Book Value Risk Management of Banks: Limited Hedging, HTM Accounting, and Rising Interest Rates
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https://www.nber.org/papers/w32293
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We document that as interest rates rose in 2022, banks limited the impact on the accounting value of their assets but left most long-duration assets exposed to interest rate risk. Call report and SEC data show that only about 6% of U.S. banking assets were hedged with derivatives, and even the
提供机构：
美国国家经济研究局
创建时间：
2024-04-01
