Results 1 to 1 of 1

Math Help - Regression

  1. #1
    MHF Contributor
    Joined
    Mar 2010
    From
    Florida
    Posts
    3,093
    Thanks
    5

    Regression

    Measuring Risk: Montana Bank wants to determine the sensitivity of its stock returns to interest rate movements, based on the following information:
    \begin{matrix}<br />
   Quarter &	Return on Stock &	Return on Market &	Interest Rate\\<br />
        1 &	                   2	&                   3	           &               6\\<br />
        2 &	                   2	 &                  2	          &               7.5\\<br />
        3 &	                  -1	  &                -2	         &                 9\\<br />
        4 &	                   0	   &               -1	        &                 8.2\\<br />
        5 &	                   2	    &               1	       &                  7.3\\<br />
        6 &	                  -3	     &             -4	      &                   8.1\end{matrix}
    \begin{matrix}<br />
   Quarter &	Return on Stock &	Return on Market &	Interest Rate\\<br />
        7 &	                   1	      &             5	     &                    7.4\\<br />
        8 &	                   0	       &            1	    &                     9.1\\<br />
        9 &	                  -2	        &           0	   &                      8.2\\<br />
       10 &	                   1	         &         -1	  &                       7.1\\<br />
       11 &	                   3	          &         3	 &                        6.4\\<br />
       12 &	                   6	           &        4	&                         5.5<br />
\end{matrix}

    Use a regression model in which Montana’s stock return is dependent on the stock market return and the interest rate. Determine the relationship between the interest rate and Montana’s stock return by assessing the regression coefficient applied to the interest rate. Is the sign of the coefficient (+) or (-)? What does it suggest about the bank’s exposure to interest rate risk? Should Montana Bank be concerned about rising or declining interest rate movements in the future?


    I know how to do regression but I am not sure on how to do this here.
    Last edited by dwsmith; June 22nd 2010 at 06:19 PM.
    Follow Math Help Forum on Facebook and Google+

Similar Math Help Forum Discussions

  1. Regression
    Posted in the Advanced Statistics Forum
    Replies: 0
    Last Post: December 17th 2011, 07:31 AM
  2. Help with regression
    Posted in the Advanced Statistics Forum
    Replies: 0
    Last Post: November 4th 2011, 08:21 PM
  3. Ncaaf multiple regression/ stepwise regression
    Posted in the Advanced Statistics Forum
    Replies: 0
    Last Post: August 10th 2011, 07:21 AM
  4. Regression SS in multiple linear regression
    Posted in the Advanced Statistics Forum
    Replies: 0
    Last Post: June 20th 2009, 01:23 PM
  5. regression
    Posted in the Advanced Statistics Forum
    Replies: 3
    Last Post: July 8th 2007, 11:55 AM

Search Tags


/mathhelpforum @mathhelpforum