Adcock, C., Hua, X., Mazouz, K. et al. (1 more author) (2014) Derivative activities and Chinese banks' exposures to exchange rate and interest rate movements. European Journal of Finance. Published online: 31 Mar 2014. ISSN 1351-847X
Abstract
This study investigates the impact of Chinese banks' derivative activities on their exposure to exchange rate and interest rate changes. The standard Jorion [1990. "The Exchange-Rate Exposure of U.S. Multinationals." Journal of Business 63 (3): 331-345] model provides weak evidence of Chinese banks' exposure to these risks. However, the exposure increases substantially when time-varying exposure regressions with orthogonalised market returns are used. We also show that Chinese banks exhibit linear and nonlinear exposures to the exchange rate and interest rate fluctuations. Further analysis indicates that the use of derivatives reduces banks' foreign exchange risk, but does not affect their interest rate exposure. Derivative products are more likely to be used as an integrated part of the Chinese banks' risk management systems, which could thus help to stabilise the banking system. © 2014 © 2014 Taylor & Francis.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2014 Taylor & Francis. This is an author produced version of a paper subsequently published in The European Journal of Finance. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | Chinese banks; derivative activities; foreign exchange exposure; interest rate exposure |
Dates: |
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Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Management School (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 08 Dec 2014 11:57 |
Last Modified: | 27 Oct 2015 01:18 |
Published Version: | http://dx.doi.org/10.1080/1351847X.2014.899260 |
Status: | Published |
Publisher: | Taylor & Francis |
Refereed: | No |
Identification Number: | 10.1080/1351847X.2014.899260 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:82463 |