Banks’ exposure to interest rate risk and the transmission of monetary policy
© 2020 Elsevier B.V. The cash-flow exposure of banks to interest rate risk, or income gap, is a significant determinant of the transmission of monetary policy to bank lending and real activity. When the Fed Funds rate rises, banks with a larger income gap generate stronger earnings and contract thei...
| Main Authors: | , , , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
Elsevier BV
2021
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| Online Access: | https://hdl.handle.net/1721.1/133965 |
| _version_ | 1826206689957773312 |
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| author | Gomez, Matthieu Landier, Augustin Sraer, David Thesmar, David |
| author2 | Sloan School of Management |
| author_facet | Sloan School of Management Gomez, Matthieu Landier, Augustin Sraer, David Thesmar, David |
| author_sort | Gomez, Matthieu |
| collection | MIT |
| description | © 2020 Elsevier B.V. The cash-flow exposure of banks to interest rate risk, or income gap, is a significant determinant of the transmission of monetary policy to bank lending and real activity. When the Fed Funds rate rises, banks with a larger income gap generate stronger earnings and contract their lending by less than other banks. This finding is robust to controlling for factors known to affect the transmission of monetary policy to bank lending. It also holds on loan-level data, even when we control for firm-specific credit demand. When monetary policy tightens, firms borrowing from banks with a larger income gap reduce their investment by less than other firms. |
| first_indexed | 2024-09-23T13:36:43Z |
| format | Article |
| id | mit-1721.1/133965 |
| institution | Massachusetts Institute of Technology |
| language | English |
| last_indexed | 2024-09-23T13:36:43Z |
| publishDate | 2021 |
| publisher | Elsevier BV |
| record_format | dspace |
| spelling | mit-1721.1/1339652024-01-02T19:10:02Z Banks’ exposure to interest rate risk and the transmission of monetary policy Gomez, Matthieu Landier, Augustin Sraer, David Thesmar, David Sloan School of Management © 2020 Elsevier B.V. The cash-flow exposure of banks to interest rate risk, or income gap, is a significant determinant of the transmission of monetary policy to bank lending and real activity. When the Fed Funds rate rises, banks with a larger income gap generate stronger earnings and contract their lending by less than other banks. This finding is robust to controlling for factors known to affect the transmission of monetary policy to bank lending. It also holds on loan-level data, even when we control for firm-specific credit demand. When monetary policy tightens, firms borrowing from banks with a larger income gap reduce their investment by less than other firms. 2021-10-27T19:57:25Z 2021-10-27T19:57:25Z 2021 2021-04-12T16:21:30Z Article http://purl.org/eprint/type/JournalArticle https://hdl.handle.net/1721.1/133965 en 10.1016/J.JMONECO.2020.03.011 Journal of Monetary Economics Creative Commons Attribution-NonCommercial-NoDerivs License http://creativecommons.org/licenses/by-nc-nd/4.0/ application/pdf Elsevier BV SSRN |
| spellingShingle | Gomez, Matthieu Landier, Augustin Sraer, David Thesmar, David Banks’ exposure to interest rate risk and the transmission of monetary policy |
| title | Banks’ exposure to interest rate risk and the transmission of monetary policy |
| title_full | Banks’ exposure to interest rate risk and the transmission of monetary policy |
| title_fullStr | Banks’ exposure to interest rate risk and the transmission of monetary policy |
| title_full_unstemmed | Banks’ exposure to interest rate risk and the transmission of monetary policy |
| title_short | Banks’ exposure to interest rate risk and the transmission of monetary policy |
| title_sort | banks exposure to interest rate risk and the transmission of monetary policy |
| url | https://hdl.handle.net/1721.1/133965 |
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