. However, we also confirm a remaining exposure to changing market rates. Our results shed light on an implicit hedging …

bank business models. Therefore, we assemble a data set of balance sheet positions including maturities and use the method …

deposit franchise, which allows banks to pay deposit rates that are low and insensitive to market interest rates. Hedging the …

bank-level data for German banks, we find evidence that a bank's exposure to interest rate risk depends on its presumed … optimization horizon. The longer the presumed optimization horizon is, the more the bank is exposed to interest rate risk in its … exposure to interest rate risk. The more a bank is exposed to the risk of a decline in the interest rate level, the higher its …

bank-level data for German banks, we find evidence that a bank's exposure to interest rate risk depends on its presumed … optimization horizon. The longer the presumed optimization horizon is, the more the bank is exposed to interest rate risk in its … exposure to interest rate risk. The more a bank is exposed to the risk of a decline in the interest rate level, the higher its …

and (ii) above 50% of hedging banks use derivatives to increase exposure. We model a bank's capital structure, and show …Empirically, bank equity value is decreasing in the interest rate. Yet (i) many banks do not hedge interest rate risk … that these facts are consistent with optimal hedging under financial frictions. Novel predictions on the characteristics of …