| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24582 |
| 来源ID | Working Paper 24582 |
| Banking on Deposits: Maturity Transformation without Interest Rate Risk | |
| Itamar Drechsler; Alexi Savov; Philipp Schnabl | |
| 发表日期 | 2018-05-14 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We show that maturity transformation does not expose banks to significant interest rate risk|it hedges it. This is due to banks' deposit franchise. The deposit franchise gives banks substantial market power over deposits, allowing them to pay deposit rates that are low and insensitive to market interest rates. Maintaining this power requires banks to incur large, interest-insensitive operating costs, so that the total costs of deposits are similar to fixed-rate, long-term debt. Hedging these costs therefore requires banks to lend long term|i.e., to do maturity transformation. As predicted by this theory, we document that banks' net interest margins have been highly stable and insensitive to interest rates, and banks' net worth is largely insulated from monetary policy shocks. We further show that banks match the interest-rate sensitivities of their expenses and income one-for-one, so that banks with less interest-sensitive deposits (more market power) hold assets with substantially longer duration. Our results show that deposits are special because they are short-term and yet have interest-insensitive costs, which explains why banks are able to supply long-term credit. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Financial Institutions ; Corporate Finance |
| URL | https://www.nber.org/papers/w24582 |
| 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/582256 |
| 推荐引用方式 GB/T 7714 | Itamar Drechsler,Alexi Savov,Philipp Schnabl. Banking on Deposits: Maturity Transformation without Interest Rate Risk. 2018. |
| 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 | ||
| w24582.pdf（695KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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