Bank Business Models at Zero Interest Rates
提出一种新的观测驱动有限混合模型，用于研究银行数据。模型允许时变均值和协方差矩阵，通过蒙特卡洛实验验证分类可靠性，并基于208家欧洲银行数据识别出六种商业模式，发现收益率曲线变化可预测商业模式特征变化。
We propose a novel observation-driven finite mixture model for the study of banking data. The model accommodates time-varying component means and covariance matrices, normal and Student’s <i>t</i> distributed mixtures, and economic determinants of time-varying parameters. Monte Carlo experiments suggest that units of interest can be classified reliably into distinct components in a variety of settings. In an empirical study of 208 European banks between 2008Q1–2015Q4, we identify six business model components and discuss how their properties evolve over time. Changes in the yield curve predict changes in average business model characteristics.