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The Interest Rate Exposure of Nonfinancial Corporations

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  • Sohnke M. Bartram

    (Maastricht University/LIFE)

Abstract

Many interest rates are as volatile as exchange rates and thus represent an equally important source of risk for corporations. While this is true not only for financial institutions, but for other corporations as well, little is known about the interest rate exposure of nonfinancial firms. Consequently, this paper investigates the impact of interest rate risk on a large sample of nonfinancial corporations. It presents empirical evidence for the existence of linear and nonlinear exposures with regard to movements in various interest rate variables. The interest rate exposure is empirically determined by measures of firm liquidity, but not by financial leverage.

Suggested Citation

  • Sohnke M. Bartram, 2001. "The Interest Rate Exposure of Nonfinancial Corporations," Finance 0112002, University Library of Munich, Germany, revised 13 May 2002.
    • Handle: RePEc:wpa:wuwpfi:0112002
    Note: Type of Document - PDF; prepared on PC; pages: 31. European Finance Review, Vol. 6, No. 1, 101-125.
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    More about this item

    Keywords

    Interest rates; exposure; derivatives; risk management; corporate finance; capital markets;
    All these keywords.

    JEL classification:

    • G3 - Financial Economics - - Corporate Finance and Governance
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
    • F3 - International Economics - - International Finance

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