How do banks respond to limits on maturity transformation?
研究了银行在取消类似净稳定资金比率的期限转换限制后的行为，发现银行调整资产负债结构、增加利率风险暴露，但盈利能力和信用风险未受影响，同时利用放松管制增加抵押贷款交叉销售。
Abstract We study the response of banks to the removal of a limit on maturity transformation, similar to the Net Stable Funding Ratio. We formalize the testable hypotheses using a simple banking model where the profitability function depends on the level of maturity transformation and the risk profile. We show that after the regulatory change, banks rebalanced the composition of their assets and liabilities. They increased their exposure to interest rate risk, while we find no effect on credit risk. Our evidence supports the common theoretical view that banks have an incentive to engage in maturity transformation and that this implies higher interest rate risk exposure. We also show that bank profitability is not affected. However, banks take advantage of the greater flexibility provided by deregulation to engage in some cross-selling associated with the increased supply of mortgages, which is consistent with the theory emphasizing the importance of increasing market power.