메뉴 건너뛰기




Volumn 54, Issue 6, 2007, Pages 1769-1808

Interest rate derivatives at commercial banks: An empirical investigation

Author keywords

Derivatives; Hedging; Lending; Monetary policy

Indexed keywords


EID: 34547687845     PISSN: 03043932     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jmoneco.2006.07.009     Document Type: Article
Times cited : (127)

References (61)
  • 1
    • 0035585880 scopus 로고    scopus 로고
    • The use of foreign currency derivatives and firm market value
    • Allayannis G., and Weston J. The use of foreign currency derivatives and firm market value. Review of Financial Studies 14 (2001) 243-276
    • (2001) Review of Financial Studies , vol.14 , pp. 243-276
    • Allayannis, G.1    Weston, J.2
  • 2
    • 34547714367 scopus 로고    scopus 로고
    • Allayannis, G., Weston, J., 2003. Earning volatility, cash flow volatility and firm value. Working Paper, University of Virginia.
  • 3
    • 84980104458 scopus 로고
    • Financial ratios, discriminant analysis and the prediction of corporate bankruptcies
    • Altman E. Financial ratios, discriminant analysis and the prediction of corporate bankruptcies. Journal of Finance 23 (1968) 589-609
    • (1968) Journal of Finance , vol.23 , pp. 589-609
    • Altman, E.1
  • 4
    • 34547695556 scopus 로고    scopus 로고
    • Ashcraft, A., 2003. New evidence on the lending channel. Journal of Money, Credit and Banking, forthcoming.
  • 5
    • 34547723522 scopus 로고    scopus 로고
    • Ashcraft, A., Campello, M., 2006. Firm balance sheets and monetary policy transmission. Journal of Monetary Economics, forthcoming.
  • 6
    • 85016834058 scopus 로고
    • The federal funds rate and the channels of monetary transmission
    • Bernanke B.S., and Blinder A.S. The federal funds rate and the channels of monetary transmission. American Economic Review 82 (1992) 901-921
    • (1992) American Economic Review , vol.82 , pp. 901-921
    • Bernanke, B.S.1    Blinder, A.S.2
  • 7
    • 0003115099 scopus 로고
    • The use of interest rate futures by financial institutions
    • Booth J.R., Smith R.L., and Stolz R.W. The use of interest rate futures by financial institutions. Journal of Bank Research 15 (1984) 15-20
    • (1984) Journal of Bank Research , vol.15 , pp. 15-20
    • Booth, J.R.1    Smith, R.L.2    Stolz, R.W.3
  • 8
    • 84871768280 scopus 로고
    • Problems with instrumental variables estimation when the correlation between the instruments and the endogenous explanatory variable is weak
    • Bound J., Jaeger D.A., and Baker R.M. Problems with instrumental variables estimation when the correlation between the instruments and the endogenous explanatory variable is weak. Journal of the American Statistical Association 90 (1995) 443-450
    • (1995) Journal of the American Statistical Association , vol.90 , pp. 443-450
    • Bound, J.1    Jaeger, D.A.2    Baker, R.M.3
  • 10
    • 84977433670 scopus 로고
    • Federal deposit insurance, regulatory policies and optimal bank capital
    • Buser S., Chen A.H., and Kane E.J. Federal deposit insurance, regulatory policies and optimal bank capital. Journal of Finance 35 (1981) 51-60
    • (1981) Journal of Finance , vol.35 , pp. 51-60
    • Buser, S.1    Chen, A.H.2    Kane, E.J.3
  • 11
    • 0042671354 scopus 로고    scopus 로고
    • Internal capital markets in financial conglomerates: evidence from small bank responses to monetary policy
    • Campello M. Internal capital markets in financial conglomerates: evidence from small bank responses to monetary policy. Journal of Finance 57 (2002) 2773-2805
    • (2002) Journal of Finance , vol.57 , pp. 2773-2805
    • Campello, M.1
  • 12
    • 0032333951 scopus 로고    scopus 로고
    • The use of interest-rate derivatives by end-users: the case of large community banks
    • Carter D.A., and Sinkey J.F. The use of interest-rate derivatives by end-users: the case of large community banks. Journal of Financial Services Research 14 (1998) 17-34
    • (1998) Journal of Financial Services Research , vol.14 , pp. 17-34
    • Carter, D.A.1    Sinkey, J.F.2
  • 13
  • 14
    • 33747045112 scopus 로고    scopus 로고
    • Bankruptcy prediction with industry effects
    • Chava S., and Jarrow R.A. Bankruptcy prediction with industry effects. Review of Finance 8 (2004) 537-569
    • (2004) Review of Finance , vol.8 , pp. 537-569
    • Chava, S.1    Jarrow, R.A.2
  • 15
    • 34547712837 scopus 로고    scopus 로고
    • Chava, S., Purnanandam, A., 2006. Determinants of the floating-to-fixed rate debt-structure of firms. Journal of Financial Economics, forthcoming.
  • 16
    • 0001245231 scopus 로고    scopus 로고
    • The use of equity grants to manage optimal equity incentive levels
    • Core J., and Guay W. The use of equity grants to manage optimal equity incentive levels. Journal of Accounting and Economics 28 (1999) 151-184
    • (1999) Journal of Accounting and Economics , vol.28 , pp. 151-184
    • Core, J.1    Guay, W.2
  • 17
    • 0000969763 scopus 로고
    • Corporate financial hedging with proprietary information
    • DeMarzo P.M., and Duffie D. Corporate financial hedging with proprietary information. Journal of Economic Theory 53 (1991) 261-286
    • (1991) Journal of Economic Theory , vol.53 , pp. 261-286
    • DeMarzo, P.M.1    Duffie, D.2
  • 18
    • 47749120440 scopus 로고
    • Financial intermediation and delegated monitoring
    • Diamond D.W. Financial intermediation and delegated monitoring. Review of Economic Studies 51 (1984) 393-414
    • (1984) Review of Economic Studies , vol.51 , pp. 393-414
    • Diamond, D.W.1
  • 19
    • 0002771268 scopus 로고
    • The trajectory of corporate financial risk management
    • Dolde W. The trajectory of corporate financial risk management. Journal of Applied Corporate Finance 6 (1993) 33-41
    • (1993) Journal of Applied Corporate Finance , vol.6 , pp. 33-41
    • Dolde, W.1
  • 21
    • 0039066423 scopus 로고    scopus 로고
    • Predicting US recessions: financial variables as leading indicators
    • Estrella A., and Mishkin F.S. Predicting US recessions: financial variables as leading indicators. Review of Economics and Statistics 80 1 (1998) 45-61
    • (1998) Review of Economics and Statistics , vol.80 , Issue.1 , pp. 45-61
    • Estrella, A.1    Mishkin, F.S.2
  • 23
    • 0000496822 scopus 로고
    • Marker evidence on effective maturity of bank assets and liabilities
    • Flannery M.J., and James C.M. Marker evidence on effective maturity of bank assets and liabilities. Journal of Money Credit and Banking 16 (1984) 435-445
    • (1984) Journal of Money Credit and Banking , vol.16 , pp. 435-445
    • Flannery, M.J.1    James, C.M.2
  • 24
    • 0000134175 scopus 로고
    • The effect of interest rate changes on the common stock returns of financial institutions
    • Flannery M.J., and James C.M. The effect of interest rate changes on the common stock returns of financial institutions. Journal of Finance 39 (1984) 1141-1153
    • (1984) Journal of Finance , vol.39 , pp. 1141-1153
    • Flannery, M.J.1    James, C.M.2
  • 25
    • 84993843447 scopus 로고
    • Risk management: coordinating corporate investments and financing policies
    • Froot K.A., Scharfstein D.S., and Stein J.C. Risk management: coordinating corporate investments and financing policies. Journal of Finance 5 (1993) 1629-1658
    • (1993) Journal of Finance , vol.5 , pp. 1629-1658
    • Froot, K.A.1    Scharfstein, D.S.2    Stein, J.C.3
  • 26
    • 34547705836 scopus 로고    scopus 로고
    • Gatev, E., Schuermann, T., Strahan, P.E., 2005. How do banks manage liquidity risk? Evidence from equity and deposit markets in the fall of 1998. NBER Working Paper.
  • 28
    • 34547722808 scopus 로고    scopus 로고
    • Geczy, C., Minton, B.A., Schrand, C., 2004. Taking a view: corporate speculation, governance and compensation. Journal of Finance, forthcoming.
  • 29
    • 34547694805 scopus 로고    scopus 로고
    • Gorton, G., Rosen, R., 1995. Banks and derivatives. NBER Working Paper.
  • 30
    • 0043095575 scopus 로고    scopus 로고
    • Do firms hedge in response to tax incentives
    • Graham J.R., and Rogers D.A. Do firms hedge in response to tax incentives. Journal of Finance 57 (2002) 815-839
    • (2002) Journal of Finance , vol.57 , pp. 815-839
    • Graham, J.R.1    Rogers, D.A.2
  • 33
    • 0039179797 scopus 로고    scopus 로고
    • Financing policy, basis risk, and corporate hedging: evidence from oil and gas producers
    • Haushalter D.G. Financing policy, basis risk, and corporate hedging: evidence from oil and gas producers. Journal of Finance 55 (2000) 107-152
    • (2000) Journal of Finance , vol.55 , pp. 107-152
    • Haushalter, D.G.1
  • 34
    • 34547722809 scopus 로고    scopus 로고
    • Houston, J.F., Stiroh, K.J., 2006. Three decades of financial sector risk. Working Paper, University of Florida and Federal Reserve Bank of New York.
  • 35
    • 84977725920 scopus 로고
    • The losses realized in bank failures
    • James C. The losses realized in bank failures. Journal of Finance 46 (1991) 1223-1242
    • (1991) Journal of Finance , vol.46 , pp. 1223-1242
    • James, C.1
  • 36
    • 34547705835 scopus 로고    scopus 로고
    • Jorion, P., 2005. Bank trading risk and systemic risk. Working Paper, University of California, Irvine.
  • 38
    • 0000289297 scopus 로고    scopus 로고
    • What do a million observations of banks say about the transmission of monetary policy?
    • Kashyap A.K., and Stein J.C. What do a million observations of banks say about the transmission of monetary policy?. American Economic Review 90 (2000) 407-428
    • (2000) American Economic Review , vol.90 , pp. 407-428
    • Kashyap, A.K.1    Stein, J.C.2
  • 39
    • 0002135003 scopus 로고
    • Monetary policy and credit conditions: evidence from the composition of external finance
    • Kashyap A.K., Stein J.C., and Wilcox D.W. Monetary policy and credit conditions: evidence from the composition of external finance. American Economic Review 83 (1993) 78-98
    • (1993) American Economic Review , vol.83 , pp. 78-98
    • Kashyap, A.K.1    Stein, J.C.2    Wilcox, D.W.3
  • 40
    • 0042170121 scopus 로고    scopus 로고
    • The volatility and price sensitivities of managerial stock option portfolios and corporate hedging
    • Knopf J.D., Nam J., and Thornton J.H. The volatility and price sensitivities of managerial stock option portfolios and corporate hedging. Journal of Finance 57 (2002) 801-813
    • (2002) Journal of Finance , vol.57 , pp. 801-813
    • Knopf, J.D.1    Nam, J.2    Thornton, J.H.3
  • 41
    • 0002350933 scopus 로고    scopus 로고
    • Agency costs, risk management, and capital structure
    • Leland H.E. Agency costs, risk management, and capital structure. Journal of Finance 53 (1998) 1213-1243
    • (1998) Journal of Finance , vol.53 , pp. 1213-1243
    • Leland, H.E.1
  • 42
    • 34547705080 scopus 로고    scopus 로고
    • Longstaff, F.A., Mithal, S., Neis, E., 2004. Corporate yield spreads: default risk or liquidity? New evidence from the credit-default swap market. Working Paper, University of California, Los Angeles.
  • 43
    • 0001095412 scopus 로고
    • On the corporate demand for insurance
    • Mayers D., and Smith C. On the corporate demand for insurance. Journal of Business 55 (1982) 281-296
    • (1982) Journal of Business , vol.55 , pp. 281-296
    • Mayers, D.1    Smith, C.2
  • 45
    • 0033472983 scopus 로고    scopus 로고
    • The impact of cash-flow volatility on discretionary investment and the costs of debt and equity financing
    • Minton B.A., and Schrand C. The impact of cash-flow volatility on discretionary investment and the costs of debt and equity financing. Journal of Financial Economics 54 (1999) 423-460
    • (1999) Journal of Financial Economics , vol.54 , pp. 423-460
    • Minton, B.A.1    Schrand, C.2
  • 47
    • 0000666375 scopus 로고
    • Financial ratios and the probabilistic prediction of bankruptcies
    • Ohlson J. Financial ratios and the probabilistic prediction of bankruptcies. Journal of Accounting Research 19 (1980) 109-131
    • (1980) Journal of Accounting Research , vol.19 , pp. 109-131
    • Ohlson, J.1
  • 48
    • 0347013785 scopus 로고    scopus 로고
    • Risk measurement and hedging: with and without derivatives
    • Petersen M., and Thiagarajan S.R. Risk measurement and hedging: with and without derivatives. Financial Management 29 (2000) 5-30
    • (2000) Financial Management , vol.29 , pp. 5-30
    • Petersen, M.1    Thiagarajan, S.R.2
  • 49
    • 34547713590 scopus 로고    scopus 로고
    • Purnanandam, A., 2006. Financial distress and corporate risk-management: theory and evidence. Working Paper, University of Michigan.
  • 50
    • 0030642469 scopus 로고    scopus 로고
    • The association between stock-price interest rate sensitivity and disclosures about derivative instruments
    • Schrand C.M. The association between stock-price interest rate sensitivity and disclosures about derivative instruments. The Accounting Review 72 (1997) 87-109
    • (1997) The Accounting Review , vol.72 , pp. 87-109
    • Schrand, C.M.1
  • 51
    • 0039572412 scopus 로고    scopus 로고
    • Hedging and coordinated risk management: evidence from thrift conversions
    • Schrand C., and Unal H. Hedging and coordinated risk management: evidence from thrift conversions. Journal of Finance 53 (1998) 979-1013
    • (1998) Journal of Finance , vol.53 , pp. 979-1013
    • Schrand, C.1    Unal, H.2
  • 52
    • 34547719766 scopus 로고    scopus 로고
    • Schuermann, T., Stiroh, K. J., 2006. Visible and hidden risk factors for banks. Working Paper, Federal Reserve Bank of New York Staff Report # 252.
  • 53
    • 0008104389 scopus 로고    scopus 로고
    • Forecasting bankruptcy more accurately: a simple hazard model
    • Shumway T. Forecasting bankruptcy more accurately: a simple hazard model. Journal of Business January (2001) 101-124
    • (2001) Journal of Business , vol.January , pp. 101-124
    • Shumway, T.1
  • 55
    • 0346307687 scopus 로고    scopus 로고
    • Instrumental variables regression with weak instruments
    • Staiger D., and Stock J.H. Instrumental variables regression with weak instruments. Econometrica 65 (1997) 557-586
    • (1997) Econometrica , vol.65 , pp. 557-586
    • Staiger, D.1    Stock, J.H.2
  • 56
    • 0032355203 scopus 로고    scopus 로고
    • An adverse-selection model of bank asset liability management with implication for the transmission of monetary policy
    • Stein J.C. An adverse-selection model of bank asset liability management with implication for the transmission of monetary policy. The RAND Journal of Economics 29 (1998) 466-486
    • (1998) The RAND Journal of Economics , vol.29 , pp. 466-486
    • Stein, J.C.1
  • 57
    • 3843099775 scopus 로고    scopus 로고
    • Diversification in banking: is noninterest income the answer?
    • Stiroh K.J. Diversification in banking: is noninterest income the answer?. Journal of Money, Credit and Banking 36 (2004) 853-882
    • (2004) Journal of Money, Credit and Banking , vol.36 , pp. 853-882
    • Stiroh, K.J.1
  • 60
    • 0009169278 scopus 로고    scopus 로고
    • Who manages risk? An empirical examination of risk management practices in the gold mining industry
    • Tufano P. Who manages risk? An empirical examination of risk management practices in the gold mining industry. Journal of Finance 51 (1996) 1097-1137
    • (1996) Journal of Finance , vol.51 , pp. 1097-1137
    • Tufano, P.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.