Banking on Deposits: Maturity Transformation without Interest Rate Risk
研究发现银行的期限转换并不暴露于利率风险，反而对冲了风险，原因是存款特许权价值使银行能支付低且不敏感于市场利率的存款利率，从而解释了银行提供长期信贷的原因。
ABSTRACT We show that maturity transformation does not expose banks to interest rate risk—it hedges it. The reason is the deposit franchise, which allows banks to pay deposit rates that are low and insensitive to market interest rates. Hedging the deposit franchise requires banks to earn income that is also insensitive, that is, to lend long term at fixed rates. As predicted by this theory, we show that banks closely match the interest rate sensitivities of their interest income and expense, and that this insulates their equity from interest rate shocks. Our results explain why banks supply long‐term credit.