Macro stress testing euro area banks' fees and commissions

Christoffer Kok, Cosimo Pancaro and Harun Mirza

No 2029, Working Paper Series from European Central Bank

Abstract: This paper uses panel econometric techniques to estimate a macro- nancial model for fee and commission income over total assets for a broad sample of euro area banks. Using the estimated parameters, it conducts a scenario analysis projecting the fee and commission income ratio over a three years horizon conditional on the baseline and adverse macro-economic scenarios used in the 2016 EU-wide stress test.The results indicate that the fee and commission income ratio is varying in particular with changes in its own lag, the short-term interest rate, stock market returns and real GDP growth. They also show that the fee and commission income ratio projections are more conservative under the adverse scenario than under the baseline scenario. These findings suggest that stress tests assuming scenario-independent fee and commission income projections are likely to be flawed. JEL Classification: G21, G17, G01

Keywords: Fee and commission income; scenario analysis; stress testing (search for similar items in EconPapers)
Date: 2017-02
Note: 508948
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Macro stress testing euro area banks’ fees and commissions (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20172029

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