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

Uluc Aysun

No 2025-01, Working Papers from University of Central Florida, Department of Economics

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.

Keywords: Maturity mismatches; term premium; real economy; call report data. (search for similar items in EconPapers)
JEL-codes: E44 G11 G12 G21 (search for similar items in EconPapers)
Pages: 43 Pages
Date: 2025-02
New Economics Papers: this item is included in nep-inv
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