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Interest Rate Volatility and Risk in Indian Banking

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  • International Monetary Fund

Abstract

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.

Suggested Citation

  • International Monetary Fund, 2004. "Interest Rate Volatility and Risk in Indian Banking," IMF Working Papers 04/17, International Monetary Fund.
  • Handle: RePEc:imf:imfwpa:04/17
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    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=17095
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    References listed on IDEAS

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    1. Guillermo A. Calvo & Carmen M. Reinhart, 2002. "Fear of Floating," The Quarterly Journal of Economics, Oxford University Press, vol. 117(2), pages 379-408.
    2. Ila Patnaik & Ajay Shah, 2005. "Interest-rate risk in the Indian banking system," Risk and Insurance 0501003, EconWPA.
    3. Carmen M. Reinhart & Kenneth S. Rogoff, 2004. "The Modern History of Exchange Rate Arrangements: A Reinterpretation," The Quarterly Journal of Economics, Oxford University Press, vol. 119(1), pages 1-48.
    4. 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.
    5. Taimur Baig, 2001. "Characterizing Exchange Rate Regimes in Post-Crisis East Asia," IMF Working Papers 01/152, International Monetary Fund.
    6. 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.
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    Cited by:

    1. Kenneth M. Kletzer, 2004. "Liberalizing Capital Flows in India: Financial Repression, Macroeconomic Policy, and Gradual Reforms," India Policy Forum, Global Economy and Development Program, The Brookings Institution, vol. 1(1), pages 227-275.
    2. International Monetary Fund, 2005. "India; Selected Issues," IMF Staff Country Reports 05/87, International Monetary Fund.
    3. Dash, Debasis Kumar, 2010. "INDIAN Bank Base Rate:An Overview," MPRA Paper 25667, University Library of Munich, Germany, revised 28 Oct 2010.
    4. Saha, Asish & Subramanian, V. & Basu, Sanjay & Mishra, Alok Kumar, 2009. "Networth exposure to interest rate risk: An empirical analysis of Indian commercial banks," European Journal of Operational Research, Elsevier, vol. 193(2), pages 581-590, March.
    5. Amadou N Sy, 2005. "Managing the Interest Rate Risk of Indian Banks’ Government Securities Holdings," IMF Working Papers 05/78, International Monetary Fund.

    More about this item

    Keywords

    India; Interest volatility; risk; Indian banks; interest rate risk; cash flows; equity capital; bonds; banking; Financial Institutions and Services; General Financial Markets;

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