March 2008 working paper no. 330 Issn 1975-5163 Joon-Ho Hahm
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Non-Interest Income of Commercial Banks
Journal of Money, Credit and Banking, Vol. 26, No. 5, pp. 854-882.
Stiroh, K. J., 2004b, “Do Community Banks Benefit from Diversification?” Journal of Financial Services Research, Vol. 25, No. 2-3, pp. 135-160. Valverde, S. C. and Fernandez, F. R., 2007, “The Determinants of Bank Margins in European Banking,” Journal of Banking and Finance, Vol. 31, pp. 2043-63. Wall, L. D., Reichert, A. K., and Mohanty, S., 1993, “Deregulation and the Opportunities for Commercial Bank Diversification,” Economic Review, Federal Reserve Bank of Atlanta, September/October, pp. 1-25. 28 Table 1: Sample Mean Values of Major Bank Statistics (1992-2006) Country Code Assets (million USD) Capital Ratio (%) Loan Ratio (%) Impaired Loan Ratio (%) ROA (%) ROE (%) Net Interest Margin (%) Cost- Income Ratio (%) Interest Revenue (million USD) Non-Interest Income Ratio (%) AT 57,001.370 4.076 54.914 3.174 0.452 12.356 1.455 60.266 833.119 37.91 AU 48,029.010 5.085 76.809 1.396 0.856 20.161 2.381 56.112 846.692 33.42 BE 184,862.600 3.179 32.814 2.497 0.596 18.028 1.421 61.636 1,692.498 37.53 CA 98,136.410 5.092 54.856 2.144 0.633 13.237 2.257 68.324 1,900.446 47.94 CH 94,154.460 6.913 60.180 3.332 0.679 11.339 1.963 63.865 711.413 42.72 CZ 14,284.290 6.912 42.568 12.211 0.607 8.167 3.000 56.750 427.810 38.28 DE 133,792.200 5.634 50.263 3.995 0.331 7.437 2.071 62.716 1,427.213 26.33 DK 64,976.540 4.728 59.939 1.288 0.630 12.874 1.678 53.215 794.145 15.55 ES 71,103.600 6.756 59.309 2.245 0.962 11.315 2.747 60.912 1,326.724 33.15 FI 38,127.900 6.014 51.712 0.678 0.344 5.539 1.640 54.461 534.695 33.82 FR 102,595.900 7.131 55.399 6.920 0.199 1.968 2.172 74.506 1,149.983 40.63 GB 103,770.100 9.177 50.470 1.468 0.929 13.422 3.385 63.133 1,253.234 47.85 GR 42,044.020 6.024 60.076 6.654 0.683 10.055 3.270 63.097 1,196.349 30.86 HU 10,403.930 7.256 54.605 4.683 1.856 26.183 5.629 65.734 514.559 36.73 IE 36,356.910 6.874 40.713 0.313 0.431 11.821 0.908 40.971 344.567 12.46 IS 28,103.510 7.337 68.283 0.720 2.252 30.918 2.134 39.070 536.045 54.47 IT 53,408.510 6.845 56.741 5.931 0.603 8.670 2.595 66.698 1,038.598 37.33 JP 116,184.800 4.734 64.641 6.594 -0.096 -2.652 1.596 61.325 1,349.895 33.87 KR 35,911.500 4.905 56.620 4.041 0.033 -4.427 2.332 65.510 759.215 40.64 LU 13,773.450 3.732 24.509 3.254 0.469 13.669 0.589 37.568 72.619 38.81 MX 29,084.730 7.181 58.392 5.257 1.160 12.842 5.297 73.815 1,013.272 27.81 NL 114,827.000 4.029 54.986 1.117 0.484 44.652 1.098 83.516 1,311.699 35.25 NO 34,744.520 5.747 75.083 3.187 0.623 7.578 2.610 66.994 675.938 31.25 NZ 194,528.400 4.688 65.434 1.275 1.123 33.725 2.217 54.390 1,885.949 41.14 PL 12,134.750 10.381 44.939 10.914 1.649 15.311 3.218 66.954 369.917 50.45 PT 144,899.900 5.433 53.990 3.550 0.420 7.956 1.963 69.228 1,414.114 21.64 SE 69,665.980 4.089 52.618 3.824 0.698 17.659 2.658 65.250 969.514 38.35 TR 21,421.190 10.289 35.919 8.683 0.944 5.560 7.504 71.211 1,345.982 30.84 US 25,608.510 8.982 61.202 0.766 1.399 16.367 4.132 58.885 807.796 33.65 29 Table 2: Determinants of Non-Interest Income Ratio (Bank-Year Pooled OLS Regressions, Lagged Independent Variables) Non-Interest Income Ratio Non-Interest Income Ratio Log Assets (-1) 4.373 4.420 (10.72)*** (11.95)*** Equity-Asset Ratio (-1) 0.266 0.352 (2.03)** (2.49)** Impaired Loan Ratio (-1) 0.799 0.697 (5.29)*** (5.44)*** ROA (-1) 6.364 6.643 (11.44)*** (11.77)*** Loan Ratio (-1) -0.292 -0.293 (9.39)*** (9.82)*** Net Interest Margin (-1) -1.328 -1.452 (4.31)*** (4.72)*** Cost-Income Ratio (-1) 0.333 0.365 (9.21)*** (10.64)*** GNI per capita (-1) -40.364 (0.48) Real GDP Growth (-1) -0.576 (2.03)** Real Interest Rate (-1) 0.383 (1.70)* Inflation Rate (-1) -0.401 (4.03)*** Market Cap / GDP (-1) 0.056 (3.86)*** Observations 2,664 2,660 Adjusted R-squared 0.19 0.18 Note: Country and year dummy variables were included but not reported. Absolute value of t-statistics is in parentheses. * significant at 10%; ** significant at 5%; *** significant at 1%. 30 Table 3: Profitability and Risk Impact of Non-interest Income Ratio (Bank-Period Pooled OLS Regressions) Note: Country and period dummy variables were included but not reported. Absolute value of t-statistics is in parentheses. * significant at 10%; ** significant at 5%; *** significant at 1%. ROA SD (ROA) Equity- Asset Ratio Z-Score ROA SD (ROA) Equity- Asset Ratio Z-Score ROA SD (ROA) Equity- Asset Ratio Z-Score Log Assets 0.051 -0.057 -0.600 6.884 0.037 -0.045 -0.705 7.055 0.034 -0.055 -0.725 7.266 (2.18)** (2.18)** (7.75)*** (0.77) (1.59) (1.77)* (8.69)*** (0.84) (1.43) (2.18)** (8.90)*** (0.86) Equity-Asset Ratio 0.050 0.155 -1.015 0.090 0.119 1.865 0.089 0.116 1.913 (5.93) *** (15.65) *** (0.30) (11.32) *** (13.25) *** (0.63) (11.22) *** (12.99) *** (0.64) Loan Ratio 0.007 -0.003 0.011 0.980 0.006 -0.003 0.030 0.656 0.007 -0.002 0.032 0.630 (4.32)*** (1.47) (2.14)** (1.61) (4.30)*** (1.82)* (5.75)*** (1.22) (4.48)*** (1.02) (6.11)*** (1.14) Non-Int Income Ratio 0.003 0.003 0.014 -0.351 0.002 0.003 0.018 -0.267 0.000 -0.003 0.005 -0.147 (2.39)** (2.34)** (4.00)*** (0.89) (1.59) (2.44)** (4.70)*** (0.69) (0.20) (1.51) (0.66) (0.21) Real GDP Growth 0.183 -0.093 0.096 -9.707 0.186 -0.084 0.114 -9.892 (8.16)*** (3.86)*** (1.19) (1.22) (8.25)*** (3.47)*** (1.42) (1.24) Inflation Rate -0.011 0.034 0.093 -0.792 -0.011 0.033 0.092 -0.786 (2.38)** (6.74)*** (5.77)*** (0.48) (2.40)** (6.71)*** (5.71)*** (0.48) Real Interest Rate -0.033 0.045 0.011 -5.682 -0.034 0.042 0.005 -5.618 (1.98)** (2.52)** (0.19) (0.96) (2.05)** (2.34)** (0.08) (0.95) Market Cap / GDP 0.002 -0.001 0.015 -0.293 0.001 -0.004 0.008 -0.224 (2.89)*** (1.33) (6.29)*** (1.16) (0.69) (3.55)*** (1.87)* (0.53) Market Cap / GDP * Non-Int Income Ratio 0.001 0.001 0.001 -0.002 (1.28) (3.44)*** (2.27)** (0.21) Observations 1,257 1,174 1,257 1,167 1,257 1,174 1,257 1,167 1,257 1,174 1,257 1,167 Adjusted R- squared 0.28 0.25 0.30 0.01 0.19 0.21 0.13 0.00 0.19 0.21 0.13 0.00 31 Table 4: Profitability and Risk Impact of Non-interest Income Ratio (Bank-Period Pooled OLS Regressions, Lagged Independent Variables) ` ROA SD (ROA) Equity- Asset Ratio Z-Score ROA SD (ROA) Equity- Asset Ratio Z-Score ROA SD (ROA) Equity- Asset Ratio Z-Score Log Assets (-1) -0.017 0.023 -0.092 -5.219 -0.083 0.022 -0.433 -5.080 -0.089 0.021 -0.445 -4.826 (0.56) (1.13) (1.05) (1.93)* (2.66)*** (1.15) (4.63)*** (1.99)** (2.83)*** (1.08) (4.73)*** (1.88)* Equity-Asset Ratio (-1) 0.009 0.013 -1.742 0.038 0.010 -0.799 0.037 0.010 -0.745 (0.92) (2.04)** (1.99)** (3.65)*** (1.63) (0.96) (3.53)*** (1.59) (0.89) Loan Ratio (-1) 0.006 0.004 0.015 0.041 0.008 0.005 0.040 0.078 0.008 0.005 0.041 0.047 (3.18)*** (2.75)*** (2.60)*** (0.24) (3.89)*** (3.86)*** (6.72)*** (0.49) (4.15)*** (3.87)*** (6.83)*** (0.29) Non-Int Income Ratio (-1) 0.002 0.002 0.006 -0.047 0.001 0.003 0.010 -0.070 -0.003 0.002 0.002 0.077 (1.25) (2.67)*** (1.56) (0.40) (0.66) (3.31)*** (2.28)** (0.60) (0.96) (1.39) (0.20) (0.36) Real GDP Growth(-1) 0.038 0.044 0.068 -0.641 0.044 0.045 0.082 -0.894 (1.31) (2.44)** (0.75) (0.27) (1.51) (2.49)** (0.91) (0.37) Inflation Rate (-1) 0.029 0.011 0.107 -0.430 0.029 0.011 0.106 -0.418 (5.58)*** (3.63)*** (6.71)*** (1.03) (5.52)*** (3.61)*** (6.63)*** (1.01) Real Interest Rate(-1) -0.015 0.012 0.005 -3.406 -0.017 0.011 -0.001 -3.284 (0.67) (0.87) (0.08) (1.90)* (0.78) (0.83) (0.01) (1.82)* Market Cap / GDP (-1) 0.005 -0.002 0.019 0.073 0.003 -0.002 0.014 0.151 (5.02)*** (2.73)*** (6.72)*** (0.97) (1.88)* (2.09)** (3.12)*** (1.25) Market Cap /GDP * Non-Int Income Ratio (-1) 0.001 0.001 0.001 -0.002 (1.58) (0.50) (1.22) (0.83) Observations 844 788 845 782 844 788 845 782 844 788 845 782 Adjusted R- squared 0.29 0.07 0.35 0.02 0.12 0.06 0.14 0.01 0.12 0.06 0.14 0.01 Note: Country and period dummy variables were included but not reported. Absolute value of t-statistics is in parentheses. * significant at 10%; ** significant at 5%; *** significant at 1%. 32 Table 5: Profitability and Risk Impact of Non-Interest Income Ratio (Bank Cross-section OLS Regressions) ROA SD(ROA) Equity- Asset Ratio Z-Score ROA SD(ROA) Equity- Asset Ratio Z- Score ROA SD(ROA) Equity- Asset Ratio Z- Score Log Assets 0.045 -0.048 -0.414 24.768 0.029 -0.035 -0.586 22.391 0.028 -0.042 -0.583 21.886 (2.25)** (1.56) (4.50)*** (1.58) (1.36) (1.15) (5.92)*** (1.47) (1.29) (1.39) (5.86)*** (1.43) Equity-Asset Ratio 0.114 0.022 -0.848 0.141 0.006 4.604 0.141 0.007 4.656 (13.36)*** (1.68)* (0.12) (17.08)*** (0.54) (0.77) (17.08)*** (0.60) (0.78) Loan Ratio 0.003 -0.001 0.025 1.320 0.003 0.000 0.038 0.757 0.003 0.001 0.038 0.811 (2.45)** (0.52) (3.96)*** (1.22) (2.27)** (0.10) (6.21)*** (0.78) (2.34)** (0.49) (6.08)*** (0.82) Non-Int Income Ratio 0.003 0.005 0.017 -0.731 0.003 0.004 0.023 -0.796 0.001 -0.002 0.025 -1.229 (2.51)** (2.90)*** (3.52)*** (0.87) (2.26)** (2.58)*** (4.28)*** (0.98) (0.69) (0.71) (2.55)** (0.83) Real GDP Growth 0.099 -0.028 0.179 -30.036 0.100 -0.018 0.176 -29.372 (4.19)*** (0.82) (1.59) (1.78)* (4.22)*** (0.53) (1.55) (1.72)* Inflation Rate 0.000 0.039 0.132 -1.006 0.000 0.038 0.132 -1.069 (0.07) (6.81)*** (7.11)*** (0.35) (0.10) (6.67)*** (7.11)*** (0.37) Real Interest Rate 0.033 0.020 -0.207 35.302 0.033 0.012 -0.205 34.754 (1.33) (0.55) (1.72)* (1.92)* (1.30) (0.33) (1.71)* (1.88)* Market Cap / GDP 0.002 0.000 0.010 -0.351 0.002 -0.004 0.012 -0.614 (3.13)*** (0.32) (3.10)*** (0.69) (1.27) (1.94)* (2.01)** (0.68) Market Cap / GDP *Non-Int Income Ratio 0.001 0.001 0.001 0.006 (0.65) (2.55)** (0.29) (0.35) Observations 654 637 654 636 654 637 654 636 654 637 654 636 Adjusted R- squared 0.50 0.13 0.33 0.00 0.40 0.09 0.17 0.01 0.40 0.10 0.17 0.01 Note: Country dummy variables were included but not reported. Absolute value of t-statistics is in parentheses. * significant at 10%; ** significant at 5%; *** significant at 1%. 33 Table 6: Homogeneity in Bank Revenue Structure and Macroeconomic Volatility (Country Cross-section OLS Regressions) SD(Inflation Rate) SD(Real GDP Growth) SD(Market Cap / GDP) SD(Real Interest Rate) SD(Inflation Rate) SD(Real GDP Growth) SD(Market Cap / GDP) SD(Real Interest Rate) Inflation Rate 0.672 0.035 0.181 0.161 0.591 0.003 0.830 0.025 (16.42)*** (1.43) (0.36) (6.15)*** (8.47)*** (0.04) (0.53) (0.27) Real GDP Growth 0.211 0.231 -0.240 0.293 0.032 0.219 -3.348 0.243 (1.07) (1.98)* (0.10) (2.33)* (0.13) (1.83)* (1.40) (1.74)* Real Interest Rate 0.056 -0.136 -0.138 0.089 0.021 -0.138 0.913 0.088 (0.26) (1.08) (0.05) (0.66) (0.09) (1.20) (0.40) (0.64) Market Cap / GDP -0.005 -0.001 0.257 -0.005 0.004 -0.008 0.281 -0.009 (0.86) (0.36) (3.57)*** (1.40) (0.46) (1.73)* (4.35)*** (1.70)* AVG(Non-Int Income Ratio) 0.032 -0.001 0.483 -0.002 0.045 -0.015 0.586 -0.016 (1.16) (0.07) (1.43) (0.09) (1.50) (0.87) (1.95)* (0.84) SD(Non-Int Income Ratio) -0.099 0.020 -0.133 -0.002 -0.103 0.027 -0.579 0.018 (3.09)*** (1.07) (0.34) (0.10) (3.06)*** (1.26) (1.43) (0.73) SD(Inflation Rate) 0.030 -2.618 0.195 (0.24) (1.14) (1.45) SD(Real GDP Growth) 0.104 9.784 0.056 (0.24) (2.54)** (0.21) SD(Market Cap / GDP) -0.024 0.026 0.017 (1.14) (2.54)** (1.30) SD(Real Interest Rate) 0.509 0.042 4.778 (1.45) (0.21) (1.30) Observations 29 29 29 29 29 29 29 29 Adjusted R-squared 0.97 0.57 0.4 0.87 0.97 0.65 0.56 0.88 Note: Absolute value of t-statistics is in parentheses. * significant at 10%; ** significant at 5%; *** significant at 1%. 34 Figure 1: Return on Average Assets (Period Means in %) 35 Figure 2. Non-Interest Income Ratio (Period Means in %) 36 Figure 3: Decomposition of Net Operating Revenue (2002-2006 Mean in %) |
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