Market Interest Rates and Commercial Bank Profitability: An Empirical Investigation
提出估算大银行资产与负债平均期限的方法，并通过回归模型检验市场利率波动对银行盈利能力的影响，结论是大型银行通过匹配资产与负债期限有效对冲了利率风险。
ABSTRACT The widespread notion that commercial banks “borrow short and lend long” implies that sharp market interest rate increases may induce a significant number of banking failures. This paper develops a method for estimating average asset and liability maturities for a sample of large money center banks. Regression models are tested to determine if market rate fluctuations have a significant impact on bank profitability. The conclusion is negative: large banks have effectively hedged themselves against market rate risk by assembling asset and liability portfolios with similar average maturities.