2024-03-29T14:51:23Zhttps://repositorio.bde.es/oai/requestoai:repositorio.bde.es:123456789/71112023-06-08T12:35:38Zcom_123456789_5661com_123456789_21col_123456789_5685
Repositorio Institucional
author
Aksoy, Yunus
author
Basso, Henrique S.
2019-08-10T18:02:16Z
2019-08-10T18:02:16Z
2012-06-22
ISSN: 1579-8666 (en línea)
https://repositorio.bde.es/handle/123456789/7111
000343764
DTRA-201223-eng
We propose a model that delivers endogenous variations in term spreads driven primarily by banks’ portfolio decision and their appetite to bear the risk of maturity transformation. We first show that fluctuations of the future profitability of banks’ portfolios affect their ability to cover for any liquidity shortage and hence infl uence the premium they require to carry maturity risk. During a boom, profitability is increasing and thus spreads are low, while during a recession profitability is decreasing and spreads are high, in accordance with the cyclical properties of term spreads in the data. Second, we use the model to look at monetary policy and show that allowing banks to sell long-term assets to the central bank after a liquidity shock leads to a sharp decrease in long-term rates and term spreads. Such interventions have signifi cant impact on long-term investment, decreasing the amplitude of output responses after a liquidity shock. The short-term rate does not need to be decreased as much and infl ation turns out to be much higher than if no QE interventions were implemented. Finally, we provide macro and micro-econometric evidence for the U.S. confirming the importance of expected financial business profitability in the determination of term spread fluctuations
eng
Reconocimiento-NoComercial-CompartirIgual 4.0 Internacional (CC BY-NC-SA 4.0)
Yield curve
Quantitative easing
Maturity risk
Bank portfolio
Curva de rendimientos
Flexibilización cuantitativa
Riesgo de transformación de plazos
Cartera de los bancos
Liquidity, term spreads and monetary policy
Documento de trabajo
URL
https://repositorio.bde.es/bitstream/123456789/7111/1/dt1223e.pdf
File
MD5
acab5d547c3ed564f082bf954f80192d
821855
application/pdf
dt1223e.pdf
URL
https://repositorio.bde.es/bitstream/123456789/7111/2/dt1223e.pdf.txt
File
MD5
726f0bd9efad109323b4259fd035f9a9
138405
text/plain
dt1223e.pdf.txt