Who Bears Interest Rate Risk?

• 成果类型: Article
• 署名作者: Hoffmann, Peter; Langfield, Sam; Pierobon, Federico; Vuillemey, Guillaume
• 署名单位: European Central Bank; Hautes Etudes Commerciales (HEC) Paris
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy113
• 发表日期: 2019
• 页码: 2921
• 关键词: monetary-policy; housing finance; channel; MARKET; management; RIGIDITY; maturity; banking

摘要

We study the allocation of interest rate risk within the European banking sector using novel data. Banks' exposure to interest rate risk is small on aggregate, but heterogeneous in the cross-section. Contrary to conventional wisdom, net worth is increasing in interest rates for approximately half of the institutions in our sample. Cross-sectional variation in banks' exposures is driven by cross-country differences in loan-rate fixation conventions for mortgages. Banks use derivatives to partially hedge on-balance-sheet exposures. Residual exposures imply that changes in interest rates have redistributive effects within the banking sector.