EconPapers    
Economics at your fingertips  
 

Banks' management of the net interest margin: Evidence from Germany

Christoph Memmel and Andrea Schertler ()

No 2011,13, Discussion Paper Series 2: Banking and Financial Studies from Deutsche Bundesbank

Abstract: We decompose the change in banks' net interest margin into a change in market-wide bank rates and a change in the balance-sheet composition. Our empirical findings from a detailed data set on German banks' balance-sheet positions, broken down into different maturities, creditors and borrowers and degrees of liquidity are as follows: (i) Changes in bank rates have a much greater impact on and explain more of the variation in net interest margins than do changes in balance-sheet compositions. (ii) Changes in bank rates and changes in balance-sheet compositions affect the change in the net interest margin less strongly for derivative users than for non-users. On average, banks employ interest rate derivatives to reduce on-balance risk. (iii) When risk-taking becomes more lucrative, banks tend to increase their on-balance exposure. This effect is more pronounced for derivative users than for non-users.

Keywords: net interest margin; banking; balance-sheet composition (search for similar items in EconPapers)
JEL-codes: G21 (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-ban
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/52133/1/672239868.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdp2:201113

Access Statistics for this paper

More papers in Discussion Paper Series 2: Banking and Financial Studies from Deutsche Bundesbank Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().

 
Page updated 2024-05-08
Handle: RePEc:zbw:bubdp2:201113