Disproportionate costs of uncertainty: Small bank hedging and Dodd‐Frank
研究发现多德-弗兰克法案的不确定性导致小银行减少利率对冲活动，当不确定性消除后，小银行对冲增加97%-120%，抵押贷款证券化收入增长65.2%，说明监管需考虑小银行的更高成本。
Abstract Uncertainty in banking regulation may impose widespread economic costs by increasing financial constraints on credit availability. Four years of Dodd‐Frank uncertainty over undecided risk weightings increased regulatory uncertainty for smaller banks, restricting “vanilla” interest rate hedging activities. This paper uses newly reported mortgage banking data as an identification strategy and finds that when costs of uncertainty are removed, small banks hedge 97%–120% more interest rate risk while mortgage securitization income increases by 65.2% compared to large banks. These findings support the need for tailored regulations that consider the higher costs of regulatory uncertainty for smaller banks.