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Changing Perceptions of Maturity Mismatch in the U.S. Banking System: Evidence from Equity Markets

Author

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  • Andrew T. Young

    () (College of Business and Economics, West Virginia University, Morgantown, WV 26506-6025, USA)

  • Travis Wiseman

    () (Department of Economics and Finance, Mississippi State University, Mississippi State, MS 39762, USA)

  • Thomas L. Hogan

    () (Department of Economics, West Texas A&M University, Canyon, TX 79016, USA)

Abstract

We use the sensitivity of bank holding company equity returns to market interest rates as an indicator of perceived maturity mismatch. Based on data from 1990 to 2009, there is only weak evidence that market participants perceived banks to be effectively short-funded. However, looking at 1990ñ1996 and 1997ñ2009 subsamples separately, our results suggest that U.S. commercial banks were perceived as short-funded during the earlier time period but not the later. During this time of changing perceptions of maturity mismatch, banks were increasing their holdings of real estate loans as a share of total assets. We present evidence that, subsequent to 1996, market participants perceived real estate loans as having become effectively shorter-term.

Suggested Citation

  • Andrew T. Young & Travis Wiseman & Thomas L. Hogan, 2014. "Changing Perceptions of Maturity Mismatch in the U.S. Banking System: Evidence from Equity Markets," Southern Economic Journal, Southern Economic Association, vol. 81(1), pages 193-210, July.
  • Handle: RePEc:sej:ancoec:v:81:1:y:2014:p:193-210
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    File URL: http://dx.doi.org/10.4284/0038-4038-2011.332
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    References listed on IDEAS

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    Cited by:

    1. Camille Cornand & Céline Gimet, 2011. "The 2007-2008 financial crisis : Is there evidence of disaster myopia ?," Working Papers 1125, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
    2. Bessler, Wolfgang & Kurmann, Philipp & Nohel, Tom, 2015. "Time-varying systematic and idiosyncratic risk exposures of US bank holding companies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 45-68.
    3. repec:eee:jmacro:v:53:y:2017:i:c:p:16-41 is not listed on IDEAS

    More about this item

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G01 - Financial Economics - - General - - - Financial Crises
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E02 - Macroeconomics and Monetary Economics - - General - - - Institutions and the Macroeconomy

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