Kok, Christoffer
[Verfasser:in]
;
Mirza, Harun
[Sonstige Person, Familie und Körperschaft];
Pancaro, Cosimo
[Sonstige Person, Familie und Körperschaft]
Macro Stress Testing Euro Area Banks' Fees and Commissions
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 27, 2017 erstellt
Beschreibung:
This paper uses panel econometric techniques to estimate a macro-financial model for fee and commission income over total assets for a broad sample of euro area banks. Using the estimated parameters, it conducts a scenario analysis projecting the fee and commission income ratio over a three years horizon conditional on the baseline and adverse macroeconomic scenarios used in the 2016 EU-wide stress test. The results indicate that the fee and commission income ratio is varying in particular with changes in its own lag, the short-term interest rate, stock market returns and real GDP growth. They also show that the fee and commission income ratio projections are more conservative under the adverse scenario than under the baseline scenario. These findings suggest that stress tests assuming scenario-independent fee and commission income projections are likely to be awed