مجلة الدراسات الإقتصادية والمالية
Volume 16, Numéro 1, Pages 22-33
2023-12-31
Impact Of Interest Rate Fluctuation On Tunisian Bank Profitability
Authors : El Agrebi Lilia .
Abstract
The threats to financial stability have significantly increased. the tightening of monetary policy has had to be accelerated by central banks by raising interest rates in order to stop inflationary pressures from taking hold. In this situation of marked financial vulnerability, this study examines the effects of interest rate changes on the profitability of a sample of Tunisian banks from 2010 to 2021, and calculates the adjustment speeds of revenues and costs in response to a change in interest rates. An instantaneous adjustment of both sides of the balance sheet reflects a perfect immunization of the bank. Our findings demonstrate that banks in our sample have a duration gap between their assets and liabilities. The average maturity of their asset portfolio is greater than that of their liabilities. Changes in market conditions will have a negative impact on the results of these banks, and their profitability is negatively correlated with interest rates variation.
Keywords
bank interest margin ; bank profitability ; interest rate risk ; Seemingly Unrelated Regression (SUR)
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