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Mechanism of Negative Interest Rate's Influence on Bank Net Interest Margin
Název práce v češtině: Mechanismus dopadů záporných úrokových sazeb na čistou úrokovou marži bank
Název v anglickém jazyce: Mechanism of Negative Interest Rate's Influence on Bank Net Interest Margin
Klíčová slova: NIM, GMM method, VaR analysis, Stress test
Klíčová slova anglicky: NIM, GMM method, VaR analysis, Stress test
Akademický rok vypsání: 2019/2020
Typ práce: diplomová práce
Jazyk práce: angličtina
Ústav: Institut ekonomických studií (23-IES)
Vedoucí / školitel: doc. Mgr. Tomáš Holub, Ph.D.
Řešitel: skrytý - zadáno vedoucím/školitelem
Datum přihlášení: 22.06.2020
Datum zadání: 14.07.2020
Datum a čas obhajoby: 16.06.2021 09:00
Místo konání obhajoby: Výuka probíhá online, JONLINE, Pomocná místnost pro rozvrhování výuky probíhají online
Datum odevzdání elektronické podoby:29.04.2021
Datum proběhlé obhajoby: 16.06.2021
Oponenti: doc. PhDr. Ing. et Ing. Petr Jakubík, Ph.D., Ph.D.
 
 
 
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Předběžná náplň práce
Net interest margin (NIM) is an important indicator reflecting the efficiency of a bank's operations. Based on the balance sheet data of 189 major listed banks in Europe from 2010 to 2019, this thesis studies the bank's NIM mechanism in a negative interest rate environment. This thesis mainly adopts the system GMM method, and the results show that the policy interest rate and NIM are positively correlated in the long-term, and negatively correlated in the short-term, but the relationship between the two is not significant in the short term. Moreover, in a negative interest rate environment, bank NIM's sensitivity to policy interest rates has greatly increased, especially the policy of interest rate cuts. In addition, the sensitivity of NIMs of different banks to policy interest rates also differs significantly. The NIMs of larger and more internationalized banks are less sensitive to changes in policy interest rates, while the NIMs of banks that focus on retail businesses are more sensitive to changes in policy interest rates. Finally, through the value-at-risk analysis and stress test, this thesis concludes that the policy interest rate, net loan-to-asset ratio, non-performing loan ratio and inflation rate are sensitive factors of NIM. When NIM is subject to a positive shock of policy interest rates, banks can obtain higher profits, while a negative shock of policy interest rates will increase banks’ risks. The research in this thesis can enrich the relevant research results on the transmission of negative interest rate policy, and provide a basis for banks' interest margin management in a negative interest rate environment.
Předběžná náplň práce v anglickém jazyce
Net interest margin (NIM) is an important indicator reflecting the efficiency of a bank's operations. Based on the balance sheet data of 189 major listed banks in Europe from 2010 to 2019, this thesis studies the bank's NIM mechanism in a negative interest rate environment. This thesis mainly adopts the system GMM method, and the results show that the policy interest rate and NIM are positively correlated in the long-term, and negatively correlated in the short-term, but the relationship between the two is not significant in the short term. Moreover, in a negative interest rate environment, bank NIM's sensitivity to policy interest rates has greatly increased, especially the policy of interest rate cuts. In addition, the sensitivity of NIMs of different banks to policy interest rates also differs significantly. The NIMs of larger and more internationalized banks are less sensitive to changes in policy interest rates, while the NIMs of banks that focus on retail businesses are more sensitive to changes in policy interest rates. Finally, through the value-at-risk analysis and stress test, this thesis concludes that the policy interest rate, net loan-to-asset ratio, non-performing loan ratio and inflation rate are sensitive factors of NIM. When NIM is subject to a positive shock of policy interest rates, banks can obtain higher profits, while a negative shock of policy interest rates will increase banks’ risks. The research in this thesis can enrich the relevant research results on the transmission of negative interest rate policy, and provide a basis for banks' interest margin management in a negative interest rate environment.
 
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