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BIS Working Paper Summary

Title: Are low interest rates firing back? Interest rate risk in the banking book and bank lending in a rising interest rate environment

Authors: Lara Coulier, Cosimo Pancaro, Alessio Reghezza
Publication: BIS Working Paper No 1202 (August 2024)

Key Findings

1. Heterogeneous Bank Response to Rate Hikes:

   • Banks with higher exposure to interest rate risk (larger duration gap) reduce lending significantly more when interest rates rise.
   • A 100 bps rate increase leads to an additional 91–94 bps contraction in lending by banks at the 75th percentile of the duration gap distribution compared to those at the 25th percentile.

2. Microeconomic Effects:

   • Lending Polarization: Banks with high duration risk shift loan portfolios toward shorter-term and floating-rate loans, particularly pressuring micro, small, and medium enterprises (MSMEs).
   • Firm Substitution Friction: Firms relying on high-risk banks face reduced borrowing substitution, with total borrowing declining by 75 bps for such firms compared to those less exposed.

3. Monetary Policy Transmission:

   • The bank lending channel is amplified during high-duration-risk exposure, enhancing transmission heterogeneity across euro-area banks.
   • Supervisory scrutiny and potential capital surcharges may increase in the short run, while medium-long-term effects include reduced profitability and capital accumulation.

Methodology

• Data: Uses granular ECB supervisory data, AnaCredit (firm-level loans), and balance sheet details.
• Measure: Duration gap (net of hedging) captures risk sensitivity; Income gap controls for short-run profitability effects.
• Empirical Approach:
  • Bank-firm level regressions addressing endogeneity via ILS-time fixed effects and propensity score weighting.
  • Robustness checks include pre/post-tightening analysis, loan maturity segmentation, and alternative duration decomposition.

Policy Implications

• Monetary Policy: Tightening pace may disproportionately affect credit supply from high-risk banks, requiring careful calibration.
• Financial Stability: Excessive lending contraction could exacerbate economic downturns, particularly for MSMEs dependent on bank credit.