Interest Rates and Bank Profitability: Additional Evidence: Note
研究小型商业银行的利率风险暴露，发现其与大型银行类似，数据不支持银行普遍借短贷长的传统观点。
Large banking organizations (1978 assets greater than $2 billion) are well hedged against interest rate fluctuations [2]. When market rates change, their revenues and costs adjust equally quickly, leaving net current operating earnings largely unaffected. At the other institutional extreme, thrift institutions have seriously mismatched balanced sheets [1, 4], causing their earnings to fluctuate violently when interest rates change. Small commercial banks in many ways lie between their larger counterparts and the thrifts. Small banks share the predominantly retail orientation of thrifts (often holding large mortgage portfolios), but have access to a broader range of asset and liability powers. It is therefore unclear ex ante whether small banks bear a greater resemblance to thrifts or large commercial banks in terms of interest rate risk exposure. To resolve the issue empirically, this note applies the methodology of [2] to a set of sixty smaller banks. The empirical results are similar to the results for large banks: the data do not support the conventional wisdom that banks chronically and extensively borrow short and lend long.