というスイス国立銀行論文をMostly Economicsが紹介している。原題は「A decade of low interest rates: impact on Swiss bank profitability」で、著者は同行のJayson DantonとTerhi Jokipii。
以下はその要旨。
We analyse the impact of interest rates on Swiss banks' profitability. Our assessment is based on annual data on individual bank balance sheets and income statements in a standard panel regression setting for a sample of domestically focused commercial banks. We find that net interest rate margins (NIM) and return on assets (ROA) exhibit different sensitivities to market interest rate levels and highlight the non-linear effect of compressed liability margins on NIM. In addition, we show that initial bank characteristics affect the link between falling interest rates and profitability. However, bank characteristics that amplify/alleviate NIM pressure from falling interest rates differ from those that affect ROA pressure. Furthermore, banks have taken measures to safeguard profitability: (i) with respect to risk-taking, all banks increased their exposure to rising interest rates by increasing their asset durations. Moreover, banks that started with lower mortgage ratios increased these ratios considerably, particularly during the second half of the sample period (2015-2019); and (ii) Some banks actively worked to curb deposit growth when other sources of funding became relatively cheaper. Overall, these adjustments have helped alleviate the downward pressure of falling interest rates on bank profitability.
（拙訳）
我々は、金利がスイスの銀行の収益性に与えた影響を分析した。我々の評価は、国内業務中心の商業銀行のサンプルについて個々の銀行の貸借対照表と損益計算書の年次データを用いた標準的なパネル回帰の枠組みに基づいている。純金利収入（NIM）と総資産利益率（ROA）は、市場の金利水準に対して異なる感応度を示し*1、NIMに対する圧縮された負債収益*2の非線形な影響を浮き彫りにしている*3。さらに我々は、当初の銀行の特性が低下する金利と収益性との関係に影響することを示した。しかし、低下する金利からのNIMの圧力を増幅／緩和する銀行の特性は、ROAの圧力に影響する特性とは異なる*4。また銀行は、収益性を確保するために以下の手段を取っている。(i) リスク負担については、すべての銀行が資産のデュレーションを増やすことによって上昇する金利へのエクスポージャーを増やした。加えて、当初のモーゲージ比率が低い銀行は、とりわけサンプル期間の後半（2015-2019）において、同比率を顕著に高めた。(ii) 一部の銀行は、他の資金調達源が相対的に安価になった時に、預金の伸びを積極的に抑えた。総じて、こうした調整が、低下する金利が銀行の収益性に与える下方圧力を緩和するのに役立った。
*1:結論部では「NIMs appear to react strongly to interest rates when the lower bound on deposit rates is binding, whereas ROAs do not.」と指摘している。
*2:本文では「Third, on the liability side, while banks benefitted from decreasing interest expenses between 2009 and 2019, liability margins were compressed before short-term interest rates became negative in 2014/2015.［原注：The liability margin is defined at the difference between the appropriate capital market interest rate and the interest rate on the bank liability.（atはasの誤記か）］ The liability margin compression was driven by banks maintaining the non-negative interest rates on a large fraction of their funding, while market interest rates converged to zero and eventually turned negative.」と説明されている。
*3:本文では「While liability margins are not compressed, a ceteris paribus decrease in short-term interest rates translates into an increase in NIM. In such a setting, a ceteris paribus 100 basis point parallel decline in the swap curve translates into a 50-basis point increase in NIMs (see Column 2). This is in line with expectations, given the nature of these banks’ interest business, interest rates on assets are locked in for longer than interest rates on liabilities. As a result, these banks benefit from falling rates through the effect on funding costs. However, as interest rates continue to fall, liability margins become compressed. With compressed liability margins, further, ceteris paribus, decreases in the short-term interest rate will no longer have a positive effect on NIM but rather result in a decrease in NIM. This is because banks apply the zero lower bound on the majority of their retail deposit due to the uncertainty related to the level of the effective zero lower bound on retail deposits (Claessens, Coleman, & Donnelly, 2018; Bech & Malkhozov, 2016; Heider, Saidi, & Schepens, 2019). In such a setting, a ceteris paribus 100 basis point parallel decline in the swap curve translates into a 20-basis point decline in NIMs (see Column 2). 」と説明している。
*4:本文では「Initial bank characteristics that are associated with NIM pressure do not necessarily lead to ROA pressure (see Tables 3a & b). On the one hand, higher initial financial asset ratios are associated with more ROA pressure. This result is in line with the impact on the NIM pressure. On the other hand, higher initial asset durations and corporate credit ratios are associated with opposite effects on ROA pressure compared with NIM pressure. The remaining variables are statistically insignificant.」と説明している。
