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

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Abstract

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.

Item Type:	Article
Uncontrolled Keywords:	Interest rate risk, Foreign exchange rate risk, Australian Banks
Subjects:	H Social Sciences > HG Finance
Divisions:	School of Economics, Finance & Banking
Depositing User:	Mrs. Norazmilah Yaakub
Date Deposited:	31 Oct 2018 01:15
Last Modified:	31 Oct 2018 01:15
URI:	https://repo.uum.edu.my/id/eprint/25077

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