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- W2520531161 abstract "ABSTRACTThis study examines the risk exposure of Australian financial firms to changes in the term structure of interest rates. Non-linearity in the interest rate term structure is captured by the three-factor model of interest rate level, slope, and curvature. We observe that financial firms have negative exposures to the interest rate level, while non-financial firms have positive exposures. This finding suggests that financial firms need to hedge against rising interest rates, while non-financial firms need to hedge against falling interest rates. Small banks and insurance companies have a positive risk exposure to the slope factor, while real estate firms have a negative risk exposure to the curvature factor. Though the interest rate level is the most important factor, ignoring the slope and curvature factors could lead to underestimating a financial firm’s overall interest rate risk exposure. These findings are robust to controlling for the orthogonalized market return, time-varying equity risk premi..." @default.
- W2520531161 created "2016-09-23" @default.
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- W2520531161 date "2016-09-12" @default.
- W2520531161 modified "2023-09-28" @default.
- W2520531161 title "Australian financial firms’ exposures to the level, slope, and curvature of the interest rate term structure" @default.
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- W2520531161 doi "https://doi.org/10.1080/00036846.2016.1229411" @default.
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