Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/226364
Authors: 
Schmidhammer, Christoph
Hille, Vanessa
Wiedemann, Arnd
Year of Publication: 
2020
Series/Report no.: 
Bundesbank Discussion Paper No. 58/2020
Abstract: 
This paper analyses theperformance ofmaturity transformation strategiesduring a period of high and low interest rates. Based on German government bond yieldsfrom September 1972 to May 2019,we construct a rolling window of bond ladders where long-term assets are financed by short-term liabilities. Risk and return increase significantly with maturity gaps for both sample periods. During theperiod of low interest rates,dominant strategies can be observed for short-term and medium-term gaps.With respect to different financial reporting standards,weaddress maturity transformation results froman earnings-based perspective as well as froma market value-based perspective.
Subjects: 
Maturity Transformation
Bond Ladders
Period of Low Interest Rates
Performance
Interest Rate Risk
JEL: 
G11
G12
G21
ISBN: 
978-3-95729-789-1
Document Type: 
Working Paper

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