Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/157254
Authors: 
Busch, Ramona
Drescher, Christian
Memmel, Christoph
Year of Publication: 
2017
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 07/2017
Abstract: 
Using unique supervisory survey data on the impact of a hypothetical interest rate shock on German banks, we analyse price and quantity effects on banks' net interest margin components under different balance sheet assumptions. In the first year, the cross-sectional variation of banks' simulated price effect is nearly eight times as large as the one of the simulated quantity effect. After five years, however, the importance of both effects converges. Large banks adjust their balance sheets more strongly than small banks, but they are impacted more strongly by the price effect. The quantity effects are explained better by a bank's current balance sheet composition, the longer the forecast horizon. The opposite holds for banks' price effect.
Subjects: 
stress testing
low-interest-rate environment
net interest margin
static balance sheet
dynamic balance sheet
price effect
quantity effect
JEL: 
G11
G21
ISBN: 
978-3-95729-351-0
Document Type: 
Working Paper

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