Monetary policy, held-to-maturity securities, and uninsured deposit withdrawals

H. Özlem Dursun-de Neef; Steven Ongena; Alexander Schandlbauer

doi:10.1080/09638180.2025.2478164

Monetary policy, held-to-maturity securities, and uninsured deposit withdrawals

H. Özlem Dursun-de Neef
, Steven Ongena
, Alexander Schandlbauer^*

^*Corresponding author for this work

Department of Business & Management (DBM)

Monash University
University of Zürich
Swiss Finance Institute
Norwegian University of Science and Technology
University of Leuven

Research output: Contribution to journal › Journal article › Research › peer-review

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Abstract

This paper shows that an increase in the Federal funds rate is associated with an increase in banks' unrealized losses due to their held-to-maturity (HTM) portfolio. This increase exposes banks to large uninsured deposit withdrawals as depositors seek a flight to safety. This relationship is present mainly for banks with investment portfolio losses and those with a lower capital ratio. Our results highlight the importance of banks' HTM securities when a maturity mismatch exposes them to losses and deposit withdrawals after interest rates begin to rise.

Original language	English
Journal	European Accounting Review
Volume	35
Issue number	2
Pages (from-to)	503-528
ISSN	0963-8180
DOIs	https://doi.org/10.1080/09638180.2025.2478164
Publication status	Published - 2026

Bibliographical note

Publisher Copyright:
© 2025 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group.

Keywords

HTM securities
Interest rate risk
Monetary policy
Uninsured deposits

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10.1080/09638180.2025.2478164Licence: CC BY

Open access versionFinal published version, 541 KBLicence: CC BY

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title = "Monetary policy, held-to-maturity securities, and uninsured deposit withdrawals",

abstract = "This paper shows that an increase in the Federal funds rate is associated with an increase in banks' unrealized losses due to their held-to-maturity (HTM) portfolio. This increase exposes banks to large uninsured deposit withdrawals as depositors seek a flight to safety. This relationship is present mainly for banks with investment portfolio losses and those with a lower capital ratio. Our results highlight the importance of banks' HTM securities when a maturity mismatch exposes them to losses and deposit withdrawals after interest rates begin to rise.",

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T1 - Monetary policy, held-to-maturity securities, and uninsured deposit withdrawals

AU - Özlem Dursun-de Neef, H.

AU - Ongena, Steven

AU - Schandlbauer, Alexander

PY - 2026

Y1 - 2026

N2 - This paper shows that an increase in the Federal funds rate is associated with an increase in banks' unrealized losses due to their held-to-maturity (HTM) portfolio. This increase exposes banks to large uninsured deposit withdrawals as depositors seek a flight to safety. This relationship is present mainly for banks with investment portfolio losses and those with a lower capital ratio. Our results highlight the importance of banks' HTM securities when a maturity mismatch exposes them to losses and deposit withdrawals after interest rates begin to rise.

AB - This paper shows that an increase in the Federal funds rate is associated with an increase in banks' unrealized losses due to their held-to-maturity (HTM) portfolio. This increase exposes banks to large uninsured deposit withdrawals as depositors seek a flight to safety. This relationship is present mainly for banks with investment portfolio losses and those with a lower capital ratio. Our results highlight the importance of banks' HTM securities when a maturity mismatch exposes them to losses and deposit withdrawals after interest rates begin to rise.

KW - HTM securities

KW - Interest rate risk

KW - Monetary policy

KW - Uninsured deposits

U2 - 10.1080/09638180.2025.2478164

DO - 10.1080/09638180.2025.2478164

M3 - Journal article

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VL - 35

SP - 503

EP - 528

JO - European Accounting Review

JF - European Accounting Review

IS - 2

ER -

Monetary policy, held-to-maturity securities, and uninsured deposit withdrawals

Abstract

Bibliographical note

Keywords

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