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The Interest Rate Exposure of Nonfinancial Corporations

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  • Sohnke M. Bartram

    (Maastricht University/LIFE)

Abstract

Many interest rates are as volatile as exchange rates and thus represent an equally important source of risk for corporations. While this is true not only for financial institutions, but for other corporations as well, little is known about the interest rate exposure of nonfinancial firms. Consequently, this paper investigates the impact of interest rate risk on a large sample of nonfinancial corporations. It presents empirical evidence for the existence of linear and nonlinear exposures with regard to movements in various interest rate variables. The interest rate exposure is empirically determined by measures of firm liquidity, but not by financial leverage.

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File URL: http://128.118.178.162/eps/fin/papers/0112/0112002.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Finance with number 0112002.

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Length: 31 pages
Date of creation: 18 Dec 2001
Date of revision: 27 Dec 2001
Handle: RePEc:wpa:wuwpfi:0112002

Note: Type of Document - PDF; prepared on PC; pages: 31. European Finance Review, Vol. 6, No. 1, 101-125.
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Web page: http://128.118.178.162

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Keywords: Interest rates; exposure; derivatives; risk management; corporate finance; capital markets;

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References

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  1. Peter Oertmann* & Christel Rendu & Heinz Zimmermann, 2000. "Interest Rate Risk of European Financial Corporations," European Financial Management, European Financial Management Association, vol. 6(4), pages 459-478.
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Cited by:
  1. Gloria M. Soto Pacheco & Cristóbal González & Laura Ballester & Román Ferrer, 2009. "Determinants of interest rate exposure of Spanish banking industry," Working Papers. Serie EC 2009-07, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).

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