Maturity Mismatch in the Polish Banking System and its Impact on the Economy

Błażej Kochański

Maturity Mismatch in the Polish Banking System and its Impact on the Economy

Abstrakt

In the article maturity mismatch in the Polish banking system is estimated based on the publicly available data. Then the impact on the economy is discussed. Based on Polish central bank’s data it may be estimated that between 1996 and 2012 the maturity gap increased significantly – average residual maturity of assets exceeds 6 years in 2012 (less than 2 years in 1996), while that of liabilities remains below 1 year. The gap between assets and liabilities is even wider if we take into account the fact that due to legal constraints practically all deposits in Poland are callable. Growing maturity mismatch in a particular bank may result in higher credit, liquidity, legal, model, interest rate and other risks. Risks accepted by banks may then propagate through the economy, which may lead to financial instability. Increasing gap affects monetary aggregates; additional imbalances catalyze asset bubbles, e.g. a boom in house prices. Also, it could be claimed that maturity mismatch distorts the economic incentives through lowered interest rates. Special case of the maturity mismatch is constituted in Poland by foreign currency denominated mortgages funded with short-term local currency deposits and hedged with short-term swaps.

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Błażej Kochański dr

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Kategoria:: Aktywność konferencyjna
Typ:: materiały konferencyjne indeksowane w Web of Science
Tytuł wydania:: The 7th International Days of Statistics and Economics, Conference Proceedings strony 642 - 653
Język:: angielski
Rok wydania:: 2013
Opis bibliograficzny:: Kochański B..: Maturity Mismatch in the Polish Banking System and its Impact on the Economy, W: The 7th International Days of Statistics and Economics, Conference Proceedings, 2013, Libuše Macáková, MELANDRIUM,.
Weryfikacja:: Politechnika Gdańska