Banking on Deposits: Maturity Transformation without Interest Rate Risk

• 成果类型: Article
• 署名作者: Drechsler, Itamar; Savov, Alexi; Schnabl, Philipp
• 署名单位: University of Pennsylvania; New York University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13013
• 发表日期: 2021
• 页码: 1091-1143
• 关键词: financial fragility; liquidity risk; MARKET; profitability; RIGIDITY

摘要

We show that maturity transformation does not expose banks to interest rate risk-it hedges it. The reason is the deposit franchise, which allows banks to pay deposit rates that are low and insensitive to market interest rates. Hedging the deposit franchise requires banks to earn income that is also insensitive, that is, to lend long term at fixed rates. As predicted by this theory, we show that banks closely match the interest rate sensitivities of their interest income and expense, and that this insulates their equity from interest rate shocks. Our results explain why banks supply long-term credit.