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Interest Rate Volatility and Risk in Indian Banking

  • International Monetary Fund

The easing of controls on interest rates has led to higher interest rate volatility in India. Hence, there is a need to measure and monitor the interest rate exposure of Indian banks. Using publicly available information, this paper attempts to assess the interest rate risk carried by a sample of Indian banks in March 2002. We find evidence of substantial exposure to interest rates.

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Paper provided by International Monetary Fund in its series IMF Working Papers with number 04/17.

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Length: 28
Date of creation: 01 Jan 2004
Date of revision:
Handle: RePEc:imf:imfwpa:04/17
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  1. Guillermo A. Calvo & Carmen M. Reinhart, 2002. "Fear Of Floating," The Quarterly Journal of Economics, MIT Press, vol. 117(2), pages 379-408, May.
  2. Ila Patnaik & Ajay Shah, 2005. "Interest-rate risk in the Indian banking system," Risk and Insurance 0501003, EconWPA.
  3. Reinhart, Carmen & Rogoff, Kenneth, 2004. "The modern history of exchange rate arrangements: A reinterpretation," MPRA Paper 14070, University Library of Munich, Germany.
  4. David M. Wright & James V. Houpt, 1996. "An analysis of commercial bank exposure to interest rate risk," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Feb, pages 115-128.
  5. Study group on fixed income markets, 2001. "The changing shape of fixed income markets," BIS Papers chapters, in: Bank for International Settlements (ed.), The changing shape of fixed income markets: a collection of studies by central bank economists, volume 5, pages 1-43 Bank for International Settlements.
  6. Taimur Baig, 2001. "Characterizing Exchange Rate Regimes in Post-Crisis East Asia," IMF Working Papers 01/152, International Monetary Fund.
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