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http://hdl.handle.net/10419/60477
  

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dc.contributor.authorEntrop, Oliveren_US
dc.contributor.authorMemmel, Christophen_US
dc.contributor.authorRuprecht, Benedikten_US
dc.contributor.authorWilkens, Marcoen_US
dc.date.accessioned2012-08-08en_US
dc.date.accessioned2012-08-16T13:37:00Z-
dc.date.available2012-08-16T13:37:00Z-
dc.date.issued2012en_US
dc.identifier.isbn978-3-86558-828-9en_US
dc.identifier.urihttp://hdl.handle.net/10419/60477-
dc.description.abstractThis paper explores the extent to which interest risk exposure is priced in bank margins. Our contribution to the literature is twofold: First, we present an extended model of Ho and Saunders (1981) that explicitly captures interest rate risk and returns from maturity transformation. Banks price interest risk according to their individual exposure separately in loan and deposit rates, but reduce these charges when they expect returns from maturity transformation. Second, using a comprehensive dataset covering the German universal banks between 2000 and 2009, we test the model-implied hypotheses not only for the commonly investigated net interest income, but additionally for interest income and expenses separately. Controlling for earnings from bank-individual maturity transformation strategies, we find all banks to charge additional fees for macroeconomic interest volatility exposure. Microeconomic on-balance interest risk exposure from maturity transformation, however, only affects the smaller savings and cooperative banks, but not private commercial banks. Returns are only priced in income margins.en_US
dc.language.isoengen_US
dc.publisherDt. Bundesbank Frankfurt, M.en_US
dc.relation.ispartofseriesDiscussion Paper, Deutsche Bundesbank 17/2012en_US
dc.subject.jelD21en_US
dc.subject.jelG21en_US
dc.subject.ddc330en_US
dc.subject.keywordInterest rate risken_US
dc.subject.keywordInterest marginsen_US
dc.subject.keywordMaturity transformationen_US
dc.subject.stwBanken_US
dc.subject.stwZinsspannenrechnungen_US
dc.subject.stwZinsrisikoen_US
dc.subject.stwLaufzeiten_US
dc.subject.stwRisikomanagementen_US
dc.subject.stwBetriebliche Preispolitiken_US
dc.subject.stwSch├Ątzungen_US
dc.subject.stwDeutschlanden_US
dc.titleDeterminants of bank interest margins: Impact of maturity transformationen_US
dc.typeWorking Paperen_US
dc.identifier.ppn720786827en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:bubdps:172012-
Appears in Collections:Discussion Papers, Deutsche Bundesbank

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