Year of Graduation
Maturiy Transformation and Bank Fundamentals
According to the banking theory, banks exist because they create liquidity, transform risk. The absence of comprehensive analysis of maturity transformation deteriorates our understanding regarding these two processes.The contribution of this work is to gain a deeper insight into banks' role as maturity transformers. We determine the intertemporal patterns of maturity transformation and its cross-sectional variation, characteristics of banks that choose relatively more short-term debt, and examine the relationship between maturity of a loan and the type of borrower.For our estimation we apply dynamic panel data for more than 100 Russian banks for the period 2008-2014.The First Null hypothesis suggests that banks, on average, match the maturities of their deposits and loans, so that the increase in proportion of deposits with particular maturity relative to the overall amount of credit will lead to the increase in the share of loans with the same maturity. Our results suggest that the hypothesis holds only for large banks, i.e the maturity matching takes place only for the large banks.The Second Null Hypothesis suggests that the share of provisions for loan losses positively affects the share of long-term loans, signalling that the bank undertakes riskier activities. It is supported by our models both for large banks and the rest of the sample.