Bank Business Models at Zero Interest Rates

Andre Lucas, Julia Schaumburg and Bernd Schwaab

No 16-066/IV, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: We propose a novel observation-driven dynamic 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 these adjust to post-crisis financial developments. Specifically, bank business models adapt to changes in the yield curve.

Keywords: bank business models, clustering; finite mixture model, score-driven model, low interest rates (search for similar items in EconPapers)
JEL-codes: C33 G21 (search for similar items in EconPapers)
Date: 2016-08-29
New Economics Papers: this item is included in nep-eec
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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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 (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20160066

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