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Economic Quarterly

First Quarter 2018

Cyclical Properties of Bank Margins: Small versus Large Banks

Borys Grochulski, Daniel Schwam and Yuzhe Zhang

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.

DOI: https://doi.org/10.21144/eq1040101

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