tailieunhanh - Interest-Rate Exposure and Bank Mergers

To deal with the lack of reported information, we propose a novel approach to obtain the exposure contained in the net position in interest-rate derivatives. We specify a state space model of a bank’s derivatives trading strategy. We then use Bayesian methods to estimate the bank’s strategy using the joint distribution of interest rates, bank fair and notional values as well as bid-ask spreads. Intuitively, the identification of the bank’s strategy relies on whether the net position (per dollar notional) gains or loses in value over time, together with the history of rates. If rates go up and the bank’s derivative position experiences gains, the Bayesian estimation. | Wharton Financial Institutions Center Interest-Rate Exposure and Bank Mergers by Benjamin Esty Bhanu Narasimhan Peter Tufano 96-45 The Wharton School University of Pennsylvania THE WHARTON FINANCIAL INSTITUTIONS CENTER The Wharton Financial Institutions Center provides a multi-disciplinary research approach to the problems and opportunities facing the financial services industry in its search for competitive excellence. The Center s research focuses on the issues related to managing risk at the firm level as well as ways to improve productivity and performance. The Center fosters the development of a community of faculty visiting scholars and . candidates whose research interests complement and support the mission of the Center. The Center works closely with industry executives and practitioners to ensure that its research is informed by the operating realities and competitive demands facing industry participants as they pursue competitive excellence. Copies of the working papers summarized here are available from the Center. If you would like to learn more about the Center or become a member of our research community please let us know of your interest. Anthony M. Santomero Director The Working Paper Series is made possible by a generous grant from the Alfred P. Sloan f oundalion Interest-Rate Exposure and Bank Mergers 1 Draft December 19 1996 Abstract This study examines how interest rates and interest-rate exposures affect the level of acquisition activity the identities of targets and acquirers and the pricing of acquisitions in the banking industry. Using a sample of 477 large mergers from 1980 to 1994 we find that the level of acquisition activity is more negatively correlated with interest rates and more positively correlated with yield curve spreads for banks than for non-banks. Although we find that targets and acquirers have significantly different interest-rate exposures we find little evidence that one group is consistently better or worse .

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