Using quarterly call report data from 2000 to 2016, we reexamine the relationship between net interest margins (NIM) and the yield curve for more than 5,500 U.S. commercial banks. In the full sample, yield curve and RGDP growth have positive effects on NIM, while inflation and deposit‐to‐loan ratios (D/L) have negative effects. Splitting the sample around the 2007–2009 crisis, we show the impact of yield curve and RGDP growth on NIM increasing during the “recovery” (2009Q3 to 2016Q4), and inflation and D/L changing signs. Positive effects of yield curve on profits vary with bank size and change over time.
Egly, PV, Johnk, DW, Mollick, AV. Bank net interest margins, the yield curve, and the 2007–2009 financial crisis. Rev Financ Econ. 2018; 00: 1– 21. https://doi.org/10.1002/rfe.1016
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Review of Financial Economics