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Interest Rate and Foreign Exchange Risk Exposures of Australian Banks: A Note

The abolition of most government controls over the Australian financial system in the 1980s, the advent of a flexible exchange rate regime in 1983 and the globalisation of the financial system in the 1990s have created new opportunities for Australian banks but exposed them to new sources of risk. T...

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Main Author: Shamsuddin, Abul F. M.
Format: Article
Language:English
Published: Universiti Utara Malaysia 2009
Subjects:
HG Finance
Online Access:http://repo.uum.edu.my/25077/1/IJBF%206%202%202009%20129%20138.pdf
http://repo.uum.edu.my/25077/
http://ijbf.uum.edu.my/index.php/previous-issues/138-the-international-journal-of-banking-and-finance-ijbf-vol-6-no-2-february-march-2009
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id my.uum.repo.25077
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spelling my.uum.repo.250772018-10-31T01:15:19Z http://repo.uum.edu.my/25077/ Interest Rate and Foreign Exchange Risk Exposures of Australian Banks: A Note Shamsuddin, Abul F. M. HG Finance The abolition of most government controls over the Australian financial system in the 1980s, the advent of a flexible exchange rate regime in 1983 and the globalisation of the financial system in the 1990s have created new opportunities for Australian banks but exposed them to new sources of risk. This study estimates systematic risk exposure of publicly listed Australian banks with respect to market, interest rate and foreign exchange rate using a GARCH-in-Mean model. Not surprisingly, the results suggest that nearly all banks exhibit varying degrees of market risk exposure. However, stock returns of large banks are highly sensitive to interest rate changes, while most small banks are almost immune to both interest and exchange rate changes. Universiti Utara Malaysia 2009 Article PeerReviewed application/pdf en http://repo.uum.edu.my/25077/1/IJBF%206%202%202009%20129%20138.pdf Shamsuddin, Abul F. M. (2009) Interest Rate and Foreign Exchange Risk Exposures of Australian Banks: A Note. The International Journal of Banking and Finance, 6 (2). pp. 129-138. ISSN 1617-722 http://ijbf.uum.edu.my/index.php/previous-issues/138-the-international-journal-of-banking-and-finance-ijbf-vol-6-no-2-february-march-2009
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Institutionali Repository
url_provider http://repo.uum.edu.my/
language English
topic HG Finance
spellingShingle HG Finance
Shamsuddin, Abul F. M.
Interest Rate and Foreign Exchange Risk Exposures of Australian Banks: A Note
description The abolition of most government controls over the Australian financial system in the 1980s, the advent of a flexible exchange rate regime in 1983 and the globalisation of the financial system in the 1990s have created new opportunities for Australian banks but exposed them to new sources of risk. This study estimates systematic risk exposure of publicly listed Australian banks with respect to market, interest rate and foreign exchange rate using a GARCH-in-Mean model. Not surprisingly, the results suggest that nearly all banks exhibit varying degrees of market risk exposure. However, stock returns of large banks are highly sensitive to interest rate changes, while most small banks are almost immune to both interest and exchange rate changes.
format Article
author Shamsuddin, Abul F. M.
author_facet Shamsuddin, Abul F. M.
author_sort Shamsuddin, Abul F. M.
title Interest Rate and Foreign Exchange Risk Exposures of Australian Banks: A Note
title_short Interest Rate and Foreign Exchange Risk Exposures of Australian Banks: A Note
title_full Interest Rate and Foreign Exchange Risk Exposures of Australian Banks: A Note
title_fullStr Interest Rate and Foreign Exchange Risk Exposures of Australian Banks: A Note
title_full_unstemmed Interest Rate and Foreign Exchange Risk Exposures of Australian Banks: A Note
title_sort interest rate and foreign exchange risk exposures of australian banks: a note
publisher Universiti Utara Malaysia
publishDate 2009
url http://repo.uum.edu.my/25077/1/IJBF%206%202%202009%20129%20138.pdf
http://repo.uum.edu.my/25077/
http://ijbf.uum.edu.my/index.php/previous-issues/138-the-international-journal-of-banking-and-finance-ijbf-vol-6-no-2-february-march-2009
_version_ 1644284219900297216
score 13.211869

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