Bank business models at zero interest rates

Andre Lucas, Julia Schaumburg and Bernd Schwaab

No 2084, Working Paper Series from European Central Bank

Abstract: We propose a novel observation-driven finite mixture model for the study of banking data. The model accommodates time-varying component means and covariance matrices, normal and Student’s t distributed mixtures, and economic determinants of time-varying parameters. Monte Carlo experiments suggest that units of interest can be classified reliably into distinct components in a variety of settings. In an empirical study of 208 European banks between 2008Q1–2015Q4, we identify six business model components and discuss how their properties evolve over time. Changes in the yield curve predict changes in average business model characteristics. JEL Classification: G21, C33

Keywords: bank business models; clustering; finite mixture model; low interest rates; score-driven model (search for similar items in EconPapers)
Date: 2017-06
New Economics Papers: this item is included in nep-ecm and nep-eec
Note: 955417
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Related works:
Journal Article: Bank Business Models at Zero Interest Rates (2019)
Working Paper: Bank Business Models at Zero Interest Rates (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20172084

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