Maturity Intermediation and Intertemporal Lending Policies of Financial Intermediaries
研究风险规避型金融中介在利率不确定下的期限错配与固定/浮动利率贷款决策，发现匹配资产与负债期限并非最优或风险最小，原因在于滚动短期贷款为长期贷款融资带来的内在对冲效应。
This paper considers the maturity intermediation and intertemporal lending decisions of risk-averse financial intermediaries. In particular, the maturity mismatch problem and the fixed-versus-variable-rate lending decision are modeled when the major source of risk involves uncertain future interest rates. The results imply that the strategy of matching the maturity of assets and liabilities is not generally optimal or even minimum risk. This is due primarily to the “built-in” hedge that the intermediary has as a result of rolling over short-term loans while continuing to finance long-term loans. Intertemporal dependencies between loan demand and costs (or both) also have an effect on the optimal degree of maturity mismatching and provide one rationale for making loans at rates below current marginal cost.