TITLE

ARE BANKS RISK-AVERSE?

AUTHOR(S)
Nishiyama, Yasuo
PUB. DATE
September 2007
SOURCE
Eastern Economic Journal;Fall2007, Vol. 33 Issue 4, p471
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
The article investigates empirically the risk preferences of banks, whether or not, and to what extent, banks are risk-averse, that underlie duration/maturity matching or mismatching. Banks expose themselves to interest rate risk because typically, they operate by extending long-term assets, that is, loans, that are funded primarily by short-term liabilities, that is, deposits. A duration-based economic value model that estimates the sensitivity of market-value equity to changes in interest rates for each U.S. commercial bank was developed by the U.S. Federal Reserve System.
ACCESSION #
26701992

 

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