Montana Bank wants to determine the sensitivity of its stock returns to interest rate movements, based on the following information:

Use a regression model in which Montana's stock return is a function of 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 positive or negative? 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?

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Return on Montana Return on Market Interest Rate Quarter Stock 2% 3% 6.0% 2 2 7.5 3 -1 -2 9.0 4 -1 8.2 5 2 7.3 -3 8.1 7.4 9.1 -2 8.2 10 -1 7.1 11 3 3 6.4 12 4 5.5 2.