Banking on Deposits: Maturity Transformation without Interest Rate Risk

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...

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Veröffentlicht in:	The Journal of finance (New York) 2021-06, Vol.76 (3), p.1091-1143
Hauptverfasser:	DRECHSLER, ITAMAR, SAVOV, ALEXI, SCHNABL, PHILIPP
Format:	Artikel
Sprache:	eng
Schlagworte:	Bank deposits Bank earnings Banking Hedging Interest income Interest rate risk Interest rates Maturity Transformation
Online-Zugang:	Volltext
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