Banks' exposure to interest rate risk and the transmission of monetary policy

• 成果类型: Article
• 署名作者: Gomez, Matthieu; Landier, Augustin; Sraer, David; Thesmar, David
• 署名单位: Columbia University; Hautes Etudes Commerciales (HEC) Paris; National Bureau of Economic Research; University of California System; University of California Berkeley; Center for Economic & Policy Research (CEPR); University of California System; University of California Berkeley; Massachusetts Institute of Technology (MIT); Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2020.03.011
• 发表日期: 2021
• 关键词: Income gap; monetary policy; Bank lending channel

摘要

The cash-flow exposure of banks to interest rate risk, or income gap, is a significant determinant of the transmission of monetary policy to bank lending and real activity. When the Fed Funds rate rises, banks with a larger income gap generate stronger earnings and contract their lending by less than other banks. This finding is robust to controlling for factors known to affect the transmission of monetary policy to bank lending. It also holds on loan-level data, even when we control for firm-specific credit demand. When monetary policy tightens, firms borrowing from banks with a larger income gap reduce their investment by less than other firms. (C) 2020 Elsevier B.V. All rights reserved.