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Determinants of Net Interest Margins. Are Banks equally affeced by Negative Interest Policy Rates?
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Proceed to Basket. View basket. Continue shopping. United Kingdom. Search Within These Results:. Seller Image. Ayadi et al. While my dataset covers accounting and financial reporting information for a sample of banks in Europe from to , I will direct my empirical analysis solely on the Euro area, taking advantage of the policy change in mid at which point the ECB lowered the deposit facility rates to - 0.
- by Klemens Bock.
The sample is split along the binary variables in the year prior to the introduction of NIPR Further, I compute the differences of the two groups before the policy change and after to obtain the difference in differences. To estimate the means, I use regression analysis, controlling for country- and time-fixed effects and applying analytical weights rather than equally weighting banks. This approach is hence different from the bulk of other research papers on determinants of NIM, as it does not require data-sets over many periods or advanced dynamical models.
Yet, it comes with the limitation that the results are only relative. The size or direction of the treatment itself cannot be determined. Overall, I find that strategies associated with more conservative forms of banking low ratio of assets held for trading, high ratio of deposit-based financing and of customer loans fare slightly better than their counterparts. Apart from one specification, the differences are not significantly different from zero. There is one major exception to this, however. Using the cut-off for the deposits to liability ratio, I obtain a highly significant and economically relevant difference of bp relative to the low strategy.
Section 3 describes the sample and provides first descriptive evidence on heterogenous developments of NIM in the banking industry. In section 4, the econometric approach and the choice of business strategy indicators is motivated.
The results are presented in Section 5. Section 6 concludes. Naturally, this paper is related to the vast literature on banking profitability focusing on NIM. Such studies are frequently based on the theoretical model of Ho and Saunders According to their model, banks set one rate for which they are willing to accept deposits and one for which they are willing to lend money.
To engage in risky activities, banks require a profit mark-up a, b on the nominal interest rate. Quantities supplied and demanded are exogenous and follow a stochastic process:. It is further shown that the optimal mark up on the interest rate depends, on the one hand, on monopoly power and, on the other hand, on the degree of absolute risk aversion of the bank management R , the size of transactions Q and the volatility of nominal interest rates :.
The model was empirically tested and further developed. Most prominently in single-country studies, Allen introduces heterogeneity of loans into the dealership model, Angbazo incorporates credit risk and Maudos and Guevara add operating costs.
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In a cross-country set-up, Saunders and Schumacher use regulation and Brock and Saurez identify liquidity risk and macro variables like inflation and GDP growth as explanatory variables for NIM. In the aftermath of the financial crisis, research on the impact of monetary policy on NIM gained importance. In the standard textbook literature, changes of policy rates are typically discussed at normal rates.
But what happens at low or even negative rates? In a low interest rates environment, Borio et al.
nanthpepneustatduc.ml A marginal decrease of short-term interest rates at a low level is associated with a much stronger decline in NIM than at high levels. One exception is Kerbl and Sigmund pointing out that one should not use the findings of studies focusing on low interest rates to make any inferences about the effect of negative interest rates, as the mechanisms might work differently. Madaschi and Nuevo observe that in the case of Sweden and Denmark overall profitability of banks slightly increased, while NIM are resilient and stable.
Eisenschmidt and Smets show that in the EU margins shrink overall, but the decline was much more pronounced in periphery countries, than core countries.