| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10300 |
| DP10300 Banks Exposure to Interest Rate Risk and The Transmission of Monetary Policy | |
| David Thesmar; Augustin Landier; David Sraer | |
| 发表日期 | 2014-12-14 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We show that banks' cash flow exposure to interest rate risk, or income gap, plays a crucial role in their lending behavior following monetary policy shocks. In a first step, we show that the sensitivity of bank profits to interest rates increases significantly with their income gap, even when banks use interest rate derivatives. In a second step, we show that the income gap also predicts the sensitivity of bank lending to interest rates, both for commercial & industrial loans and for mortgages. Quantitatively, a 100 basis point increase in the Fed funds rate leads a bank at the 75th percentile of the income gap distribution to increase lending by about 1.6 percentage points annually relative to a bank at the 25th percentile. We conclude that banks' exposure to interest rate risk is an important determinant of the bank-level intensity of the lending channel. |
| 主题 | Financial Economics |
| 关键词 | Interest rate risk monetary policy Bank lending |
| URL | https://cepr.org/publications/dp10300 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539132 |
| 推荐引用方式 GB/T 7714 | David Thesmar,Augustin Landier,David Sraer. DP10300 Banks Exposure to Interest Rate Risk and The Transmission of Monetary Policy. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
