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Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks

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  • Jongmoo Choi
  • Elyas Elyasiani

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  • Jongmoo Choi & Elyas Elyasiani, 1997. "Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks," Journal of Financial Services Research, Springer;Western Finance Association, vol. 12(2), pages 267-286, October.
    • Handle: RePEc:kap:jfsres:v:12:y:1997:i:2:p:267-286
    DOI: 10.1023/A:1007982921374
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    References listed on IDEAS

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    1. Gary Gorton & Richard Rosen, 1995. "Banks and Derivatives," NBER Chapters, in: NBER Macroeconomics Annual 1995, Volume 10, pages 299-349, National Bureau of Economic Research, Inc.
    2. Flannery, Mark J & James, Christopher M, 1984. "The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions," Journal of Finance, American Finance Association, vol. 39(4), pages 1141-1153, September.
    3. Jongmoo Jay Choi & Anita Mehra Prasad, 1995. "Exchange Risk Sensitivity and Its Determinants: A Firm and Industry Analysis of U.S. Multinationals," Financial Management, Financial Management Association, vol. 24(3), Fall.
    4. Dumas, Bernard & Solnik, Bruno, 1995. "The World Price of Foreign Exchange Risk," Journal of Finance, American Finance Association, vol. 50(2), pages 445-479, June.
    5. Thomas E. MaCurdy, 1981. "Asymptotic Properties of Quasi-Maximum Likelihood Estimators and Test Statistics," NBER Technical Working Papers 0014, National Bureau of Economic Research, Inc.
    6. Jorion, Philippe, 1991. "The Pricing of Exchange Rate Risk in the Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(3), pages 363-376, September.
    7. Brewer, Elijah III & Koppenhaver, G. D., 1992. "The impact of standby letters of credit on bank risk: A note," Journal of Banking & Finance, Elsevier, vol. 16(6), pages 1037-1046, December.
    8. Chamberlain, Gary, 1982. "Multivariate regression models for panel data," Journal of Econometrics, Elsevier, vol. 18(1), pages 5-46, January.
    9. Grammatikos, Theoharry & Saunders, Anthony & Swary, Itzhak, 1986. "Returns and Risks of U.S. Bank Foreign Currency Activities," Journal of Finance, American Finance Association, vol. 41(3), pages 671-682, July.
    10. Kane, Edward J & Unal, Haluk, 1990. "Modeling Structural and Temporal Variation in the Market's Valuation of Banking Firms," Journal of Finance, American Finance Association, vol. 45(1), pages 113-136, March.
    11. Ikeda, Shinsuke, 1991. "Arbitrage Asset Pricing under Exchange Risk," Journal of Finance, American Finance Association, vol. 46(1), pages 447-455, March.
    12. Choi, Jongmoo Jay & Elyasiani, Elyas & Kopecky, Kenneth J., 1992. "The sensitivity of bank stock returns to market, interest and exchange rate risks," Journal of Banking & Finance, Elsevier, vol. 16(5), pages 983-1004, September.
    13. Yourougou, Pierre, 1990. "Interest-rate risk and the pricing of depository financial intermediary common stock : Empirical evidence," Journal of Banking & Finance, Elsevier, vol. 14(4), pages 803-820, October.
    14. Linda Allen & Julapa Jagtiani, 1997. "Risk and Market Segmentation in Financial Intermediaries' Returns," Journal of Financial Services Research, Springer;Western Finance Association, vol. 12(2), pages 159-173, October.
    15. Prasad, Anita Mehra & Rajan, Murli, 1995. "The role of exchange and interest risk in equity valuation: A comparative study of international stock markets," Journal of Economics and Business, Elsevier, vol. 47(5), pages 457-472, December.
    16. Boot, Arnoud W. A. & Thakor, Anjan V., 1991. "Off-balance sheet liabilities, deposit insurance and capital regulation," Journal of Banking & Finance, Elsevier, vol. 15(4-5), pages 825-846, September.
    17. Hassan, M. Kabir & Karels, Gordon V. & Peterson, Manfred O., 1994. "Deposit insurance, market discipline and off-balance sheet banking risk of large U.S. commercial banks," Journal of Banking & Finance, Elsevier, vol. 18(3), pages 575-593, May.
    18. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    19. MaCurdy, Thomas E., 1982. "The use of time series processes to model the error structure of earnings in a longitudinal data analysis," Journal of Econometrics, Elsevier, vol. 18(1), pages 83-114, January.
    20. Jongmoo Jay Choi & Murli Rajan, 1997. "A Joint Test of Market Segmentation and Exchange Risk Factor in International Capital Market," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 28(1), pages 29-49, March.
    21. Giliberto, Michael, 1985. "Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(1), pages 123-126, March.
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