文章基本信息

标题：The business cycle implications of banks' maturity transformation
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作者：Martin M. Andreasen ; Marcelo Ferman ; Pawel Zabczyk 等
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2012
出版社：European Central Bank
摘要：This paper develops a DSGE model where banks use short-term deposits to provide rms with long-term credit. The demand for long-term credit arises because rms borrow in order to nance their capital stock which they only adjust at infrequent intervals. Within an RBC framework, we show that maturity transformation in the banking sector dampens the consumption and investment response to a technology shock. Our model also implies that the average deposit rate is less persistent than the average long-term loan rate, which we show is in line with corporate interest rate data in the US.
关键词：Banks; DSGE model; Financial frictions; Long-term credit; Maturity transformation