How Excessive Is Banks' Maturity Transformation?

• 成果类型: Article
• 署名作者: Segura, Anatoli; Suarez, Javier
• 署名单位: European Central Bank; Bank of Italy; Center for Economic & Policy Research (CEPR)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx054
• 发表日期: 2017
• 页码: 3538
• 关键词: debt maturity; LIQUIDITY CREATION; Deposit insurance; search frictions; CORPORATE-BONDS; Rollover risk; moral hazard; MARKETS; runs; externalities

摘要

We quantify the gains from regulating maturity transformation in a model of banks that finance long-term assets with nontradable debt. Banks choose the amount and maturity of their debt by trading off investors' preferences for short maturities with the risk of systemic crises. Pecuniary externalities make unregulated debt maturities inefficiently short. In calibrating the model to eurozone banking data for 2006, we find that lengthening the average maturity of wholesale debt from 2.8 to 3.3 months would produce welfare gains with a present value of euro 105 billion, while the lengthening induced by the NSFR would be too drastic.