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LUND UNIVERSITY LIBRARIES

The impact from the Yield Curve on the four major Swedish Banks’ Profitability

Ingves, Anton LU (2024) NEKH01 20232
Department of Economics
Abstract
This thesis investigates the impact of short-term rates and the yield curve on the four major Swedish banks profitability. The paper also exploits possible differences from the impact of the yield curve between the each of the four banks. By using quarterly panel data between Q1 1998 and Q3 2023 in two regression models, the impact of short-term rates and the yield curve on return on equity and net interest margin is estimated. On an aggregated level, the results showed a significant and positive impact from the level of short-term rates on both profitability measures. The yield curve shows significant impact on net interest margin, although ambiguous whether the significance relates to the level or change. For return on equity, the yield... (More)
This thesis investigates the impact of short-term rates and the yield curve on the four major Swedish banks profitability. The paper also exploits possible differences from the impact of the yield curve between the each of the four banks. By using quarterly panel data between Q1 1998 and Q3 2023 in two regression models, the impact of short-term rates and the yield curve on return on equity and net interest margin is estimated. On an aggregated level, the results showed a significant and positive impact from the level of short-term rates on both profitability measures. The yield curve shows significant impact on net interest margin, although ambiguous whether the significance relates to the level or change. For return on equity, the yield curve did not show any significant impact on an aggregate level. On a bank specific level, the results suggest differences of the impact from the level of the yield curve between the four banks on both profitability measures. This possibly reveals differences in business models and interest rate risk carried on the balance sheet. (Less)
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author
Ingves, Anton LU
supervisor
organization
course
NEKH01 20232
year
type
M2 - Bachelor Degree
subject
keywords
Bank Profitability, Yield curve, Short-term rates, Interest rate risk, Maturity mismatch
language
English
id
9147014
date added to LUP
2024-04-16 09:24:27
date last changed
2024-04-16 09:24:27
@misc{9147014,
  abstract     = {{This thesis investigates the impact of short-term rates and the yield curve on the four major Swedish banks profitability. The paper also exploits possible differences from the impact of the yield curve between the each of the four banks. By using quarterly panel data between Q1 1998 and Q3 2023 in two regression models, the impact of short-term rates and the yield curve on return on equity and net interest margin is estimated. On an aggregated level, the results showed a significant and positive impact from the level of short-term rates on both profitability measures. The yield curve shows significant impact on net interest margin, although ambiguous whether the significance relates to the level or change. For return on equity, the yield curve did not show any significant impact on an aggregate level. On a bank specific level, the results suggest differences of the impact from the level of the yield curve between the four banks on both profitability measures. This possibly reveals differences in business models and interest rate risk carried on the balance sheet.}},
  author       = {{Ingves, Anton}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{The impact from the Yield Curve on the four major Swedish Banks’ Profitability}},
  year         = {{2024}},
}