Detail publikace

Key Determinants of Net Interest Margin of EU Banks in the Zero Lower Bound of Interest Rates

Autor: Mgr. Petr Hanzlík ,
prof. PhDr. Petr Teplý Ph.D.,
Typ: IES Working Papers
Rok: 2019
Číslo: 2
ISSN / ISBN:
Publikováno v: IES Working Papers 2/2019
Místo vydání: Prague
Klíčová slova: banks, net interest margin, Herfindahl index, interest rates, profitability, system GMM
JEL kódy: C33, E43, G21
Citace: Hanzlik P. and Teply P. (2019): “Key Determinants of Net Interest Margin of EU Banks in the Zero Lower Bound of Interest Rates” IES Working Papers 2/2019. IES FSV. Charles University.
Abstrakt: In this paper, we analyse a relationship between net interest margin (NIM) of EU banks and market interest rates in a low-interest rate environment. We contribute to the literature when examining a large sample of annual data on 629 banks from EU member countries during the 2011-2016 period, which also covers the period of zero and negative rates. We test three hypotheses and come to the three main conclusions. First, NIM eroded during the whole observed period for all types of investigated banks. Second, a higher market concentration, proxied by the Herfindahl index, leads to higher NIM. Finally, we show a positive concave relationship of NIM with short-term interest rate observed in previous studies, which supports the suspected non-linearity in situation of zero lower bound of interest rates. Contrary to other researchers, we find a negative relationship between NIM and the yield curve slope.
Ke stažení: wp_2019_02_hanzlik_teply
Prosinec 2019
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