The business cycle implications of banksʼ maturity transformation
This paper develops an RBC model where banks use short-term deposits to provide firms with long-term credit. The demand for long-term credit arises because firms borrow in order to finance their capital stock which they only adjust at infrequent intervals. We show that maturity transformation in the...
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| Veröffentlicht in: | Review of economic dynamics 2013-10, Vol.16 (4), p.581-600 |
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| container_title | Review of economic dynamics |
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| creator | Andreasen, Martin M. Ferman, Marcelo Zabczyk, Pawel |
| description | This paper develops an RBC model where banks use short-term deposits to provide firms with long-term credit. The demand for long-term credit arises because firms borrow in order to finance their capital stock which they only adjust at infrequent intervals. We show that maturity transformation in the banking sector dampens the consumption and investment response to a technology shock. Our model also implies that the average deposit rate is less persistent than the average long-term loan rate, which we show is in line with corporate interest rate data in the US.
► We consider infrequent capital adjustments for firms. ► This introduces a demand for long-term credit into DSGE models. ► Banks use short-term deposit to provide firms with long-term credit. ► Thus, banks solve the classical maturity transformation problem. |
| doi_str_mv | 10.1016/j.red.2012.12.001 |
| format | Article |
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► We consider infrequent capital adjustments for firms. ► This introduces a demand for long-term credit into DSGE models. ► Banks use short-term deposit to provide firms with long-term credit. ► Thus, banks solve the classical maturity transformation problem.</description><subject>Bank portfolios</subject><subject>Banking</subject><subject>Banking industry</subject><subject>Banks</subject><subject>Business cycles</subject><subject>Capital stock</subject><subject>Consumption</subject><subject>DSGE model</subject><subject>Economic models</subject><subject>Economic theory</subject><subject>Financial frictions</subject><subject>Financial services</subject><subject>Investment</subject><subject>Long-term credit</subject><subject>Maturity transformation</subject><subject>Studies</subject><subject>Technology stocks</subject><subject>U.S.A</subject><issn>1094-2025</issn><issn>1096-6099</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2013</creationdate><recordtype>article</recordtype><recordid>eNp9kM1KxDAURoMoOI4-gLuCGzet9yZt0uJKxT8YcDOuQ5qmmLFtxqQV5t18Ap_KzIwrF8IHN4vzXXIPIecIGQLyq1XmTZNRQJrFAOABmSFUPOVQVYe7d55SoMUxOQlhFQHkwGfkdvlmknoKdjAhJHqjO5PYft1ZrUbrhpC4NqnV8B6-v5JejZO34yYZvRpC63y_Y07JUau6YM5-55y8Ptwv757Sxcvj893NItU5L8Y0b7BFXirBGJaqrjCvclYKqg0viqpGVVAueA0ooAUmgDIoi1aUGlGIomZsTi73e9fefUwmjLK3QZuuU4NxU5CY5yUTVFCM6MUfdOUmP8TfbakYKIWIFO4p7V0I3rRy7W2v_EYiyK1VuZLRqtxalTFRWuxc7zsmXvppjZdBWzNo01hv9CgbZ_9p_wA44X3j</recordid><startdate>20131001</startdate><enddate>20131001</enddate><creator>Andreasen, Martin M.</creator><creator>Ferman, Marcelo</creator><creator>Zabczyk, Pawel</creator><general>Elsevier Inc</general><general>Academic Press</general><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>20131001</creationdate><title>The business cycle implications of banksʼ maturity transformation</title><author>Andreasen, Martin M. ; Ferman, Marcelo ; Zabczyk, Pawel</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c465t-4d1f168a73318ab914943872ce6559b1a52676b0170f037023085f78c11775b33</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2013</creationdate><topic>Bank portfolios</topic><topic>Banking</topic><topic>Banking industry</topic><topic>Banks</topic><topic>Business cycles</topic><topic>Capital stock</topic><topic>Consumption</topic><topic>DSGE model</topic><topic>Economic models</topic><topic>Economic theory</topic><topic>Financial frictions</topic><topic>Financial services</topic><topic>Investment</topic><topic>Long-term credit</topic><topic>Maturity transformation</topic><topic>Studies</topic><topic>Technology stocks</topic><topic>U.S.A</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Andreasen, Martin M.</creatorcontrib><creatorcontrib>Ferman, Marcelo</creatorcontrib><creatorcontrib>Zabczyk, Pawel</creatorcontrib><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Review of economic dynamics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Andreasen, Martin M.</au><au>Ferman, Marcelo</au><au>Zabczyk, Pawel</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>The business cycle implications of banksʼ maturity transformation</atitle><jtitle>Review of economic dynamics</jtitle><date>2013-10-01</date><risdate>2013</risdate><volume>16</volume><issue>4</issue><spage>581</spage><epage>600</epage><pages>581-600</pages><issn>1094-2025</issn><eissn>1096-6099</eissn><coden>REDEB7</coden><abstract>This paper develops an RBC model where banks use short-term deposits to provide firms with long-term credit. The demand for long-term credit arises because firms borrow in order to finance their capital stock which they only adjust at infrequent intervals. We show that maturity transformation in the banking sector dampens the consumption and investment response to a technology shock. Our model also implies that the average deposit rate is less persistent than the average long-term loan rate, which we show is in line with corporate interest rate data in the US.
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| language | eng |
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| subjects | Bank portfolios Banking Banking industry Banks Business cycles Capital stock Consumption DSGE model Economic models Economic theory Financial frictions Financial services Investment Long-term credit Maturity transformation Studies Technology stocks U.S.A |
| title | The business cycle implications of banksʼ maturity transformation |
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