Banks, Maturity Transformation, and Monetary Policy
Abstract/Contents
- Abstract
- Banks engage in maturity transformation and the term premium compensates them for bearing the associated interest rate risk. Consistent with this view, I show that banks’ net interest margins and term premia have comoved in the United States over the last decades. On monetary policy announcement days, banks’ stock prices fall in response to an increase in expected future short-term interest rates but rise if term premia increase. These effects are muted for nonbank equity, amplified for banks with a larger maturity mismatch, and reflected in bank cash-flows. The results reveal that banks are not immune to interest rate risk.
Description
| Type of resource | text |
|---|---|
| Date created | September 2, 2021 |
Creators/Contributors
| Author | Paul, Pascal |
|---|---|
| Organizer of meeting | Begenau, Juliane |
| Organizer of meeting | Hansen, Lars Peter |
| Organizer of meeting | Hebert, Ben |
| Organizer of meeting | Piazzesi, Monika |
Subjects
| Subject | banks |
|---|---|
| Subject | maturity transformation |
| Subject | monetary policy |
| Subject | term premium |
| Subject | interest rate risk |
| Subject | bank profitability |
| Genre | Text |
| Genre | Working paper |
| Genre | Grey literature |
Bibliographic information
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- License
- This work is licensed under a Creative Commons Attribution 4.0 International license (CC BY).
Preferred citation
- Preferred citation
- Paul, P. (2022). Banks, Maturity Transformation, and Monetary Policy. Stanford Digital Repository. Available at https://purl.stanford.edu/vg251gg6710
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SITE Conference 2021
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