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Maturity mismatches and the transmission of term premium shocks through bank lending

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  • Uluc Aysun

    (University of Central Florida, Orlando, FL)

Abstract

This paper shows that the transmission of term premium shocks to the real economy operates more strongly through banks whose owners have high maturity mismatches. Using bank-level call report data, it �nds that the subsidiaries of bank holding companies that engage in a greater degree of maturity transformation lend more in response to an unanticipated rise in the term premium. This inference is obtained by applying a unique methodology that suppresses the demand side e¤ects of term premium shocks when measuring their independent effects on the supply side of the loanable funds market. Without the methodology the inferences are reversed.

Suggested Citation

  • Uluc Aysun, 2025. "Maturity mismatches and the transmission of term premium shocks through bank lending," Working Papers 2025-01, University of Central Florida, Department of Economics.
    • Handle: RePEc:cfl:wpaper:2025-01ua
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    More about this item

    Keywords

    Maturity mismatches; term premium; real economy; call report data.;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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