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Title page
Contents
Abstract 2
Non-technical summary 3
1. Introduction 5
2. Data and descriptive statistics 9
3. Measuring interest rate risk 10
3.1. A simple framework and three measures of interest rate risk 11
3.2. The calibration of deposits 13
3.3. Further implementation details 14
4. Banks' exposures to interest rate risk 15
4.1. Theoretical considerations 15
4.2. Cross-sectional distributions 16
4.3. The role of loan-rate fixation conventions 18
4.4. Further evidence-explaining variation on the asset side 20
5. Hedging with derivatives 22
5.1. Joint behavior of on-and off-balance sheet exposures 22
5.2. Cross-sectional variation in hedging 24
6. Policy implications 25
6.1. Redistributive effects of monetary policy-banks 26
6.2. Redistributive effects of monetary policy-households 27
7. Conclusion 28
References 30
Appendix 52
A. Construction of the data 52
B. Online Appendix for "Who bears interest rate risk?" 54
Acknowledgements 66
Table 1. Balance sheets-descriptive statistics 33
Table 2. Descriptive statistics on banks' use of IRS 34
Table 3. Deposits-breakdown and duration of sight deposits 35
Table 4. Re-pricing cash flows-descriptive statistics 36
Table 5. Banks' exposure to interest rate risk 37
Table 6. Explaining banks' exposure to interest rate risk 38
Table 7. Explaining the asset side 40
Table 8. Hedging 42
Table 9. Intensity of hedging in the cross-section 43
Table 10. Households' exposure to interest rate risk-ΔPVHH 44
Figure 1. Banks' exposure to interest rate risk 45
Figure 2. Variation across countries and business models 46
Figure 3. Variable-rate mortgages in euro area countries 47
Figure 4. Banks' exposure to interest rate risk and retail lending 48
Figure 5. On- vs. off-balance sheet exposures to interest rate risk 49
Figure 6. Banks' exposures before and after hedging 50
Figure 7. On-vs. off-balance sheet exposures to interest rate risk 51
Table B.1. Deposit durations and pass-through rates 54
Table B.2. Explaining banks' exposure to interest rate risk-VRM as a continuous variable 56
Table B.3. The role of loan-rate fixation conventions in corporate loans 57
Table B.4. Banks' exposure to interest rate risk-weighted by assets 58
Table B.5. Explaining banks' exposure to interest rate risk-weighted by assets 58
Table B.6. Adding information on the trading book 59
Table B.7. Differences between ΔPV and income-based measures of interest rate risk 62
Figure B.1. Adding information on the trading book: on-and off-balance sheet exposures 60
Figure B.2. Risk-sharing in the IRS market 65
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