Rahapolitiikan korkoshokit ja pankien kannattavuus : dynaaminen välittyminen eri ympäristöissä ja pankkirakenteissa

This thesis examines how policy rate shocks affect the profitability of large publicly listed European banks. Profitability is measured using net interest income and return on equity, capturing both narrow interest margin effects and broader profitability dynamics. The analysis employs a trivariate panel vector autoregression with exogenous controls (Panel VARX) and impulse response functions, and extends empirical data with a forward-looking higher-for-longer scenario simulation using mean-reverting interest rate process. The empirical sample consists of quarterly data for 11 banks in nine European countries over the period 2010-2024. The analysis is conducted along two complementary dimensions. First, temporal variation is used to compare transmission across monetary environments, including the prolonged low-rate regime of the 2010s, the tightening phase after 2020, and a simulated sustained high-rate scenario. Second, cross-sectional heterogeneity is examined by conditioning transmission on balance-sheet structure, macroeconomic environments, and institutional monetary regimes. The results show that monetary transmission to bank profitability is highly dynamic and environment-dependent. Responses are muted in the low-rate regime, become stronger but more heterogeneous during tightening, and weaken at longer horizons, indicating limited persistence of initial gains. Heterogeneity analyses further indicate that asset-liability structure, macroeconomic conditions, and monetary regime membership materially shape both the magnitude and persistence of profitability responses to policy rate shocks.