Bank stress testing under different balance sheet assumptions

Arbeitspapier

Using unique supervisory survey data on the impact of a hypothetical interest rate shock on German banks, we analyse price and quantity effects on banks' net interest margin components under different balance sheet assumptions. In the first year, the cross-sectional variation of banks' simulated price effect is nearly eight times as large as the one of the simulated quantity effect. After five years, however, the importance of both effects converges. Large banks adjust their balance sheets more strongly than small banks, but they are impacted more strongly by the price effect. The quantity effects are explained better by a bank's current balance sheet composition, the longer the forecast horizon. The opposite holds for banks' price effect.

Object Details

• ISBN: 978-3-95729-351-0
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Bundesbank Discussion Paper ; No. 07/2017

Classification and Topics

• Classification: Wirtschaft ; Portfolio Choice; Investment Decisions ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
• Subject: stress testing ; low-interest-rate environment ; net interest margin ; static balance sheet ; dynamic balance sheet ; price effect ; quantity effect

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Busch, Ramona ; Drescher, Christian ; Memmel, Christoph
• Event: Veröffentlichung
• (who): Deutsche Bundesbank
• (where): Frankfurt a. M.
• (when): 2017

Further information

• Handle: http://hdl.handle.net/10419/157254
• Last update: 10.03.2025, 11:44 AM CET