The exchange rate exposure of U.S. and Japanese banking institutions

Chamberlain, Sandra; Howe, John S.; Popper, Helen

doi:10.1016/s0378-4266(97)00002-2

Cited by 161 publications

(120 citation statements)

References 11 publications

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“…Chamberlain et al (1997) show that exchange rates affect most directly those banks with foreign currency transactions and foreign operations, and even without such activities, exchange rates ijef.ccsenet.org International Journal of Economics and Finance Vol. 9, No.…”

Section: Real Effective Exchange Ratementioning

confidence: 99%

The Bank Sector Performance and Macroeconomics Environment: Empirical Evidence in Togo

Combey¹,

Togbenou²

2017

IJEF

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This article investigates short-run and long-run relationship between three main macroeconomic indicators (gross domestic product growth, real effective exchange rate, and inflation) and banking sector profitability (measured by return on assets and return on equity) in Togo, from 2006 to 2015, by using Pool Mean Group estimator. Results show that, in the short-run, banks' return on assets and return on equity are not related to macroeconomic variables. But banks' return on assets is determined positively by bank capital to assets ratio and bank size while banks' return on equity is affected negatively by bank capital to assets ratio. However, in the long-run, real gross domestic product growth and real effective exchange rate affect negatively and statistically significant banks' return on assets, while inflation rate has no effect. Concerning bank's return on equity, in the long-run, results suggest that real gross domestic product growth, real effective exchange rate, and inflation affect negatively bank's return on equity. These results imply that to stabilize bank profitability and make Togolese banking sector more resilient, policymakers and banking sector managers must, among others, try to improve real gross domestic product growth, real effective exchange rate, and inflation volatility anticipation.

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Section: Real Effective Exchange Ratementioning

confidence: 99%

The Bank Sector Performance and Macroeconomics Environment: Empirical Evidence in Togo

Combey¹,

Togbenou²

2017

IJEF

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“…Based upon extant studies (Chamberlain et al 1997;Jorion 1990;Sharpe 1964;Stone 1974), the present study expects a positive sign for systematic market risk; and either positive or negative signs for both systematic interest rate and exchange rate risks. The capital market line, which illustrates a linear combination of stock market returns and firm returns, can explain the positive sign of systematic market risk.…”

Section: Data and Model Specificationmentioning

confidence: 73%

“…Saunders et al (1990) adopt a two-factor CAPM to estimate systematic market risk exposure; systematic short-run interest rate risk exposures; and systematic long-run interest rate risk exposures. In another study, Chamberlain et al (1997) construct a CAPM for the U.S. Bank Holding Companies (BHC). An international study by Muller and Verschoor (2008) shows the significant exposure of US multinational corporations to exchange rates changes.…”

Section: Literature Reviewmentioning

confidence: 99%

“…According to extant studies, bank return sensitivities are investigated and categorized into three macroeconomic sources of risks: stock markets, debt markets and foreign exchange markets (Aggarwal & Harper 2010;Black et al 1972;Bredin & Hyde 2011;Chamberlain et al 1997;Flannery & James 1984;Jorion 1990;Lintner 1965;Muller & Verschoor 2008;Saunders et al 1990;Sharpe 1964;Stone 1974). In addition, several studies measure insolvency risks using the Z-risk index (Beck et al 2010;Boyd & Graham 1986;Boyd et al 1993;Demirgüç-Kunt & Detragiache 2011;Hannan & Hanweck 1988;Houston et al 2010;Laeven & Levine 2009;Uhde & Heimeshoff 2009).…”

Section: Introductionmentioning

confidence: 99%

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Bank Risk Exposures in the East Asian Region

Tamadonnejad

Abdul-Rahman²,

Mariani³

et al. 2014

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“…Griffin and Stulz's (2001) empirical results show that weekly exchange rate shocks have a negligible impact on the value of industry indexes across the world. However, Chamberlain, Howe, and Popper (1997) find that the U.S. banking stock returns are very sensitive to exchange rate movements, but not for Japanese banking firms. While such findings are different from those reported in prior research, Chamberlain et al attributed the contrast to the use of daily data in their study instead of monthly data as used in most prior studies.…”

Section: Introductionmentioning

confidence: 69%