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.
Working Papers of the Federal Reserve Bank of Cleveland are preliminary materials circulated to stimulate discussion and critical comment on research in progress. They may not have been subject to the formal editorial review accorded official Federal Reserve Bank of Cleveland publications. The views expressed in this paper are those of the authors and do not represent the views of the Federal Reserve Bank of Cleveland or the Federal Reserve System.
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.
- Share