Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/157254 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
Bundesbank Discussion Paper No. 07/2017
Verlag: 
Deutsche Bundesbank, Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
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
Dokumentart: 
Working Paper
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