Arbeitspapier
Bank Business Models at Zero Interest Rates
We propose a novel observation-driven dynamic finite mixture model for the study of banking data. The model accommodates time-varying component means and covariance matrices, normal and Student's $t$ distributed mixtures, and economic determinants of time-varying parameters. Monte Carlo experiments suggest that units of interest can be classified reliably into distinct components in a variety of settings. In an empirical study of 208 European banks between 2008Q1--2015Q4, we identify six business model components and discuss how these adjust to post-crisis financial developments. Specifically, bank business models adapt to changes in the yield curve.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 16-066/IV
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
bank business models
clustering
finite mixture model
score-driven model
low interest rates
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lucas, Andre
Schaumburg, Julia
Schwaab, Bernd
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2016
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lucas, Andre
- Schaumburg, Julia
- Schwaab, Bernd
- Tinbergen Institute
Entstanden
- 2016
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