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- W2080729960 abstract "Abstract This paper analyzes how the movements of the policy interest rate affect bank-relevant variables through changes in the composition of the loan portfolio. Using a computational approach that fully accounts for borrowers’ heterogeneity, we show how the variety of bank customers changes and how this change affects the bank's cash influx, making it more volatile. The paper also sheds light on how the composition of the loan portfolio is affected by an increase in the policy interest rate when it is kept at low levels. Safer borrowers exit the loan portfolio first, causing a gradual increase in the loan portfolio risk. The interest payment influx shrinks because riskier borrowers repay less often. Furthermore, we find that a shortening of the lending time horizon increases the volatility clustering of the bank interest payment influx." @default.
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- W2080729960 date "2015-01-01" @default.
- W2080729960 modified "2023-09-23" @default.
- W2080729960 title "Policy interest rate, loan portfolio management and bank liquidity" @default.
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- W2080729960 doi "https://doi.org/10.1016/j.najef.2014.10.008" @default.
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