Retracted: Risk Management in Financial Institutions
利用利率和外汇风险对冲数据，研究发现净资产更高的机构对冲更多，而房价下跌导致的贷款损失冲击会显著减少对冲，尤其对房地产风险敞口大的机构影响更大，支持金融约束阻碍融资和对冲的理论。
ABSTRACT We study risk management in financial institutions using data on hedging of interest rate and foreign exchange risk. We find strong evidence that institutions with higher net worth hedge more, controlling for risk exposures, across institutions and within institutions over time. For identification, we exploit net worth shocks resulting from loan losses due to declines in house prices. Institutions that sustain such shocks reduce hedging significantly relative to otherwise‐similar institutions. The reduction in hedging is differentially larger among institutions with high real estate exposure. The evidence is consistent with the theory that financial constraints impede both financing and hedging.