Rentabilité bancaire et taux d'intérêt de marché. Une application aux principaux systèmes bancaires européens sur la période 1988-1995

Daniel Goyeau, Alain Sauviat and Amine Tarazi

Revue d'économie politique, 2002, vol. 112, issue 2, 275-291

Abstract: This paper deals with the link between market interest rates and bank profitability for EU countries in the context of convergence towards a single currency and standardization of prudential regulation. A model of bank income and cost adjustment to changes in market interest conditions (level of interest rates, term structure and volatility) is presented in which the implicit maturity of assets and liabilities can be revealed. The results obtained by running the model on individual bank data for 7 european banking systems show different responses to interest rate shocks particularly in the case of southern european countries which cast doubts on the capability of the ECB to design a joint monetary policy that prevents individual banking systems crisis. Classification JEL: G21

Keywords: bank profitability; interest rates; Europe (search for similar items in EconPapers)
JEL-codes: G21 (search for similar items in EconPapers)
Date: 2002
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Working Paper: Rentabilité bancaire et taux d'intérêt de marché: Une application aux principaux systèmes bancaires européens sur la période 1988-1995 (2002)
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