Macro-banking stability, sovereign debt and the inflation channel

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE Finance Research Letters Pub Date : 2025-05-01 Epub Date: 2025-03-11 DOI:10.1016/j.frl.2025.107144

Qingqing Cao , Raoul Minetti , Nicholas Rowe

引用次数: 0

Abstract

We investigate the impact of inflation on banking stability. Using granular U.S. data from 1997 to 2014, we show that higher inflation induces a significant deterioration of banks’ capital position because of the maturity mismatch of banks’ assets and liabilities. Quantitative analysis reveals that the elasticity of banking capital to long-term inflation expectations is high, as a 1% increase to long-term inflation expectations leads to a 15% decrease in banks’ Tier 1 capital. The analysis suggests that the use of inflation to reduce sovereigns’ real debt burden could aggravate the sovereign-bank loop during debt crises.

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宏观银行稳定、主权债务和通胀渠道

我们研究通货膨胀对银行稳定性的影响。利用1997年至2014年美国的细粒度数据，我们表明，由于银行资产和负债的期限错配，较高的通货膨胀导致银行资本状况的显著恶化。定量分析表明，银行资本对长期通胀预期的弹性较高，因为长期通胀预期每增加1%，银行一级资本就会减少15%。分析表明，在债务危机期间，利用通胀来降低主权国家的实际债务负担可能会加剧主权银行的循环。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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