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Testing the effectiveness of regulatory interest rate risk measurement

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  • James Gilkeson
  • Sylvia Hudgins
  • Craig Ruff
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    File URL: http://hdl.handle.net/10.1007/BF02920761
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    Bibliographic Info

    Article provided by Springer in its journal Journal of Economics and Finance.

    Volume (Year): 21 (1997)
    Issue (Month): 2 (June)
    Pages: 27-37

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    Handle: RePEc:spr:jecfin:v:21:y:1997:i:2:p:27-37

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    Web page: http://link.springer.de/link/service/journals/120857/index.htm

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    1. Sung C. Bae, 1990. "Interest Rate Changes And Common Stock Returns Of Financial Institutions: Revisited," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(1), pages 71-79, 03.
    2. Jonathan A. Neuberger, 1991. "Risk and return in banking: evidence from bank stock returns," Economic Review, Federal Reserve Bank of San Francisco, issue Fall, pages 18-30.
    3. Lynge, Morgan J. & Zumwalt, J. Kenton, 1980. "An Empirical Study of the Interest Rate Sensitivity of Commercial Bank Returns: A Multi-Index Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(03), pages 731-742, September.
    4. Alden L. Toevs, 1983. "Gap management: managing interest rate risk in banks and thrifts," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 20-35.
    5. Brickley, James A. & Coles, Jeffrey L. & Terry, Rory L., 1994. "Outside directors and the adoption of poison pills," Journal of Financial Economics, Elsevier, vol. 35(3), pages 371-390, June.
    6. George G. Kaufman, 1984. "Measuring and managing interest rate risk: A primer," Economic Perspectives, Federal Reserve Bank of Chicago, issue Jan, pages 16-29.
    7. Akella, Srinivas R & Chen, Su-Jane, 1990. "Interest Rate Sensitivity of Bank Stock Returns: Specification Effects and Structural Changes," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(2), pages 147-54, Summer.
    8. 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.
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    Cited by:
    1. Gregory E. Sierra & Timothy J. Yeager, 2003. "What does the Federal Reserve’s economic value model tell us about interest rate risk at U.S. community banks?," Supervisory Policy Analysis Working Papers 2003-01, Federal Reserve Bank of St. Louis.

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