کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5088650 | 1478321 | 2015 | 62 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Determinants of bank interest margins: Impact of maturity transformation
ترجمه فارسی عنوان
عوامل تعیین کننده مزایای بهره بانکی: تاثیر تحول بلوغ
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper explores the extent to which interest risk exposure is priced into bank margins. Our contribution to the literature is twofold: First, we extend the Ho and Saunders (1981) model to capture interest rate risk and expected returns from maturity transformation. Banks price interest risk according to their individual exposure separately in loan and deposit intermediation fees, but reduce (increase) these charges for loans (deposits) when positive excess holding period returns from long-term exposures are expected. Second, we test the model-derived hypotheses not only for the commonly investigated net interest margin but also for interest income and expense margins separately in a sample encompassing the German universal banking sector between 2000 and 2009. Our results suggest that banks price their individual interest rate risk and corresponding expected excess holding period returns via the asset side into the net interest margin. For liabilities, we find that interest rate risk exposure is only priced in by smaller, local banks.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 54, May 2015, Pages 1-19
Journal: Journal of Banking & Finance - Volume 54, May 2015, Pages 1-19
نویسندگان
Oliver Entrop, Christoph Memmel, Benedikt Ruprecht, Marco Wilkens,