The Interest Rate Exposure of Nonfinancial Corporations
AbstractMany 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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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0112002.
Length: 31 pages
Date of creation: 18 Dec 2001
Date of revision: 27 Dec 2001
Note: Type of Document - PDF; prepared on PC; pages: 31. European Finance Review, Vol. 6, No. 1, 101-125.
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Interest rates; exposure; derivatives; risk management; corporate finance; capital markets;
Find related papers by JEL classification:
- G3 - Financial Economics - - Corporate Finance and Governance
- F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
- F3 - International Economics - - International Finance
This paper has been announced in the following NEP Reports:
- NEP-ALL-2001-12-26 (All new papers)
- NEP-IFN-2001-12-26 (International Finance)
- NEP-MAC-2001-12-04 (Macroeconomics)
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