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• W1998866411 abstract "In this article, we provide an insight into Asia-Pacific banks' market, interest rate and exchange rate exposures using a market-based model, pre and post the Asian financial crisis. Our study provides a unique comparative analysis across 10 countries, for both short-horizon and long-horizon risk exposures. Overall, our findings reveal that bank portfolios in countries that are harder hit by the Asian crisis have higher market and short-term interest rate exposures post-crisis. With long-horizon returns, there are a larger number of significant interest rate (IR) and exchange rate (ER) exposures, which are consistent with the prior literature that long-horizon return measures economic exposures that are difficult to hedge. When the long-horizon regressions with an error correction model are carried out, the results obtained support the short-horizon results. Among the country groups, the newly industrialized economies display the greatest sensitivity to IR and ER changes during the post-Asian crisis period. Investigating bank regulation effects, we find evidence that bank portfolios that experience lower restrictions on their activities and ownership, and greater private monitoring have lower market risk." @default.
• W1998866411 created "2016-06-24" @default.
• W1998866411 creator A5066686727 @default.
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• W1998866411 date "2008-04-01" @default.
• W1998866411 modified "2023-09-24" @default.
• W1998866411 title "Asia-Pacific banks risk exposures: pre and post the Asian financial crisis" @default.
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• W1998866411 doi "https://doi.org/10.1080/09603100600970057" @default.
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