Commercial bank net interest margins, default risk, interest-rate risk, and off-balance sheet banking

Why Have Bank Interest Margins Been so High in Indonesia Since the 1997/1998 Financial Crisis?

“…Regarding the effect of credit risk on bank margins, there are two competing arguments. On the one hand, banks facing higher credit risk will charge a higher risk premium on the loans they grant (Angbazo, 1997;Maudos and de Guevara, 2004;López-Espinosa et al, 2011). On the other hand, as argued by Fungáčová and Poghosyan (2011) risky banks could be punished by depositors in the form of a higher interest rate required on deposits implying that margins should be lower for these banks.…”

“…Many empirical studies have expanded and examined the dealership model using cross-country data or by focusing on a single country in the context of developed and developing countries (e.g. Angbazo, 1997;Saunders and Schumacher, 2000;Maudos and de Guevara, 2004;Carbó and Rodriguez, 2007;Hawtrey and Liang, 2008;Maudos and Solís, 2009;Poghosyan, 2010;Fungáčová and Poghosyan, 2011;Lin et al, 2012). The literature has also provided theoretical microeconomic approaches to optimal interest margin setting (Allen, 1988;Angbazo, 1997;Maudos and de Guevara, 2004;Maudos and Solís, 2009).…”

“…Angbazo, 1997;Saunders and Schumacher, 2000;Maudos and de Guevara, 2004;Carbó and Rodriguez, 2007;Hawtrey and Liang, 2008;Maudos and Solís, 2009;Poghosyan, 2010;Fungáčová and Poghosyan, 2011;Lin et al, 2012). The literature has also provided theoretical microeconomic approaches to optimal interest margin setting (Allen, 1988;Angbazo, 1997;Maudos and de Guevara, 2004;Maudos and Solís, 2009). Another comprehensive study on the determinants of interest margins is proposed by Beck and Hesse (2009) enlightening four major perspectives which determine interest margins and spread: i) risk-based view concerning the compensation for the riskiness of loans, ii) small financial system focuses on the fixed cost component of financial service provision and the resulting scale economies, iii) market structure matters for competitiveness and ownership structure of the banking market, iv) macroeconomic view reveals that spreads and margins are affected by monetary and exchange rate policies as well as economic cycles.…”

Mark-up bancário, conflito distributivo e utilização da capacidade produtiva: uma macrodinâmica pós-keynesiana

“…8 Uma relação positiva entre risco de inadimplência e margem bancáriaé derivada, por exemplo, em Wong (1997) e Angbazo (1997), em ambos os casos dotando-a de microfundamentos explícitos de maximização.…”

“…Quanto ao spread das operações de desconto de duplicata, porém, esse coeficiente mostrou-se estatisticamente não-significativo. 9 Por sua vez, o estudo de Angbazo (1997) sobre o sistema bancário norte-americano detectou que a participação dos empréstimos inadimplentes nos empréstimos totais era uma variável explicativa significante dos spreads bancários, enquanto Saunders e Schumacher (2000), com base em dados para seis países europeus e os Estados Unidos nos anos 1988-1995, detectaram um impacto positivo significativo do risco de crédito percebido sobre as margens bancárias. 10 A taxa de juros básica, por sua vez,é alterada positivamente pela autoridade monetária sempre que um excesso de demanda no mercado de bens não for acomodável por uma variação na utilização da capacidade produtiva, ou seja, quando…”