聯邦資金目標利率水準變動對美國商業銀行收益之影響

Abstract

本文分別建立銀行淨利息收益成長率及銀行非利息收益成長率對聯邦資金目標利率水準變化線性迴歸模型，以2000-2022美國的平衡型跨期、跨商業銀行縱橫面資料為樣本。本文發現，聯邦資金目標利率水準提升，有助於提高銀行淨利息收益，其影響管道主要是透過擴大銀行存放款利差，縮小存放比率達成。另外，聯邦資金目標利率水準提升，將使銀行非利息收益下滑，其影響主要來自於銀行手續費及佣金收入的減少；惟投資利得反而會上升，減緩對銀行非利息收益的負面衝擊。

We construct a linear regression model for the effect of change in the federal funds target rate on the changes of net interest income and non-interest income of bank, respectively. Adopting the balanced panel data of commercial banks in the United States from 2000 to 2022, we document that the change of the federal funds target rate positively affects the net interest income of bank, and its influence is mainly achieved through expanding the interest rate spread of bank and narrowing the deposit to loan ratio of bank. Moreover, the increase in the federal funds target rate appears to jeopardize the bank's non-interest income, and its influence mainly results from the reduction of service charges, commissions, and fee incomes. In contrast, the investment gain income is in general boosted by interest rate increase, thus reducing the decline in the total non-interest income of the banks.