Why Are Banks Exposed to Monetary Policy?
构建模型解释银行对利率变动的暴露及其在货币政策传导中的作用，指出银行通过期限错配的资产负债表主动承担利率风险，从而放大货币政策对流动性成本的影响。
We propose a model of banks’ exposure to movements in interest rates and their role in the transmission of monetary shocks. Since bank deposits provide liquidity, higher interest rates allow banks to earn larger spreads on deposits. Therefore, if risk aversion is higher than one, banks’ optimal dynamic hedging strategy is to take losses when interest rates rise. This risk exposure can be achieved by a traditional maturity-mismatched balance sheet and amplifies the effects of monetary shocks on the cost of liquidity. The model can match the level, time pattern, and cross-sectional pattern of banks’ maturity mismatch.