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Empirical Economics

, Volume 56, Issue 1, pp 341–365 | Cite as

Determinants of bank’s interest margin in the aftermath of the crisis: the effect of interest rates and the yield curve slope

  • Paula Cruz-García
  • Juan Fernández de GuevaraEmail author
  • Joaquín Maudos
Article
  • 143 Downloads

Abstract

This paper analyses the determinants of net interest margin, focusing on the impact of interest rates and the slope of the yield curve, using a broad panel of data from 32 countries over the period 2008–2014, starting at the outbreak of the crisis. The results show that the expansionary monetary policy measures adopted by numerous central banks to combat the crisis have had a negative impact on net interest margins both via the reduction in interest rates and—less powerfully—the flattening of the yield curve. Given that the relationship between net interest income and interest rates/slope of the yield curve is concave, a potential normalisation of monetary policy would have highly beneficial effects on restoring margins.

Keywords

Bank interest margin Yield curve Interest rates Monetary policy 

JEL Classification

G21 E43 E52 

Notes

Acknowledgements

Authors thank the anonymous referees for helpful comments and suggestions. They gratefully acknowledge financial support of the Spanish Ministry of Science and Innovation (research Project ECO2013-43959-R). Joaquín Maudos also acknowledges financial support of Generalitat Valenciana (research Project PROMETEOII/2014/046). Paula Cruz-García acknowledges financial support of Spanish Ministry of Education (FPU2014/00936).

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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2017

Authors and Affiliations

  • Paula Cruz-García
    • 2
  • Juan Fernández de Guevara
    • 1
    • 2
    Email author
  • Joaquín Maudos
    • 1
    • 2
  1. 1.IvieValenciaSpain
  2. 2.Department of Economic AnalysisUniversity of ValenciaValenciaSpain

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