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Interest Rate Risk at Commercial Banks: An Empirical Investigation

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  • Mitchell, Karlyn

Abstract

This paper develops and estimates models to measure banks' exposure to interest rate risk. The models are estimated for the 1976-83 period to determine whether banks' exposure to interest rate risk increased as a result of increased interest rate volatility and financial deregulation. The major findings are that banks changed their risk management strategies after 1979 and that total exposure to interest rate risk remained quite small. Copyright 1989 by MIT Press.

Suggested Citation

  • Mitchell, Karlyn, 1989. "Interest Rate Risk at Commercial Banks: An Empirical Investigation," The Financial Review, Eastern Finance Association, vol. 24(3), pages 431-455, August.
  • Handle: RePEc:bla:finrev:v:24:y:1989:i:3:p:431-55
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    Cited by:

    1. Susan Ryan & Andrew C. Worthington, 2002. "Time-Varying Market, Interest Rate and Exchange Rate Risk in Australian Bank Portfolio Stock Returns: A Garch-M Approach," School of Economics and Finance Discussion Papers and Working Papers Series 112, School of Economics and Finance, Queensland University of Technology.
    2. Söhnke Bartram, 2002. "The Interest Rate Exposure of Nonfinancial Corporations," Review of Finance, European Finance Association, vol. 6(1), pages 101-125.
    3. repec:eee:jbfina:v:89:y:2018:i:c:p:94-104 is not listed on IDEAS
    4. Eric Wong & Jim Wong & Phyllis Leung, 2008. "The Foreign Exchange Exposure of Chinese Banks," Working Papers 0807, Hong Kong Monetary Authority.
    5. Chamberlain, Sandra & Howe, John S. & Popper, Helen, 1997. "The exchange rate exposure of U.S. and Japanese banking institutions," Journal of Banking & Finance, Elsevier, vol. 21(6), pages 871-892, June.
    6. Raymond Chaudron, 2016. "Bank profitability and risk taking in a prolonged environment of low interest rates: a study of interest rate risk in the banking book of Dutch banks," DNB Working Papers 526, Netherlands Central Bank, Research Department.
    7. Papadamou, Stephanos & Tzivinikos, Trifon, 2013. "The risk relevance of International Financial Reporting Standards: Evidence from Greek banks," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 43-54.

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