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Interest Rate Risk at Commercial Banks: An Empirical Investigation
Author(s) -
Mitchell Karlyn
Publication year - 1989
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.1989.tb00351.x
Subject(s) - interest rate risk , interest rate , volatility (finance) , economics , deregulation , interest rate derivative , monetary economics , actuarial science , econometrics , business , macroeconomics
This paper develops and estimates models to measure banks' exposure to interest rate risk. The models are estimated for the 1976–1983 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.