Publications

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.

Cruz, P., J. Fernández de Guevara and J. Maudos (2019). «Determinants of bank’s interest margin in the aftermath of the crisis: The effect of interest rates and the yield curve slope». Empirical Economics 56, n.º 1 (January): 341-365.