VOLATILITY TRANSMISSION AND SPILLOVER EFFECTS OF INTEREST AND EXCHANGE RATE RISK: EVIDENCE FROM BANKING SECTOR OF PAKISTAN

VOLATILITY TRANSMISSION AND SPILLOVER EFFECTS OF INTEREST AND EXCHANGE RATE RISK: EVIDENCE FROM BANKING SECTOR OF PAKISTAN

[11] investigated the correlation between exchange rates and stock returns of a portfolio of 28 commercial banks for the period from 1977 to 1986 using error components model.\n However, Pakistani banks may have been less exposed to significant exchange rate risk over the sample period. [...]Pakista...

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Veröffentlicht in:Journal of internet banking and commerce : JIBC 2017-01, Vol.22 (S7), p.1
Hauptverfasser: Raza, Naveed, Ali, Sajid, Ali, Azwadi, Jamaludin, Nurasyikin B T
Format: Artikel
Sprache:eng
Schlagworte:
Bank stocks
Banking industry
Banks
Capital assets
Developing countries
Economic development
Economic models
Financial institutions
Foreign exchange rate risk
Foreign exchange rates
Interest rates
LDCs
Liberalization
Rates of return
Stochastic models
Studies
Volatility
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Zusammenfassung:[11] investigated the correlation between exchange rates and stock returns of a portfolio of 28 commercial banks for the period from 1977 to 1986 using error components model.\n However, Pakistani banks may have been less exposed to significant exchange rate risk over the sample period. [...]Pakistani banks might have adequately hedged their exchange rate exposure using such instruments as cross-currency swaps and forward contracts. [...]policymakers should perform a thorough analysis of the banking system while developing monetary policy since it serves as the major facilitator in the policy implementation process.
ISSN:1204-5357
1204-5357