Bank Business Models at Zero Interest Rates

Research output: Contribution to JournalArticleAcademicpeer-review

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.

Original languageEnglish
Pages (from-to)542-555
Number of pages14
JournalJournal of Business and Economic Statistics
Volume37
Issue number3
DOIs
Publication statusPublished - 2019

Fingerprint

Business Model
Interest Rates
interest rate
bank
Zero
Finite Mixture Models
Time-varying Parameters
Banking
Monte Carlo Experiment
Empirical Study
Covariance matrix
Time-varying
Determinant
Economics
banking
Distinct
Predict
Curve
Unit
determinants

Cite this

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Bank Business Models at Zero Interest Rates. / Lucas, André; Schaumburg, Julia; Schwaab, Bernd.

In: Journal of Business and Economic Statistics, Vol. 37, No. 3, 2019, p. 542-555.

Research output: Contribution to JournalArticleAcademicpeer-review

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