DC Field | Value | Language |
---|---|---|
dc.contributor.author | Choi, Wilson Wonho | ko |
dc.contributor.author | Kim, Jinyong | ko |
dc.contributor.author | Kim, Mingook | ko |
dc.date.accessioned | 2016-11-09T05:03:17Z | - |
dc.date.available | 2016-11-09T05:03:17Z | - |
dc.date.created | 2016-08-21 | - |
dc.date.created | 2016-08-21 | - |
dc.date.issued | 2016 | - |
dc.identifier.citation | APPLIED ECONOMICS, v.48, no.49, pp.4747 - 4757 | - |
dc.identifier.issn | 0003-6846 | - |
dc.identifier.uri | http://hdl.handle.net/10203/213732 | - |
dc.description.abstract | We examine the impact of derivatives held by US bank holding companies on their market valuations over the period 2000 to 2010. By using bank-level data with detailed information on the notional amounts of derivative positions according to holding purposes and underlying asset types, our regression analyses provide three main findings. First, derivative instruments held for hedging rather than trading purposes contribute to enhancing market values. Second, the positive effects exhibit nonmonotonic patterns indicating that excessive amounts of derivatives holdings deteriorate market values. Third, interest rate derivatives are the main source of high valuations. | - |
dc.language | English | - |
dc.publisher | ROUTLEDGE JOURNALS | - |
dc.subject | INTEREST-RATE RISK | - |
dc.subject | CREDIT DERIVATIVES | - |
dc.subject | DIVERSIFICATION DISCOUNT | - |
dc.subject | SYSTEMIC RISK | - |
dc.subject | EXPOSURE | - |
dc.subject | USAGE | - |
dc.title | Derivatives holdings and market values of US bank holding companies | - |
dc.type | Article | - |
dc.identifier.wosid | 000382967100005 | - |
dc.identifier.scopusid | 2-s2.0-84963543238 | - |
dc.type.rims | ART | - |
dc.citation.volume | 48 | - |
dc.citation.issue | 49 | - |
dc.citation.beginningpage | 4747 | - |
dc.citation.endingpage | 4757 | - |
dc.citation.publicationname | APPLIED ECONOMICS | - |
dc.identifier.doi | 10.1080/00036846.2016.1164822 | - |
dc.contributor.localauthor | Choi, Wilson Wonho | - |
dc.contributor.localauthor | Kim, Jinyong | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Derivative holdings | - |
dc.subject.keywordAuthor | holding purposes | - |
dc.subject.keywordAuthor | underlying asset types | - |
dc.subject.keywordAuthor | market values | - |
dc.subject.keywordAuthor | bank holding companies | - |
dc.subject.keywordAuthor | G20 | - |
dc.subject.keywordAuthor | G21 | - |
dc.subject.keywordPlus | INTEREST-RATE RISK | - |
dc.subject.keywordPlus | CREDIT DERIVATIVES | - |
dc.subject.keywordPlus | DIVERSIFICATION DISCOUNT | - |
dc.subject.keywordPlus | SYSTEMIC RISK | - |
dc.subject.keywordPlus | EXPOSURE | - |
dc.subject.keywordPlus | USAGE | - |
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