Landier, Augustin, Sraer, David
and Thesmar, David
(2013)
Banks Exposure to Interest Rate Risk and The Transmission of Monetary Policy.
TSE Working Paper, n. 13-438, Toulouse
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Abstract
We show empirically that banks' exposure to interest rate risk, or income gap, plays a crucial role in
monetary policy transmission. In a first step, we show that banks typically retain a large exposure
to interest rates that can be predicted with income gap. Secondly, we show that income gap also predicts
the sensitivity of bank lending to interest rates. Quantitatively, a 100 basis point increase in the Fed
funds rate leads a bank at the 75th percentile of the income gap distribution to increase lending by
about 1.6 percentage points annually relative to a bank at the 25th percentile.
Item Type: | Monograph (Working Paper) |
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Language: | English |
Date: | February 2013 |
Place of Publication: | Toulouse |
Subjects: | B- ECONOMIE ET FINANCE |
Divisions: | TSE-R (Toulouse) |
Institution: | Université Toulouse 1 Capitole |
Site: | UT1 |
Date Deposited: | 09 Jul 2014 17:39 |
Last Modified: | 02 Apr 2021 15:48 |
OAI Identifier: | oai:tse-fr.eu:27663 |
URI: | https://publications.ut-capitole.fr/id/eprint/15745 |