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The impact of the negative interest rate policy on bank´s profitability : the portuguese experience
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A maior herança da Grande Recessão (crise financeira de 2007/08 e crise das hipotecas subprime dos EUA de 2007/09) é definitivamente a queda da indústria bancária e a incapacidade dos países de reembolsar a sua dívida soberana e aumentar o seu PIB. As ligações são inegáveis e os Bancos Centrais foram responsáveis por uma resposta rápida para reverter essa queda a pique.
Esta dissertação pretende analisar o efeito de taxas de juro baixas acrescido de uma política específica adotada pelo Banco Central Europeu (BCE), a saber, a Política de Taxas de Juros Negativos (Negative Interest Rate Policy - NIRP) na rentabilidade dos bancos em Portugal. Em essência, o principal objetivo desta dissertação é entender como a Política de Taxas de Juros Negativas moldaram o setor bancário em Portugal. Identificamos e analisámos os cinco principais canais pelos quais o NIRP impacta a rentabilidade dos bancos, nomeadamente o Canal de Taxa de Juros, o Canal de Crédito, o Canal de Carteira de Ativos, o Canal de Reflação e o Canal de Câmbio.
Utilizámos modelos de Regressão Linear Múltipla combinados com uma Regressão Stepwise para identificar as variáveis mais significativas na explicação da rentabilidade e desempenho dos bancos. Este método é comumente usado em estudos similares. Considerámos múltiplas variáveis explicativas, incluindo taxas de juro diretoras do BCE (taxas de facilidade permanente de depósito e de facilidade permanente de cedência marginal de liquidez), taxas de juros do mercado monetário interbancário, variáveis específico do setor financeiro (por exemplo, rácio custo / rendimento, rácio Crédito / Depósito) e variáveis macroeconómicas (Crescimento real do PIB, taxa de desemprego). Recorremos a dados publicamente disponíveis, para 35 bancos diferentes, de 2010 a 2017, fornecidos pela Associação Portuguesa de Bancos (APB), pelo Banco de Portugal (BdP), pelo BCE e pelo Instituto Europeu para os Mercados Monetários (EMMI). Durante este período, os bancos portugueses fizeram algumas mudanças nas suas estratégias de negócio, aumentando o foco nas comissões e comissões de serviço e maiores retornos da gestão de carteiras.
Depois de executar os modelos e analisar os resultados, podemos concluir que quando o BCE decidiu utilizar o NIRP, como forma de recuperar a economia europeia, os canais que mais afetaram a rentabilidade do banco português foram o Canal de Taxa de Juro, o Canal de Crédito e o Canal de Carteira de Ativos.
The aftermath of the Great Recession (financial crisis of 2007/08 and U.S. subprime mortgage crisis of 2007/09) and the Euro Zone Sovereign Debt Crisis is definitely the fall of the Banking industry and the countries incapability of repaying their debts. The world economy suffered a major setback and Governments and Central Banks had to provide actions to regain the financial strength they once had. A quick response was demanded in order to reverse this tsunami of downfalls that jeopardized the economical actors. This paper intends to analyse the effects of negative interest rates plus a specific policy adopted by the European Central Bank (ECB), namely the Negative Interest Rates Policy (NIRP), on banks’ profitability in Portugal. We identified and analysed the five main channels by which NIRP impacts on banks’ profitability, namely the Interest Rate Channel, the Credit Channel, the Portfolio Channel, the Reflation Channel and the Exchange Rate Channel. We used Multiple Linear Regression models combined with a Stepwise Regression to identify the most significant variables in explaining bank's profitability and performance. This method is commonly used in similar related studies. We considered multiple explanatory variables, including ECB key interest rates (deposit and facility rates), Interbank Money Market Interest Rates, Bank Specific covariates (e.g., Cost-to-Income ratio, Loan-to-Deposit ratio) and macroeconomic variables (e.g., real GDP Growth, unemployment rate). We use publicly available data for 35 different banks from 2010 to 2017 provided by Portuguese Banking Association (Associação Portuguesa de Bancos, APB), Bank of Portugal (Banco de Portugal, BdP), ECB and European Money Markets Institute (EMMI). During this period Portuguese banks made some changes in their business strategies, increasing the focus on servicing fees and commissions and higher returns from portfolio management. After executing the models and analysing the results, we can conclude that when ECB decided to use NIRP, as a mean to recover the European economy, the channels that most affected Portuguese bank’s profitability, were the Interest Rate Channel, the Credit Channel and the Portfolio Channel.
The aftermath of the Great Recession (financial crisis of 2007/08 and U.S. subprime mortgage crisis of 2007/09) and the Euro Zone Sovereign Debt Crisis is definitely the fall of the Banking industry and the countries incapability of repaying their debts. The world economy suffered a major setback and Governments and Central Banks had to provide actions to regain the financial strength they once had. A quick response was demanded in order to reverse this tsunami of downfalls that jeopardized the economical actors. This paper intends to analyse the effects of negative interest rates plus a specific policy adopted by the European Central Bank (ECB), namely the Negative Interest Rates Policy (NIRP), on banks’ profitability in Portugal. We identified and analysed the five main channels by which NIRP impacts on banks’ profitability, namely the Interest Rate Channel, the Credit Channel, the Portfolio Channel, the Reflation Channel and the Exchange Rate Channel. We used Multiple Linear Regression models combined with a Stepwise Regression to identify the most significant variables in explaining bank's profitability and performance. This method is commonly used in similar related studies. We considered multiple explanatory variables, including ECB key interest rates (deposit and facility rates), Interbank Money Market Interest Rates, Bank Specific covariates (e.g., Cost-to-Income ratio, Loan-to-Deposit ratio) and macroeconomic variables (e.g., real GDP Growth, unemployment rate). We use publicly available data for 35 different banks from 2010 to 2017 provided by Portuguese Banking Association (Associação Portuguesa de Bancos, APB), Bank of Portugal (Banco de Portugal, BdP), ECB and European Money Markets Institute (EMMI). During this period Portuguese banks made some changes in their business strategies, increasing the focus on servicing fees and commissions and higher returns from portfolio management. After executing the models and analysing the results, we can conclude that when ECB decided to use NIRP, as a mean to recover the European economy, the channels that most affected Portuguese bank’s profitability, were the Interest Rate Channel, the Credit Channel and the Portfolio Channel.
Descrição
Dissertation presented as the partial requirement for obtaining a Master's degree in Information Management, specialization in Knowledge Management and Business Intelligence
Palavras-chave
Política de Taxas de Juro Negativas Rentabilidade de bancos Políticas Monetárias Não Convencionais Negative Interest Rate Policy Banking Profitability Unconventional Monetary Policy Financial Crisis