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Bank exposure to interest rate risks during financial liberalization : Evidence from South Korea

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  • Bank exposure to interest rate risks during financial liberalization
  • Aggarwal, Raj; Zhao, Xinlei Shelly
  • Springer


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Title Bank exposure to interest rate risks during financial liberalization
Similar Titles
Sub Title

Evidence from South Korea

Material Type Articles
Author(English)

Aggarwal, Raj; Zhao, Xinlei Shelly

Publisher

[Berlin, Germany]:Springer

Date 2005-10
Journal Title; Vol./Issue Asia-Pacific Financial Markets:vol. 12(issue 1)
Pages 35
Subject Country South Korea(Asia and Pacific)
Language English
File Type Link
Subject Economy < Financial Policy
Economy < Economic Administration
Holding SSRN

Abstract

This study documents the changing impact of long and short term interest rate risks on the equity prices of banks in South Korea during the process of financial liberalization. Consistent with the presence of regulatory constraints, Korean bank equity returns are found to be sensitive to both anticipated and unanticipated changes in interest rates in the first period when banks were largely under government control. However, during our last period of liberalization, Korean bank equity returns were found to have a positive association only with unanticipated short-term interest rates. Consistent with the ability to manage other interest rate risks successfully, in this last liberalization period, Korean bank equity returns had no association with long-term or with anticipated short-term interest rates. (The rest omitted)