Asia-Pacific banks risk exposures: Pre and post the Asian financial crisis

Au Yong, Hue Hwa and Faff, Robert (2008) Asia-Pacific banks risk exposures: Pre and post the Asian financial crisis. Applied Financial Economics, 18 6: 431-449. doi:10.1080/09603100600970057

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Author Au Yong, Hue Hwa
Faff, Robert
Title Asia-Pacific banks risk exposures: Pre and post the Asian financial crisis
Journal name Applied Financial Economics   Check publisher's open access policy
ISSN 0960-3107
1466-4305
Publication date 2008-04
Sub-type Article (original research)
DOI 10.1080/09603100600970057
Volume 18
Issue 6
Start page 431
End page 449
Total pages 19
Place of publication Abingdon, Oxon, United Kingdom
Publisher Routledge
Language eng
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.
Q-Index Code C1
Q-Index Status Provisional Code
Institutional Status Non-UQ

Document type: Journal Article
Sub-type: Article (original research)
Collection: UQ Business School Publications
 
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Created: Fri, 04 Mar 2011, 09:26:58 EST by Karen Morgan on behalf of UQ Business School