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BHC Gross Interest Rate Hedging

Definition

Total gross notional amount of interest rate derivatives held for purposes other than trading BHCK8725 over total assets BHCK2170; for the period 1995 to 2000, contracts not marked to market BHCK8729 are added.

If t \in [1995, 2000]:

\text{Gross IR Hedging}_{i,t}=\frac{\text{BHCK8725}_{i,t}+\text{BHCK8729}_{i,t}}{\text{BHCK2170}_{i,t}}

Otherwise:

\text{Gross IR Hedging}_{i,t}=\frac{\text{BHCK8725}_{i,t}}{\text{BHCK2170}_{i,t}}

where BHCK8725, BHCK8729 and BHCK4107 are from the Bank Holding Company data by the Federal Reserve Bank of Chicago.1

Reference

Rampini, Viswanathan and Vuillemey (2020 JF).


Last update: August 10, 2020

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