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
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978-3-95729-942-0
- Language
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Englisch
- Bibliographic citation
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Series: Deutsche Bundesbank Discussion Paper ; No. 11/2023
- Classification
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Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Subject
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Banks' net interest margin
Term Structure of Interest Rates
- Event
-
Geistige Schöpfung
- (who)
-
Memmel, Christoph
Heckmann-Draisbach, Lotta
- Event
-
Veröffentlichung
- (who)
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Deutsche Bundesbank
- (where)
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Frankfurt a. M.
- (when)
-
2023
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
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
- Memmel, Christoph
- Heckmann-Draisbach, Lotta
- Deutsche Bundesbank
Time of origin
- 2023
Other Objects (12)
Banks' net interest margin and changes in the term structure
Banks' net interest margin and the level of interest rates
Implications of negative interest rates for the net interest margin and lending of euro area banks
Quantifying the components of the banks' net interest margin
Banks' management of the net interest margin: Evidence from Germany
How correlated are changes in banks' net interest income and in their present value?
Changes in the euro area interest rate pass-through
Market reaction to changes in German official interest rates
Negative interest rate policy led to negative interest rates on corporate deposits and higher fees
Why do banks bear interest rate risk?
Interest rate shocks, competition and bank liquidity creation
The interest rate exposure of euro area households
Banks' net interest margin and changes in the term structure
Banks' net interest margin and the level of interest rates
Implications of negative interest rates for the net interest margin and lending of euro area banks
Quantifying the components of the banks' net interest margin
Banks' management of the net interest margin: Evidence from Germany
How correlated are changes in banks' net interest income and in their present value?
Changes in the euro area interest rate pass-through
Market reaction to changes in German official interest rates
Negative interest rate policy led to negative interest rates on corporate deposits and higher fees
Why do banks bear interest rate risk?
Interest rate shocks, competition and bank liquidity creation
The interest rate exposure of euro area households
Banks' net interest margin and changes in the term structure
Banks' net interest margin and the level of interest rates
Implications of negative interest rates for the net interest margin and lending of euro area banks
Quantifying the components of the banks' net interest margin
Banks' management of the net interest margin: Evidence from Germany
How correlated are changes in banks' net interest income and in their present value?
Changes in the euro area interest rate pass-through
Market reaction to changes in German official interest rates
Negative interest rate policy led to negative interest rates on corporate deposits and higher fees
Why do banks bear interest rate risk?
Interest rate shocks, competition and bank liquidity creation