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Bank Business Models at Zero Interest Rates

Andre Lucas, Julia Schaumburg and Bernd Schwaab

Journal of Business & Economic Statistics, 2019, vol. 37, issue 3, 542-555

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.

Date: 2019
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Citations: View citations in EconPapers (21)

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Working Paper: Bank business models at zero interest rates (2017) Downloads
Working Paper: Bank Business Models at Zero Interest Rates (2016) Downloads
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DOI: 10.1080/07350015.2017.1386567

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