被撤回的出版物: Risk Management in Financial Institutions (Retracted Article)

• 成果类型: Article; Retracted Publication
• 署名作者: Rampini, Adriano A.; Viswanathan, S.; Vuillemey, Guillaume
• 署名单位: Duke University; Hautes Etudes Commerciales (HEC) Paris
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12868
• 发表日期: 2020
• 页码: 591-637
• 关键词: monetary-policy; AGENCY COSTS; channel; INVESTMENT; transmission; BEHAVIOR; shocks; banks; hedge; MODEL

摘要

We study risk management in financial institutions using data on hedging of interest rate and foreign exchange risk. We find strong evidence that institutions with higher net worth hedge more, controlling for risk exposures, across institutions and within institutions over time. For identification, we exploit net worth shocks resulting from loan losses due to declines in house prices. Institutions that sustain such shocks reduce hedging significantly relative to otherwise-similar institutions. The reduction in hedging is differentially larger among institutions with high real estate exposure. The evidence is consistent with the theory that financial constraints impede both financing and hedging.