Abstract
This paper provides evidence of the changing nature of interest-rate sensitivity of a banking and finance portfolio in Australia over the period 1978-1992. Specifically, the potential sensitivity to short- and long-term interest rate movements is examined in each of three subperiods (1978-1982, 1983-1987 and 1988-1992). Consistent with previous US evidence, our major finding is that the banking portfolio exhibits sensitivity only to long-term interest rates. However, this sensitivity is significant only during the middle subperiod - a time when Australian financial markets experienced dramatic deregulatory changes including the floating of the domestic currency.
Original language | English |
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Pages (from-to) | 737-739 |
Number of pages | 3 |
Journal | Applied Economics Letters |
Volume | 4 |
Issue number | 12 |
DOIs | |
Publication status | Published - Dec 1997 |
Externally published | Yes |