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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.

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  • International Monetary Fund, 2004. "Interest Rate Volatility and Risk in Indian Banking," IMF Working Papers 2004/017, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2004/017
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    1. Guillermo A. Calvo & Carmen M. Reinhart, 2002. "Fear of Floating," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 117(2), pages 379-408.
    2. Ila Patnaik & Ajay Shah, 2005. "Interest-rate risk in the Indian banking system," Risk and Insurance 0501003, University Library of Munich, Germany.
    3. Carmen M. Reinhart & Kenneth S. Rogoff, 2004. "The Modern History of Exchange Rate Arrangements: A Reinterpretation," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 119(1), pages 1-48.
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    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. James V. Houpt & David M. Wright, 1996. "An analysis of commercial bank exposure to interest rate risk," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), vol. 82(Feb), pages 115-128, February.
    7. the Study group on fixed income markets, 2001. "The changing shape of fixed income markets," BIS Working Papers 104, Bank for International Settlements.
    8. Mr. Taimur Baig, 2001. "Characterizing Exchange Rate Regimes in Post-Crisis East Asia," IMF Working Papers 2001/152, International Monetary Fund.
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    Cited by:

    1. International Monetary Fund, 2005. "India: Selected Issues," IMF Staff Country Reports 2005/087, International Monetary Fund.
    2. 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.
    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. Olalere Oluwaseyi Ebenezer & Md. Aminul Islam & Wan Sallha Yusoff & Farid Ahammad Sobhani, 2019. "Exploring Liquidity Risk and Interest-Rate Risk: Implications for Profitability and Firm Value in Nigerian Banks," Journal of Reviews on Global Economics, Lifescience Global, vol. 8, pages 315-326.
    6. Mr. Amadou N Sy, 2005. "Managing the Interest Rate Risk of Indian Banks’ Government Securities Holdings," IMF Working Papers 2005/078, International Monetary Fund.
    7. Sanjay Sehgal & Tarunika Jain Agrawal, 2017. "Bank Risk Factors and Changing Risk Exposures in the Pre- and Post-financial Crisis Periods: An Empirical Study for India," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 42(4), pages 356-378, November.
    8. Tarunika Jain Agrawal & Sanjay Sehgal, 2018. "Dynamic Interaction of Bank Risk Exposures: An Empirical Study for the Indian Banking Industry," IIM Kozhikode Society & Management Review, , vol. 7(2), pages 132-153, July.

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