کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
999150 936784 2008 29 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the independence of assets and liabilities: Evidence from U.S. commercial banks, 1990–2005
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد، اقتصادسنجی و مالیه (عمومی)
پیش نمایش صفحه اول مقاله
On the independence of assets and liabilities: Evidence from U.S. commercial banks, 1990–2005
چکیده انگلیسی

Traditional asset–liability management techniques limit banks’ abilities to structure their balance sheets—but more recently, financial innovations have allowed banks the chance to manage interest rate risk without constraining their asset–liability choices. Using canonical correlation analysis, we examine how the relationships between asset and liability accounts at U.S. commercial banks changed between 1990 and 2005. Importantly, we show that asset–liability linkages are weaker for banks that are intensive users of risk-mitigation strategies such as interest rate swaps and adjustable loans. Perhaps surprisingly, we find that asset–liability linkages are stronger at large banks than at small banks, although these size-based differences have diminished over time, both because of increased asset–liability linkages at small banks and decreased linkages at large banks.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Stability - Volume 4, Issue 3, September 2008, Pages 275–303
نویسندگان
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