Interest Rate Risk Management at Commercial Banks: An Empirical Analysis. FDIC Center for Financial Research Working Paper, No. 2006-02

摘要

The author analyzes the effects of bank characteristics and macroeconomic shocks on interest rate risk management behavior of commercial banks. The findings are consistent with hedging theories based on cost of financial distress and costly external financing. As compared to the derivative users, the derivative non-user banks adopt conservative asset-liability management policies in tighter monetary policy regimes. Finally, it is shown that the derivative non-user banks lending volume decline significantly with the contraction in the money-supply. Derivative users, on the other hand, remain immune to the monetary policy shocks. The findings suggest that a potential benefit of derivatives usage is to minimize the effect of external shocks on a firms operating policies.