Abstract We quantitatively analyse the interest rate-setting behaviour of German commercial banks during the period 2003–2014, using nonlinear (smooth transition) cointegration approaches. Our empirical results reveal principles applied by commercial banks in (re-)gaining margins in the aftermath of the financial crisis. We substantiate our findings using economic arguments from a bank management perspective. As our study contributes to a better understanding of the pass-through mechanism from market to commercial banks’ customer interest rates, the results will also be relevant to meaningful assessments of the effectiveness of monetary policy measures.

中文翻译：

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德国商业银行的非线性利率设定行为

摘要 我们使用非线性（平滑过渡）协整方法定量分析了德国商业银行在 2003-2014 年期间的利率设定行为。我们的实证结果揭示了商业银行在金融危机之后（重新）获得利润的原则。我们从银行管理的角度使用经济论证来证实我们的发现。由于我们的研究有助于更好地理解从市场到商业银行客户利率的传导机制，因此结果也将与对货币政策措施有效性的有意义的评估相关。