银行的货币政策风险敞口与贷款合同

Federal Reserve Board, Washington, D.C.ISSN 1936-2854 (Print) Monetary Policy Exposure of Banks and Loan Contracting Ahmet Degerli, Jing Wang 2026-008 NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminarymaterials circulated to stimulate discussion and critical comment.The analysis and conclusions set forthare those of the authors and do not indicate concurrence by other members of the research staff or the Monetary Policy Exposure of Banks Ahmet DegerliFederal Reserve Board ahmet.degerli@frb.govjingwang@missouri.edu January 26, 2026 Abstract We provide evidence that banks use loan covenants to prepare for future monetarypolicy tightening, thereby facilitating the bank lending channel of monetary policytransmission. Specifically, banks with greater monetary policy exposure—those whose Keywords:Loan contracting, Covenant strictness, Covenant violations, Monetarypolicy exposure, Monetary policy transmission, Bank lending channel 1Introduction Commercial banks play a critical role in transmitting monetary policy to the real economy.A key mechanism is the bank lending channel: when the federal funds rate increases, banks’ lending capacity contracts, leading to reduced lending to firms.1 For example, during a typical 400-basis-point federal funds rate hiking cycle, banks cut commercial lending byas much as 10 percent (Drechsler et al., 2017).2 Besides affecting applications for new loans, such a significant lending reduction may also affect existing loans (Jim´enez et al., In this paper, we examine theex ante design of financial covenants in loan contractsto address this question.The loan contracting literature establishes that stricter financialcovenants are associated with a higher likelihood of covenant violations, which grant lendersthe right to modify loan terms—including reducing or terminating the loan commitment(Chava and Roberts, 2008; Nini et al., 2009; Murfin, 2012; Demerjian and Owens, 2016; To test this prediction, we use deposit market concentration as a proxy for a bank’s mon-etary policy exposure, motivated by evidence that banks’ deposit market power determines the extent to which their lending contracts in response to monetary policy tightening (Drech-sler et al., 2017; Wang et al., 2022; Xiao, 2020). In particular, Drechsler et al. (2017) showthat the loan reductions attributable to bank deposit market power account for the entirety We start with an Ordinary Least Squares regression (OLS) model and document thatbanks with greater monetary policy exposure include stricter covenants in loan contracts,controlling for various borrower, lender, and loan characteristics, and including borrower, However, to establish causality, the identification challenge is the endogenous matchingbetween firms and banks driven by unobserved firm characteristics.For example, if firmswith certain uncontrolled risk factors tend to borrow from banks with greater monetarypolicy exposure, stricter covenants could reflect the firms’ risk profile rather than the banks’ monetary policy exposure. We employ two identification strategies to address this concern. monetary policy exposure and covenant strictness. For our interpretation of the above results to hold—that banks write strict covenantsto preserve flexibility in reducing loan commitments when monetary policy tightens in thefuture—we should observe that, conditional on a covenant breach during tightening cycles,banks with greater monetary policy exposure reduce commitments more. We find evidence We conduct several additional analyses that corroborate our main findings.First, weexplore whether our main findings vary with the type of financial covenants.Specifically,we examine the distinct roles of capital covenants—those based on balance sheet informa-tion (such as leverage ratio covenants)—and performance covenants—those based on incomestatement information (such as interest coverage ratio covenants). Prior literature shows that Next, we examine whether banks’ monetary policy exposure influences another key aspectof loan contracts—maturity.One potential alternative mechanism for banks to preserveflexibility in reducing credit during future monetary policy tightening is to offer shorter-maturity loans. Shorter maturities would give banks more frequent opportunities to reduce We continue by examining whether our main findings vary with the level of uncertaintyabout future monetary policy at the time of loan origination. Because strict covenants helpbanks reserve the option to cut existing loan commitments after the lending relationship isunderway, the value of this option should be more valuable if there is greater uncertainty We also show that loan maturity and loan type influence the effect of banks’ monetarypolicy exposure on covenant strictness. Because the option value of strict covenants is higherfor longer-term loans, and longer-term loans are more likely to span a contractionary mone-tary poli