Jiang, Erica Xuewei; Matvos, Gregor; Piskorski, Tomasz; … - National Bureau of Economic Research - 2023
We analyze U.S. banks' asset exposure to a recent rise in the interest rates with implications for financial stability. The U.S. banking system's market value of assets is $2 trillion lower than suggested by their book value of assets accounting for loan portfolios held to maturity....