Accessible Version
Do Negative Interest Rates Explain Low Profitability of European Banks? Accessible Data
Figure 1: Interest Rates, Net Interest Margins, Return on Assets, and Decomposition
(a) 3–month Sovereign Yields
Percent
| Year | 25th Percentile | 50th Percentile | 75th Percentile |
|---|---|---|---|
| 2007 | 3.97 | 4.00 | 4.10 |
| 2008 | 3.76 | 3.85 | 4.07 |
| 2009 | 0.57 | 0.86 | 1.34 |
| 2010 | 0.45 | 0.76 | 1.52 |
| 2011 | 0.74 | 1.08 | 2.28 |
| 2012 | 0.11 | 0.57 | 1.85 |
| 2013 | 0.07 | 0.27 | 0.67 |
| 2014 | 0.07 | 0.15 | 0.34 |
| 2015 | -0.26 | -0.15 | -0.02 |
| 2016 | -0.64 | -0.48 | -0.11 |
| 2017 | -0.78 | -0.64 | -0.44 |
(b) Net Interest Margins
Percent
| Year | 25th Percentile | 50th Percentile | 75th Percentile |
|---|---|---|---|
| 2007 | 1.28 | 1.77 | 2.69 |
| 2008 | 1.40 | 1.66 | 2.83 |
| 2009 | 1.31 | 1.61 | 2.61 |
| 2010 | 1.22 | 1.66 | 2.46 |
| 2011 | 1.19 | 1.65 | 2.54 |
| 2012 | 1.14 | 1.52 | 2.33 |
| 2013 | 1.21 | 1.54 | 2.21 |
| 2014 | 1.21 | 1.59 | 2.41 |
| 2015 | 1.05 | 1.53 | 2.47 |
| 2016 | 1.15 | 1.41 | 2.33 |
| 2017 | 1.19 | 1.54 | 2.06 |
(c) Return on Assets
Percent
| Year | 25th Percentile | 50th Percentile | 75th Percentile |
|---|---|---|---|
| 2007 | 0.60 | 0.94 | 1.45 |
| 2008 | 0.12 | 0.44 | 0.89 |
| 2009 | 0.10 | 0.45 | 0.58 |
| 2010 | 0.09 | 0.41 | 0.51 |
| 2011 | -0.31 | -0.02 | 0.42 |
| 2012 | -0.43 | 0.16 | 0.34 |
| 2013 | -0.22 | 0.29 | 0.48 |
| 2014 | 0.02 | 0.42 | 0.53 |
| 2015 | 0.26 | 0.47 | 0.62 |
| 2016 | 0.30 | 0.53 | 0.72 |
| 2017 | 0.31 | 0.50 | 0.85 |
(d) Decomposition of Differences Between U.S. and European NIMs and ROAs
Percent
| NIM | ROA | |
|---|---|---|
| Macroeconomic Factors | 0% | 2% |
| Interest Rates | 18% | 28% |
| Bank/Banking System Specific Factors | 82% | 70% |
Note: Legend entries appear in order from bottom to top.
Panel (a) shows the 25th percentile, median, and 75th percentile of the three-month sovereign yields over our sample period. Panel (b) shows the 25th percentile, median, and 75th percentile of country averages of NIM over our sample period. Panel (c) shows the 25th percentile, median, and 75th percentile of country averages of ROA over our sample period. For panel (d), the estimated difference between European and U.S. bank NIMs is 191 bps and the estimated difference between European and US bank ROAs is 77 bps. Panels (a)-(c) include banks from the following countries: Austria, Belgium, Bulgaria, Czech Republic, Denmark, Finland, France, Germany, Greece, Hungary, Ireland, Italy, Netherlands, Poland, Portugal, Slovakia, Spain, Sweden, Switzerland, and United Kingdom. U.S. data are from the Federal Reserve Bank of St. Louis’ FRED database.