Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/60477 
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dc.contributor.authorEntrop, Oliveren
dc.contributor.authorMemmel, Christophen
dc.contributor.authorRuprecht, Benedikten
dc.contributor.authorWilkens, Marcoen
dc.date.accessioned2012-08-08-
dc.date.accessioned2012-08-16T13:37:00Z-
dc.date.available2012-08-16T13:37:00Z-
dc.date.issued2012-
dc.identifier.isbn978-3-86558-828-9en
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
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aBundesbank Discussion Paper |x17/2012en
dc.subject.jelD21en
dc.subject.jelG21en
dc.subject.ddc330en
dc.subject.keywordInterest rate risken
dc.subject.keywordInterest marginsen
dc.subject.keywordMaturity transformationen
dc.subject.stwBanken
dc.subject.stwZinsspannenrechnungen
dc.subject.stwZinsrisikoen
dc.subject.stwLaufzeiten
dc.subject.stwRisikomanagementen
dc.subject.stwBetriebliche Preispolitiken
dc.subject.stwSchätzungen
dc.subject.stwDeutschlanden
dc.titleDeterminants of bank interest margins: Impact of maturity transformation-
dc.typeWorking Paperen
dc.identifier.ppn720786827en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdps:172012en

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