Which interest rate scenario is the worst one for a bank? Evidence from a tracking bank approach for German savings and cooperative banks potx

Which interest rate scenario is the worst
one for a bank?
Evidence from a tracking bank approach for
German savings and cooperative banks
Christoph Memmel
Discussion Paper
Series 2: Banking and Financial Studies
No 07/2008
Discussion Papers represent the authors’ personal opinions and do not necessarily reflect the views of the
Deutsche Bundesbank or its staff.



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t t + 1
S(T )
S(T ) 1/T
T
t
z
t
(T ) =

1
12
¯r
t−1
(T )
¯r
t
(T ) =
1
T
T −1

i=0
r
t−i
(T ),
r
t
(T ) T t
S(T )
Z
t
(T ) =
11

i=0
z
t−i
(T )
=

1
12
11

i=0
¯r
t−1−i
(T )
=
1
12 T
11

i=0
T −1

j=0
r
t−1−i−j
(T ),
t
S(T ) T
S(T )
w(T
k
) k = 1, , K
S(T
k
) (I)
(E)

Z
j
t
=
K
j

k=1
w(T
k
) · Z
t
(T
k
) j = I, E
Z
I
t
= 0.2 · Z
t
(12) + 0.3 · Z
t
(48) + 0.45 · Z
t
(72).
w(48) = 0.3
x
t,i,j
j i Z
I

t
Z
I
t
= x
t,1,1
+ x
t,1,2
+ . . . + x
t,i,j
+ . . . + x
t,N,M
N
N M
i
i = 1 j = 3
x
t,1,3
= 0.15 · (0.25 · Z
t
(18) + 0.25 · Z
t
(24) + 0.25 · Z
t
(30) + 0.25 · Z
t
(36)) .
R
I
t

x
t,i,j
R
I
t
= α + β
1,1
x
t,1,1
+ β
1,2
x
t,1,2
+ . . . + β
N,M
N
x
t,N,M
N
+ ε
t
,
R
I
t
β
i,j
α
S(T )
S(T ) T

S(3)
S(12) S(60)
R
ˆ
R
R
t,i
= α + β
ˆ
R
j
t,i
+ ε
t,i
,
j
S(12)
S(60)
S(T )
S(T )
S(12) S(60)
1, 636 × 260 = 425, 360