Interest rate risk and bank equity valuations

• 成果类型: Article
• 署名作者: English, William B.; Van den Heuvel, Skander J.; Zakrajsek, Egon
• 署名单位: Yale University; Federal Reserve System - USA; Federal Reserve System Board of Governors; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2018.04.010
• 发表日期: 2018
• 页码: 80-97
• 关键词: Monetary policy; FOMC announcements; Interest rate surprises; Maturity transformation; bank profitability; Deposit disintermediation

摘要

Using high-frequency identification, we estimate the reaction of bank stock prices to movements in interest rates prompted by FOMC announcements and examine how this reaction varies with key bank characteristics. Bank stock prices decline significantly following unanticipated increases in the level or slope of the yield curve. The reaction is larger for banks that rely heavily on core deposits but is reduced for banks with a large maturity mismatch, consistent with banks' role in maturity transformation. Policy-induced interest rate changes appear to affect accounting profits primarily through net interest margins and changes in the composition of bank balance sheets. Published by Elsevier B.V.