We develop a dynamic model of the interest rates of a monopolistic bank, providing both intermediation and payment services. We obtain testable restrictions on portfolio separation from the dynamic terms of the reduced-form solutions, and test the model using balance-sheet data from large banks of 17 OECD countries, over the period 1988-2007. We find strong evidence against the portfolio separation hypothesis. In line with the predictions of the model, interest margins rise with higher market interest rates, lower revenues from fees, and higher industrial costs and loan loss provisions
Giuliodori, M., Dia, E. (2012). Portfolio Separation and the Dynamics of Bank Interest Rates. SCOTTISH JOURNAL OF POLITICAL ECONOMY(1), 28-46 [10.1111/j.1467-9485.2011.0567.x].
Portfolio Separation and the Dynamics of Bank Interest Rates
DIA, ENZO
2012
Abstract
We develop a dynamic model of the interest rates of a monopolistic bank, providing both intermediation and payment services. We obtain testable restrictions on portfolio separation from the dynamic terms of the reduced-form solutions, and test the model using balance-sheet data from large banks of 17 OECD countries, over the period 1988-2007. We find strong evidence against the portfolio separation hypothesis. In line with the predictions of the model, interest margins rise with higher market interest rates, lower revenues from fees, and higher industrial costs and loan loss provisionsI documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.