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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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  • James Gilkeson & Sylvia Hudgins & Craig Ruff, 1997. "Testing the effectiveness of regulatory interest rate risk measurement," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 21(2), pages 27-37, June.
    • Handle: RePEc:spr:jecfin:v:21:y:1997:i:2:p:27-37
    DOI: 10.1007/BF02920761
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    References listed on IDEAS

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    1. 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(3), pages 731-742, September.
    2. 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 1141-1153, September.
    3. 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, March.
    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. 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 147-154, Summer.
    6. 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.
    7. George G. Kaufman, 1984. "Measuring and managing interest rate risk: A primer," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 8(Jan), pages 16-29.
    8. Srinivas R. Akella & Su-Jane Chen, 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 147-154, June.
    9. Don M. Chance & William R. Lane, 1980. "A Re-Examination Of Interest Rate Sensitivity In The Common Stocks Of Financial Institutions," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(1), pages 49-55, March.
    10. 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.
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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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