Drechsler, Itamar; Savov, Alexi; Schnabl, Philipp; … - National Bureau of Economic Research - 2023
Motivated by the regional bank crisis of 2023, we model the impact of interest rates on the liquidity risk of banks. Prior work shows that banks hedge the interest rate risk of their assets with their deposit franchise: when interest rates rise, the value of the assets falls but the value of the...
