Asia-Pacific banks risk exposures: pre and post the Asian financial crisis
Titel:
Asia-Pacific banks risk exposures: pre and post the Asian financial crisis
Auteur:
Yong, Hue Hwa Au Faff, Robert
Verschenen in:
Applied financial economics
Paginering:
Jaargang 18 (2008) nr. 6 pagina's 431-449
Jaar:
2008-04
Inhoud:
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.
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