Federal Reserve Bank of Richmond
Cyclical Properties of Bank Margins: Small versus Large Banks
We study cyclical properties of the net interest margin (NIM) in the US banking sector in the aggregate as well as separately for small and large banks. In the aggregate and among large banks, NIM is countercyclical. Among small banks, however, NIM is procyclical. Further, we find that this result is driven by differences in the cyclical dynamics of small and large banks' funding costs rather than asset yields.
Cite this item
Borys Grochulski & Daniel Schwam & Yuzhe Zhang, "Cyclical Properties of Bank Margins: Small versus Large Banks"
, Federal Reserve Bank of Richmond, Economic Quarterly, issue 1Q, pages 1-33, 2018.
Keywords: NIM; net interest margin; banking
This item with handle RePEc:fip:fedreq:00056
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