Arbeitspapier
Bank business models at zero interest rates
We propose a novel observation-driven 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 their properties evolve over time. Changes in the yield curve predict changes in average business model characteristics.
- ISBN
-
978-92-899-2806-9
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 2084
- Klassifikation
-
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
- Thema
-
bank business models
clustering
finite mixture model
score-driven model
low interest rates
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lucas, André
Schaumburg, Julia
Schwaab, Bernd
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2017
- DOI
-
doi:10.2866/35663
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lucas, André
- Schaumburg, Julia
- Schwaab, Bernd
- European Central Bank (ECB)
Entstanden
- 2017
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