I encounter this question in the paper by DRECHSLER et al. (2021) (Banking on deposit). How to understand that "interest income is close to a moving average of past interest rates, consistent with the high duration of bank assets. The rates on these assets are set at origination and remain locked in until they roll off, which makes interest income slow-moving and relatively insensitive to the short rate." from this figure?
I think bank assets (loans) generate interest income for banks, but I do not know how to tell the "moving average" trend of interest income and past interest rates.
Thank you very much in advance.