An Analysis of Factors Affecting Korean Banks' Maturity Mismatch (in Korean)

Jong Ku Kang ()
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Jong Ku Kang: Economic Research Institute, The Bank of Korea

Economic Analysis (Quarterly), 2010, vol. 16, issue 4, 1-50

Abstract: This paper measures banks' maturity mismatches using 「(short term funding - short term fund management)/total funding〠ratio. The domestic banks' average maturity mismatch ratio had increased significantly since mid-2000s until the third quarter of 2008, in which the global financial crisis broke out. Meanwhile, this paper finds that domestic banks whose maturity mismatch rates were higher before the financial crisis received greater amount of liquidity support from the government and the central bank after the financial crisis. The result of theoretical analysis using the general equilibrium model shows that a variety of factors including agents' risk aversions affects a bank's maturity mismatch. According to the empirical analysis, the lower the core capital ratio, an indicator reflecting banks' risk management efforts, the greater is the maturity mismatch. And, increases in prices of residential housing and stocks, which are substitute for long term deposits, bring rise in the maturity mismatch. Finally, the higher the severity of competition among banks and the lower the maturity spread, the greater is the maturity mismatch.

Keywords: Maturity mismatch; Liquidity risk; Financial stability; Risk aversion; Core capital ratio (search for similar items in EconPapers)
JEL-codes: E58 G11 G21 (search for similar items in EconPapers)
Date: 2010
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