THE EFFECTS OF INTEREST RATE LEVELS AND VOLATILITY ON THE MATURITY INTERMEDIATION DECISION

• 발행기관: People & Global Business Association
• 저자명: Jong C Rhim
• 간행물 정보: 『Global Business and Finance Review』Vol.8 No.2, 39~49쪽, 전체 11쪽
• 주제분류: 경제경영 > 경영학
• 파일형태: PDF
• 발행일자: 2003.12.31

영문 초록

In this paper, we examine the effect of changing interest rate levels and volatility on the maturity intermediation decisions of a commercial bank. We point out the incentive for the bank to hold high risk long-term asset and liability maturity positions. Further, the greater the interest rate volatility, the greater is the incentive to accept the high risk position. We employ a framework of partial adjustment of revenues and costs to unexpected changes in interest rates to estimate the maturity intermediation and allow the parameters to vary over time. The estimates of maturity composition are then related to the levels and volatility of interest rates.

목차

Abstract

INTRODUCTION

THEORETICAL FRAMEWORK

ECONOMETRIC FRAMEWORK

SUMMARY AND CONCLUSION

REFERENCES