The Impact of Interest Rate Risk on Bank Lending

Details

Serval ID
serval:BIB_21B147C9423A
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
The Impact of Interest Rate Risk on Bank Lending
Journal
Journal of Banking and Finance
Author(s)
Beutler Toni, Bichsel Robert, Bruhin Adrian, Danton Jayson
Publication state
In Press
Peer-reviewed
Oui
Language
english
Abstract
This paper analyzes the transmission of realized interest rate risk to bank lending. It exploits unique
supervisory information about the interest rate risk exposure of Swiss banks net of hedging. By weakening
the banks’ economic capital, realized interest rate risk explains on average around one eighth or 30 basis
points of the predicted total reduction in cumulative loan growth a year after an upward shock in nominal
rates by one percentage point. Moreover, heterogeneity in exposures implies that the effects would differ
across institutions. Finally, bank lending is mainly driven by the banks’ capital- rather than their liquiditysituation.
Keywords
Interest Rate Risk, Bank Lending, Monetary Policy Transmission
Create date
28/02/2020 14:42
Last modification date
06/03/2020 7:20
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