Monetary Policy, Held-to-Maturity Securities, and Uninsured Deposit Withdrawals
研究发现联邦基金利率上升导致银行持有至到期证券的未实现损失增加，进而引发大量未保险存款提取，尤其对投资组合损失大、资本比率低的银行影响显著。
This paper shows that an increase in the Federal funds rate is associated with an increase in banks' unrealized losses due to their held-to-maturity (HTM) portfolio. This increase exposes banks to large uninsured deposit withdrawals as depositors seek a flight to safety. This relationship is present mainly for banks with investment portfolio losses and those with a lower capital ratio. Our results highlight the importance of banks' HTM securities when a maturity mismatch exposes them to losses and deposit withdrawals after interest rates begin to rise.