Interest Rate Risk at Commercial Banks: An Empirical Investigation |
| |
| Authors: | Karlyn Mitchell |
| |
| Institution: | North Carolina State University, Raleigh, NC 27695-8110. I wish to thank Douglas K. Pearce and two anonymous referees for their valuable comments. Any remaining errors are, of course, my own. |
| |
| Abstract: | 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. |
| |
| Keywords: | |
|
|
