Simple Banking: Profitability and the Yield Curve
Simple Banking: Profitability and the Yield Curve
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DOI：
10.2139/ssrn.2093394
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发表时间：
2012-06
期刊：
影响因子：
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通讯作者：
Piergiorgio Alessandri;B. Nelson
中科院分区：
文献类型：
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作者：
Piergiorgio Alessandri;B. Nelson
银行盈利能力如何随利率变化？我们提出了一个受重新定价摩擦影响的垄断竞争银行模型，并使用英国银行的独特面板数据集测试了该模型的预测。我们发现有证据表明，即使在考虑了通过交易账户进行的对冲活动之后，大型银行仍然保留着剩余的利率风险。从长远来看，收益率曲线的水平和斜率都对盈利能力产生积极影响。然而，从短期来看，市场利率的上升会压缩利差，这与不可忽视的贷款定价摩擦的存在是一致的。
How does bank profitability vary with interest rates? We present a model of a monopolistically competitive bank subject to repricing frictions, and test the model’s predictions using a unique panel data set on UK banks. We find evidence that large banks retain a residual exposure to interest rates, even after accounting for hedging activity operating through the trading book. In the long run, both level and slope of the yield curve contribute positively to profitability. In the short run, however, increases in market rates compress interest margins, consistent with the presence of non negligible loan pricing frictions.