Coping With The Risk Of Interest Rate Fluctuations: The Case Of Kuwait Banks

Abstract

This study analyzed immunization behavior of a sample of eight Kuwait banks during the 1994 through 2000 period. The financial market in Kuwait experienced relative stability of interest rates during the analysis period. The sample banks seemed to adjust their portfolio of assets and liabilities by equating Macaulay duration of assets and Macaulay duration of liabilities. We could not reject the null hypothesis that there is no difference between average Macaulay duration of assets and that of liabilities. Our findings indicate that banks in Kuwait are able to match the durations of their assets and liabilities.