. "Risk and Market Segmentation in Financial Intermediaries’ Returns," Center for Financial Institutions Working Papers 96-36, Wharton School Center for Financial Institutions, University of Pennsylvania.
    6. Yourougou, Pierre, 1990. "Interest-rate risk and the pricing of depository financial intermediary common stock : Empirical evidence," Journal of Banking & Finance, Elsevier, vol. 14(4), pages 803-820, October.
    7. Jorion, Philippe, 1991. "The Pricing of Exchange Rate Risk in the Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(03), pages 363-376, September.
    8. Jongmoo Jay Choi & Murli Rajan, 1997. "A Joint Test of Market Segmentation and Exchange Risk Factor in International Capital Market," Journal of International Business Studies, Palgrave Macmillan, vol. 28(1), pages 29-49, March.
    9. Giliberto, Michael, 1985. "Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(01), pages 123-126, March.
    10. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
    11. Prasad, Anita Mehra & Rajan, Murli, 1995. "The role of exchange and interest risk in equity valuation: A comparative study of international stock markets," Journal of Economics and Business, Elsevier, vol. 47(5), pages 457-472, December.
    12. Dumas, Bernard & Solnik, Bruno, 1995. " The World Price of Foreign Exchange Risk," Journal of Finance, American Finance Association, vol. 50(2), pages 445-79, June.
    13. Brewer, Elijah III & Koppenhaver, G. D., 1992. "The impact of standby letters of credit on bank risk: A note," Journal of Banking & Finance, Elsevier, vol. 16(6), pages 1037-1046, December.
    14. Chamberlain, Gary, 1982. "Multivariate regression models for panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 5-46, January.
    15. MaCurdy, Thomas E., 1982. "The use of time series processes to model the error structure of earnings in a longitudinal data analysis," Journal of Econometrics, Elsevier, vol. 18(1), pages 83-114, January.
    16. 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.
    17. Boot, Arnoud W. A. & Thakor, Anjan V., 1991. "Off-balance sheet liabilities, deposit insurance and capital regulation," Journal of Banking & Finance, Elsevier, vol. 15(4-5), pages 825-846, September.
    18. Thomas E. MaCurdy, 1981. "Asymptotic Properties of Quasi-Maximum Likelihood Estimators and Test Statistics," NBER Technical Working Papers 0014, National Bureau of Economic Research, Inc.
    19. Hassan, M. Kabir & Karels, Gordon V. & Peterson, Manfred O., 1994. "Deposit insurance, market discipline and off-balance sheet banking risk of large U.S. commercial banks," Journal of Banking & Finance, Elsevier, vol. 18(3), pages 575-593, May.
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    Cited by:
    1. Bredin, Don & Hyde, Stuart, 2011. "Investigating sources of unanticipated exposure in industry stock returns," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1128-1142, May.
    2. Makar, Stephen D. & Huffman, Stephen P., 2001. "Foreign exchange derivatives, exchange rate changes, and the value of the firm: U.S. multinationals' use of short-term financial instruments to manage currency risk," Journal of Economics and Business, Elsevier, vol. 53(4), pages 421-437.
    3. Au Yong, Hue Hwa & Faff, Robert & Chalmers, Keryn, 2009. "Derivative activities and Asia-Pacific banks' interest rate and exchange rate exposures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 16-32, February.
    4. Bartram, Söhnke M., 2008. "What lies beneath: Foreign exchange rate exposure, hedging and cash flows," Journal of Banking & Finance, Elsevier, vol. 32(8), pages 1508-1521, August.
    5. Chaudhry, Mukesh K. & Christie-David, Rohan & Koch, Timothy W. & Reichert, Alan K., 2000. "The risk of foreign currency contingent claims at US commercial banks," Journal of Banking & Finance, Elsevier, vol. 24(9), pages 1399-1417, September.
    6. Mun, Kyung-Chun & Emir Morgan, George, 2003. "Bank foreign exchange and interest rate risk management: simultaneous versus separate hedging strategies," Journal of Financial Intermediation, Elsevier, vol. 12(3), pages 277-297, July.
    7. Koutmos, Gregory & Martin, Anna D., 2003. "Asymmetric exchange rate exposure: theory and evidence," Journal of International Money and Finance, Elsevier, vol. 22(3), pages 365-383, June.
    8. Martin, Anna D., 2000. "Exchange rate exposure of the key financial institutions in the foreign exchange market," International Review of Economics & Finance, Elsevier, vol. 9(3), pages 267-286, July.
    9. Dirk G Baur & Isaac Miyakawa, 2012. "No Puzzle: The Foreign Exchange Exposure of Australian Firms," Working Paper Series 168, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    10. Tai, Chu-Sheng, 2005. "Asymmetric currency exposure of US bank stock returns," Journal of Multinational Financial Management, Elsevier, vol. 15(4-5), pages 455-472, October.
    11. Sohnke M. Bartram, 2001. "The Interest Rate Exposure of Nonfinancial Corporations," Finance 0112002, EconWPA, revised 27 Dec 2001.
    12. Trenca Ioan & Mutu Simona & Petria Nicolae, 2012. "Analyzing The European Market Of Interest Rate Swap Indices," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 614-619, December.
    13. Lucia Esposito & Andrea Nobili & Tiziano Ropele, 2013. "The management of interest rate risk during the crisis: evidence from Italian banks," Temi di discussione (Economic working papers) 933, Bank of Italy, Economic Research and International Relations Area.

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