Liquidity, Term Spreads and Monetary Policy

We propose a model with segmented markets that delivers endogenous variations in term spreads driven by banks' portfolio decisions while facing maturity risk. Future profitability influences the term premium that banks require to carry this risk. When expected profitability is relatively high (...

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Veröffentlicht in:	The Economic journal (London) 2014-12, Vol.124 (581), p.1234-1278
Hauptverfasser:	Aksoy, Yunus, Basso, Henrique S.
Format:	Artikel
Sprache:	eng
Schlagworte:	Balance sheets Bank assets Bank liquidity Bank portfolios Banks Economic fluctuations Economic models Funding Investment risk Liquidity Monetary policy Portfolio selection Profitability Risk premiums Spread Studies Term spread
Online-Zugang:	Volltext
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