Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/273723 
Year of Publication: 
2023
Series/Report no.: 
Deutsche Bundesbank Discussion Paper No. 11/2023
Publisher: 
Deutsche Bundesbank, Frankfurt a. M.
Abstract: 
Understanding the impact of changing interest rates onto banks' net interest margin is of central importance for various stakeholders. The primary focus lies often on changes in the interest level. However, changes in the steepness are a second driver which also significantly impacts banks' interest business. We model the impact of an interest rate shock on a bank's net interest margin, where this shock consists not only of a level shift, but also of a change in the steepness of the term structure. Our simplified model can replicate stylized features of different bank business models.The outcome of our parsimonious model for a bank's interest business is broadly in line with the results of a quantitative survey among German small and medium-sized banks.
Subjects: 
Banks' net interest margin
Term Structure of Interest Rates
JEL: 
G21
ISBN: 
978-3-95729-942-0
Document Type: 
Working Paper

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