Banks Maturity Transformation
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Banks Maturity Transformation Risk Reward And Policy
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Author : Pierluigi Bologna
language : en
Publisher: International Monetary Fund
Release Date : 2018-03-09
Banks Maturity Transformation Risk Reward And Policy written by Pierluigi Bologna and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-03-09 with Business & Economics categories.
The aim of this paper is twofold: first, to study the determinants of banks’ net interest margin with a particular focus on the role of maturity transformation, using a new measure of maturity mismatch; second, to analyse the implications for banks from the relaxation of a binding prudential limit on maturity mismatch, in place in Italy until mid-2000s. The results show that maturity transformation is a relevant driver of the net interest margin, as higher maturity transformation is typically associated with higher net interest margin. However, ‘excessive’ maturity transformation— even without leading to systemic vulnerabilities— increases banks’ interest rate risk exposure and lowers their net interest margin.
Banks Maturity Transformation
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Author :
language : en
Publisher:
Release Date : 2018
Banks Maturity Transformation written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
The aim of this paper is twofold: first, to study the determinants of banks' net interest margin with a particular focus on the role of maturity transformation, using a new measure of maturity mismatch; second, to analyse the implications for banks of the relaxation of a binding prudential limit on maturity mismatch, in place in Italy until the mid-2000s. The results show that maturity transformation is an important driver of the net interest margin, as higher maturity transformation is typically associated with higher net interest margin. However, there is a limit to this positive relationship as 'excessive' maturity transformation - even without leading to systemic vulnerabilities - has some undesirable implications in terms of higher exposure to interest rate risk and lower net interest margin.
The Business Cycle Implications Of Banks Maturity Transformation
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Author : Martin M. Andreasen
language : en
Publisher:
Release Date : 2012
The Business Cycle Implications Of Banks Maturity Transformation written by Martin M. Andreasen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
How Excessive Is Banks Maturity Transformation
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Author :
language : en
Publisher:
Release Date : 2016
How Excessive Is Banks Maturity Transformation written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
We quantify the gains from regulating banks' maturity transformation in an infinite horizon model of banks which finance long-term assets with non-tradable debt. Banks choose the amount and maturity of their debt trading off investors' preference for short maturities with the risk of systemic crises. As in Stein (2012), pecuniary externalities make unregulated debt maturities inefficiently short. The assessment is based on the calibration of the model to Eurozone banking data for 2006. Lengthening the average maturity of wholesale debt from its 2.8 months to 3.3 months would produce welfare gains with a present value of euro 105 billion.
Determinants Of Bank Interest Margins
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Author : Oliver Entrop
language : en
Publisher:
Release Date : 2016
Determinants Of Bank Interest Margins written by Oliver Entrop and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
This paper explores the extent to which interest risk exposure is priced in bank margins. Our contribution to the literature is twofold: First, we present an extended model of Ho and Saunders (1981) that explicitly captures interest rate risk and returns from maturity transformation. Banks price interest risk according to their individual exposure separately in loan and deposit rates, but reduce these charges when they expect returns from maturity transformation. Second, using a comprehensive dataset covering the German universal banks between 2000 and 2009, we test the model-implied hypotheses not only for the commonly investigated net interest income, but additionally for interest income and expenses separately. Controlling for earnings from bank-individual maturity transformation strategies, we find all banks to charge additional fees for macroeconomic interest volatility exposure. Microeconomic on-balance interest risk exposure from maturity transformation, however, only affects the smaller savings and cooperative banks, but not private commercial banks. Returns are only priced in income margins.
Banks Maturity Transformation And Monetary Policy
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Author : Pascal Paul
language : en
Publisher:
Release Date : 2020
Banks Maturity Transformation And Monetary Policy written by Pascal Paul and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
Banking On Deposits
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Author : Itamar Drechsler
language : en
Publisher:
Release Date : 2018
Banking On Deposits written by Itamar Drechsler and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with Bank loans categories.
We show that maturity transformation does not expose banks to significant interest rate risk -- it actually hedges banks' interest rate risk. We argue that this is driven by banks' deposit franchise. Banks incur large operating costs to maintain their deposit franchise, and in return get substantial market power. Market power allows banks to charge depositors a spread by paying deposit rates that are low and insensitive to market rates. The deposit franchise therefore works like an interest rate swap where banks pay the fixed-rate leg (the operating costs) and receive the floating-rate leg (the deposit spread). To hedge the deposit franchise, banks must therefore hold long-term fixed-rate assets; i.e., they must engage in maturity transformation. Consistent with this view, we show that banks' aggregate net interest margins have been highly stable and insensitive to interest rates over the past six decades, and that banks' equity values are largely insulated from monetary policy shocks. Moreover, in the cross section we find that banks match the interest-rate sensitivities of their income and expenses one-for-one, and that banks with less sensitive interest expenses hold substantially more long-term assets. Our results imply that forcing banks to hold only short-term assets ("narrow banking") would make banks unhedged and, more broadly, that the deposit franchise is what allows banks to lend long term.
Determinants Of Bank Interest Margins
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Author :
language : de
Publisher:
Release Date : 2012
Determinants Of Bank Interest Margins written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
How Excessive Is Banks Maturity Transformation
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Author : Anatoli Segura
language : en
Publisher:
Release Date : 2016
How Excessive Is Banks Maturity Transformation written by Anatoli Segura and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with Bank liquidity categories.
We quantify the gains from regulating banks' maturity transformation in an infinite horizon model of banks which finance long-term assets with non-tradable debt. Banks choose the amount and maturity of their debt trading off investors' preference for short maturities with the risk of systemic crises. As in Stein (2012), pecuniary externalities make unregulated debt maturities inefficiently short. The assessment is based on the calibration of the model to Eurozone banking data for 2006. Lengthening the average maturity of wholesale debt from its 2.8 months to 3.3 months would produce welfare gains with a present value of euro 105 billion.
Rollover Risk And The Maturity Transformation Function Of Banks
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Author : Teodora Paligorova
language : en
Publisher:
Release Date : 2014
Rollover Risk And The Maturity Transformation Function Of Banks written by Teodora Paligorova and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Bank loans categories.