Arbeitspapier
Banks' net interest margin and changes in the term structure
Understanding the impact of changing interest rates onto banks' net interest margin is of central importance for various stakeholders. The primary focus lies often on changes in the interest level. However, changes in the steepness are a second driver which also significantly impacts banks' interest business. We model the impact of an interest rate shock on a bank's net interest margin, where this shock consists not only of a level shift, but also of a change in the steepness of the term structure. Our simplified model can replicate stylized features of different bank business models.The outcome of our parsimonious model for a bank's interest business is broadly in line with the results of a quantitative survey among German small and medium-sized banks.
- ISBN
-
978-3-95729-942-0
- Sprache
-
Englisch
- Erschienen in
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Series: Deutsche Bundesbank Discussion Paper ; No. 11/2023
- Klassifikation
-
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
Banks' net interest margin
Term Structure of Interest Rates
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Memmel, Christoph
Heckmann-Draisbach, Lotta
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2023
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Memmel, Christoph
- Heckmann-Draisbach, Lotta
- Deutsche Bundesbank
Entstanden
- 2023
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