Credit risk-taking and maturity mismatch: the role of the yield curve

Giuseppe Ferrero, Andrea Nobili and Gabriele Sene ()
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Gabriele Sene: Bank of Italy

No 1220, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: We study the credit-risk-taking behaviour of Italian banks in response to changes in the term structure of interest rates using a confidential dataset on new loans to non-financial firms. We find that ex-ante risk-taking is negatively related to the short end of the yield curve but positively to the long end. Banks’ balance sheet conditions, as captured not only by capitalization but also by the maturity mismatch between assets and liabilities, are key to relating these findings to the theoretical literature.

Keywords: yield curve; risk-taking channel; reach-for-yield (search for similar items in EconPapers)
JEL-codes: E30 E32 E51 (search for similar items in EconPapers)
Date: 2019-04
New Economics Papers: this item is included in nep-ban and nep-mac
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_1220_19

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