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
- Language
-
Englisch
- Bibliographic citation
-
Series: ECB Working Paper ; No. 2084
- Classification
-
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
- Subject
-
bank business models
clustering
finite mixture model
score-driven model
low interest rates
- Event
-
Geistige Schöpfung
- (who)
-
Lucas, André
Schaumburg, Julia
Schwaab, Bernd
- Event
-
Veröffentlichung
- (who)
-
European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2017
- DOI
-
doi:10.2866/35663
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Lucas, André
- Schaumburg, Julia
- Schwaab, Bernd
- European Central Bank (ECB)
Time of origin
- 2017
Other Objects (12)
Bank Business Models at Zero Interest Rates
Bank Capital Regulation in a Zero Interest Environment
Bank capital regulation in a zero interest environment
Optimal rules for central bank interest rates subject to zero lower bound
Optimal rules for central bank interest rates subject to zero lower bound
Optimal rules for central bank interest rates subject to zero lower bound
Key determinants of net interest margin of EU banks in the zero lower bound of interest rates
The Japanese banks in the lasting low-, zero- and negative-interest rate environment
The Japanese Banks in the Lasting Low-, Zero- and Negative-Interest Rate Environment
Zero emotiveness in business communication
Zero emotiveness in business communication
Zero Interest Rate Policy and Economic Order 2016
Bank Business Models at Zero Interest Rates
Bank Capital Regulation in a Zero Interest Environment
Bank capital regulation in a zero interest environment
Optimal rules for central bank interest rates subject to zero lower bound
Optimal rules for central bank interest rates subject to zero lower bound
Optimal rules for central bank interest rates subject to zero lower bound
Key determinants of net interest margin of EU banks in the zero lower bound of interest rates
The Japanese banks in the lasting low-, zero- and negative-interest rate environment
The Japanese Banks in the Lasting Low-, Zero- and Negative-Interest Rate Environment
Zero emotiveness in business communication
Zero emotiveness in business communication
Zero Interest Rate Policy and Economic Order 2016
Bank Business Models at Zero Interest Rates
Bank Capital Regulation in a Zero Interest Environment
Bank capital regulation in a zero interest environment
Optimal rules for central bank interest rates subject to zero lower bound
Optimal rules for central bank interest rates subject to zero lower bound
Optimal rules for central bank interest rates subject to zero lower bound
Key determinants of net interest margin of EU banks in the zero lower bound of interest rates
The Japanese banks in the lasting low-, zero- and negative-interest rate environment
The Japanese Banks in the Lasting Low-, Zero- and Negative-Interest Rate Environment
Zero emotiveness in business communication
Zero emotiveness in business communication