Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/193570
Authors: 
Bologna, Pierluigi
Year of Publication: 
2018
Series/Report no.: 
ESRB Working Paper Series 63
Abstract: 
The aim of this paper is twofold: first, to study the determinants of banks' net interest margin with a particular focus on the role of maturity transformation, using a new measure of maturity mismatch; second, to analyse the implications for banks of the relaxation of a binding prudential limit on maturity mismatch, in place in Italy until the mid-2000s. The results show that maturity transformation is an important driver of the net interest margin, as higher maturity transformation is typically associated with higher net interest margin. However, there is a limit to this positive relationship as "excessive" maturity transformation - even without leading to systemic vulnerabilities - has some undesirable implications in terms of higher exposure to interest rate risk and lower net interest margin.
Subjects: 
banks
profitability
maturity transformation
interest rates
macroprudential
microprudential
JEL: 
E43
G21
G28
Persistent Identifier of the first edition: 
ISBN: 
978-92-9472-016-0
Document Type: 
Working Paper

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