Ramona Busch Livres

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.

We develop a macroeconomic portfolio stress test that is specically geared towards small and medium-sized banks. We combine a credit risk stress test which simulates credit impairments via a CreditMetrics type multi-factor portfolio model with an income stress test in the form of dynamic panel data regressions. Based on a stress scenario that extends experience of the nancial crisis by integrating the current low interest rate environment, we analyse the stress impact on banks' capital ratios. Our results show that savings banks and cooperative banks prove to be very resilient to macroeconomic stress, while more than 6% of our sample's credit banks \fail" the stress test, mainly due to their lack of capital. The main stress drivers prove to be credit impairments rather than other net income components.

An increase in the level of interest rates is said to have a negative impact on banks’ net interest margins in the short run. Using a time series of more than 40 years for the German banking system, we show that the opposite effect exists in the long run, where an increase in the level of interest rates by 100 basis points leads to an estimated increase of 7 basis points in the banks’ net interest margin. In addition, we analyze the consequences of the low-interest rate environment and find that banks’ interest margins for retail deposits, especially for term deposits, have declined by up to 97 basis points.

Using unique data sets on German banks, we decompose their net interest margin and quantify the different components by estimating the costs of the various functions they perform. We investigate three major functions: namely, liquidity and payment management for the customers, the bearing of credit risk, and term transformation. For the year 2012, the costs of liquidity and payment management correspond, in the median, to 47%, the bearing of credit risk to 16%, and earnings from term transformation to 35% of the net interest margin, respectively. However, looking at the period 2005-2012, earnings from term transformation seem to account for a much smaller share (about 20%) of the median banks net interest margin.

In the last few years it has been possible to observe decreasing interest margins for German universal banks. At the same time, institutions increasingly moved part of their business from interest to fee-earning activities. This study analyzes the determinants of non-interest income and its impact on financial performance and the risk profile of German banks between 1995 and 2007. We find empirical evidence that for all German universal banks risk-adjusted returns on equity and total assets are positively affected by higher fee income activities. Additionally, for commercial banks we show that a strong engagement in fee-generating activities goes along with higher risk. In order to analyze possible cross-subsidization effects between interest and fee business we also examine how banks' expansion in fee-based services has affected their interest margin. For savings and commercial banks we find that institutions with a strong focus on fee business charge lower interest margins when credit risk is controlled. -- Income diversification ; interest income ; fee income ; interest margin ; two-stage least squares estimator

Der junge Valentin erhält geheimnisvolle Botschaften von der unbekannten Cäcilia und begibt sich mit seiner Cousine Selina auf die Suche nach etwas, das die Welt verloren hat. Ein fesselnder Roman, der Lebensfreude und Schicksalsschläge sowie Realität und Traumwelt miteinander verbindet.