Why Are Banks Exposed to Monetary Policy?
نویسندگان
چکیده
We propose a model of banks’ exposure to movements in interest rates and their role the transmission monetary shocks. Since bank deposits provide liquidity, higher allow banks earn larger spreads on deposits. Therefore, if risk aversion is than one, optimal dynamic hedging strategy take losses when rise. This can be achieved by traditional maturity-mismatched balance sheet amplifies effects shocks cost liquidity. The match level, time pattern, cross-sectional pattern maturity mismatch. (JEL E43, E44, E51, E52, G21, G32)
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ژورنال
عنوان ژورنال: American Economic Journal: Macroeconomics
سال: 2021
ISSN: ['1945-7707', '1945-7715']
DOI: https://doi.org/10.1257/mac.20180379