IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v4y1997i12p737-739.html
   My bibliography  Save this article

Bank exposures to interest-rate risk: the case of the Australian banking industry

Author

Listed:
  • R. W. Faff
  • P. F. Howard

Abstract

This paper provides evidence of the changing nature of interest-rate sensitivity of a banking and finance portfolio in Australia over the period 1978-1992. Specifically, the potential sensitivity to short- and long-term interest rate movements is examined in each of three subperiods (1978-1982, 1983-1987 and 1988-1992). Consistent with previous US evidence, our major finding is that the banking portfolio exhibits sensitivity only to long-term interest rates. However, this sensitivity is significant only during the middle subperiod - a time when Australian financial markets experienced dramatic deregulatory changes including the floating of the domestic currency.

Suggested Citation

  • R. W. Faff & P. F. Howard, 1997. "Bank exposures to interest-rate risk: the case of the Australian banking industry," Applied Economics Letters, Taylor & Francis Journals, vol. 4(12), pages 737-739.
  • Handle: RePEc:taf:apeclt:v:4:y:1997:i:12:p:737-739
    DOI: 10.1080/758528718
    as

    Download full text from publisher

    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/758528718&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: https://libkey.io/10.1080/758528718?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Panayiotis G. Artikis & Elena Kalotychou & Sotiris K. Staikouras, 2007. "Interest rate fluctuations and the UK financial services industry," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(5), pages 343-347.
    2. N. Groenewold, 2000. "Financial Deregulation and the Relationship Between the Economy and the Share Market in Australia," Economics Discussion / Working Papers 00-10, The University of Western Australia, Department of Economics.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:4:y:1997:i:12:p:737-739. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.