| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24076 |
| 来源ID | Working Paper 24076 |
| Why are Banks Exposed to Monetary Policy? | |
| Sebastian Di Tella; Pablo Kurlat | |
| 发表日期 | 2017-12-04 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We propose a model of banks’ exposure to movements in interest rates and their role in the transmission of monetary shocks. Since bank deposits provide liquidity, higher interest rates allow banks to earn larger spreads on deposits. Therefore, if risk aversion is higher than one, banks' optimal dynamic hedging strategy is to take losses when interest rates rise. This risk exposure can be achieved by a traditional maturity-mismatched balance sheet, and amplifies the effects of monetary shocks on the cost of liquidity. The model can match the level, time pattern, and cross-sectional pattern of banks’ maturity mismatch. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy |
| URL | https://www.nber.org/papers/w24076 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581749 |
| 推荐引用方式 GB/T 7714 | Sebastian Di Tella,Pablo Kurlat. Why are Banks Exposed to Monetary Policy?. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w24076.pdf（705KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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