Skip to:
  1. Main navigation
  2. Main content
  3. Footer
Working Paper

Holding Company Interest-Rate Sensitivity: Before and After October 1979

Since October 1979, market interest-rate movements have been frequent and large. Over the same time period, for a variety of reasons, competition has intensified in both bank loan and deposit markets. These developments have changed the benefits and costs of various types of asset/liability management strategies or alternatively a financial institution’s level of interest-rate risk exposure. In this study, the rate-sensitivity postures of a sample of holding companies are examined over the 1977 to 1983 interval to determine whether and how asset/liability management strategies changed after October 1979. In general, the evidence suggests that holding companies reduced their exposure to rate risk in the immediate post-October 1979 period. However, this change does not appear to have been permanent. the data show a reversal of this pattern at a number of companies in 1982 and 1983.

Suggested Citation

Whalen, Gary. 1984. “Holding Company Interest-Rate Sensitivity: Before and After October 1979.” Federal Reserve Bank of Cleveland, Working Paper No. 84-08.