This paper investigates determinants of banks’ structural exposure to interest rate risk in their banking book. Using bank-level data for German banks, we find evidence that a bank’s exposure to interest rate risk depends on its presumed optimization horizon. The longer the presumed optimization horizon is, the more the bank is exposed to interest rate risk in its banking book. Moreover, there is evidence that banks hedge their earnings risk resulting from falling interest levels with exposure to interest rate risk. The more a bank is exposed to the risk of a decline in the interest rate level, the higher its exposure to interest rate risk.

中文翻译：

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银行为什么要承担利率风险？

本文研究了银行业银行账户中利率风险结构性敞口的决定因素。使用德国银行的银行级别数据，我们发现证据表明，银行承受的利率风险取决于其假定的优化范围。假定的优化范围越长，银行在其银行账户中面临的利率风险就越大。此外，有证据表明，银行因利率水平下降和利率风险敞口而对冲其收益风险。银行承担的利率水平下降风险越多，其承担的利率风险就越高。