Determinants of interest rate risk among publicly-listed Philippine banks from 2003-2010

• Main Authors: Castro, Marie Abegail T., Cho, Raphael M., Ong, Raynald G., Sy, Janine Angelica L.
• Format: text
• Language: English
• Published: Animo Repository 2011
• Subjects: Interest rates > Philippines; Banks and banking > Philippines > Risk management
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/7974
• Institution: De La Salle University

The study is about the determinants of interest rate risk among the banks listed in the Philippine Stock Exchange, and will cover the period 2003-2010. The research will involve a two-stage regression process and the first stage will use the returns on the Philippine Stock Exchange index and the changes in the three-month interbank rate as the independent variable, while the bank stock return is the dependent variable. The second stage will use the degree of interest rate exposure so obtained from the first stage as the dependent variable, while the different bank specific characteristics will be the independent variables. The study is patterned after a similar research done in the Spanish banking system.