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 …

We show that firm liability structure and associated cash flows matter for firm behavior and
that financial market participants price stocks accordingly. Stock price reactions to monetary …

We study the allocation of interest rate risk within the European banking sector using novel
data. Banks' exposure to interest rate risk is small on aggregate, but heterogeneous in the …

Does banks' exposure to interest rate risk change when interest rates are very low or
negative? Using a high-frequency event study methodology and intraday data, we find that …

Corporate credit lines are drawn more heavily when funding markets are more stressed.
This covariance elevates expected bank funding costs. We show that credit supply is …

Banks' balance sheet exposure to fluctuations in interest rates strongly forecasts excess
Treasury bond returns. This result is consistent with optimal risk management, a banking …

The share of firms' borrowing from bond markets has been rising globally, and notably in the
Eurozone. How does debt structure affect the transmission of monetary policy? We present a …

Slower passthrough of policy interest rate hikes to deposit rates relative to their loan rates
has led to sharply wider bank net interest margins. Combined with resilient asset quality …

Why do residential mortgages carry a fixed or an adjustable interest rate? To answer this
question we study unique data from 103 banks belonging to 73 different banking groups …

Banks engage in maturity transformation and the term premium compensates them for
bearing the associated interest rate risk. Consistent with this view, I show that banks' net …