标题： 时变波动率的银行贝塔值 显示英文标题

标题： Time-Varying Volatility of Bank Betas

摘要： 研究显示，银行将利息收入和支出的贝塔值进行匹配，从而获得对短期利率变化不敏感的净利息收入利润率。 目前的分析以多种方式扩展了这项研究。 首先，我们使用状态空间方法来估计随时间变化的贝塔值，并检验它们在每个时间间隔内是否匹配。 我们发现利息收入和支出的贝塔值存在显著变化，这导致净利息利润率贝塔系数的变化。 其次，我们估计了贝塔预测的时变条件波动性，以衡量未来贝塔值的不确定性。 我们发现利息支出贝塔系数的不确定性驱动了利息收入贝塔的不确定性。 此外，大型银行的支出贝塔不确定性更大，而小型银行的收入贝塔不确定性更大。 最后，我们发现利息支出贝塔的不确定性被市场定价，并且与银行股票价格负相关。 这是银行股票中一种新的、此前未测量的不可对冲风险来源，并突显了美联储零利率政策的额外好处。 显示英文摘要

摘要： Research has shown banks match interest income and expense betas, and thereby obtain net interest income margins which are insensitive to changes in short-term interest rates. The present analysis extends this research in a number of ways. First, we use state-space methods to estimate time-varying betas and test whether they are matched at each time interval. We find substantial variation in interest income and expense betas, which drives variation in net interest margin beta coefficients. Second, we estimate the time-varying conditional volatility of beta forecasts the uncertainty of future beta values. We find uncertainty in interest expense beta coefficients drives uncertainty in interest income betas. Further, large banks have greater expense beta uncertainty, whereas small banks have greater income beta uncertainty. Lastly, we find evidence that uncertainty in interest expense betas is priced by the market, and is negatively related to bank stock prices. This is a new and previously unmeasured source of unhedgeable risk in bank stocks, and highlights an additional benefit of the Federal Reserve's Zero Interest Rate Policy.