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

[thumbnail of gap.pdf]
Preview
Text
Download (370kB) | Preview

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)
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
View Item

Downloads

Downloads per month over past year