Simple Banking: Profitability and the Yield Curve
研究了银行盈利性如何随利率变化，基于英国银行面板数据发现，大银行对利率仍有残余风险暴露，长期收益率曲线水平和斜率正向影响盈利，但短期市场利率上升会压缩利差。
How does bank profitability vary with interest rates? We present a model of a monopolistically competitive bank subject to repricing frictions and test the model's predictions using a unique panel data set on UK banks. We find evidence that large banks retain a residual exposure to interest rates, even after accounting for hedging activity operating through the trading book. In the long run, both level and slope of the yield curve contribute positively to profitability. In the short run, however, increases in market rates compress interest margins, consistent with the presence of nonnegligible loan pricing frictions.