Basis Risk and Net Interest Income of Banks

• Autorzy: Piotr Mielus , Tomasz Mironczuk , Anna Zamojska
• Języki publikacji: EN

Abstrakty

EN

The results of the banking sector are shaped primarily by commissions and net interest income. Net interest income is determined by the difference between the profitability of bank assets and liabilities. In the case when a different method is used to determine interest for each side of the balance sheet, there occurs a basis risk that may lead to the deterioration in the net interest income of the sector. This is the situation in the Polish banking sector, which is characterized by the presence of variable interest rates for long-term assets and fixed interest rates for short-term liabilities. The study aims to verify the following thesis: in an environment of falling interest rates we can observe the deterioration in net interest income of the banking sector, as a result of the materialization of the basis risk. The authors of the article state that the source of the basis risk is the mismatch between the reference rate used to define the interest flow of loans and the actual cost of financing the balance through term deposits collected from non-financial entities.(original abstract)

Słowa kluczowe

EN

Banking; Investments; Revenue

PL

Bankowość; Lokaty; Przychody

• Czasopismo: Folia Oeconomica Stetinensia
• Rocznik: 2016
• Numer: vol. 16, iss. 2
• Strony: 40--59

Twórcy

autor

Piotr Mielus

• Warsaw School of Economics, Poland

autor

Tomasz Mironczuk

• Gdańsk Institute for Market Economics, Poland

autor

Anna Zamojska

• University of Gdansk, Poland

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• www.nbp.pl.
• www.knf.gov.pl.
• www.smrp.pl.

Identyfikatory

DOI

10.1515/foli-2016-0024