The paper investigates the impact of macroeconomic conditions on the profitability of EU banks, by testing for differential effects according to the business model. We group banks into three business models using a hierarchical cluster analysis, and find that using clusters based on the share of assets invested in loans reveals heterogeneity in the sensitivity of bank profitability to economic growth across business models. Our main result is that GDP growth, credit growth and the risk-free yield curve influence profitability as expected, but we also find that the effect of GDP growth is only significant for banks that have a high and medium share of assets invested in loans, and not for banks that hold large portfolios of securities. This difference depends on the impact of growth on asset write downs, especially those on loans and, to a lesser extent, on revenues. The results suggest that studies relating bank profitability to macroeconomic conditions should take the heterogeneity of business models into account.

中文翻译：

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银行盈利能力和宏观经济状况：商业模式是否不同？

本文通过根据商业模型测试差异效应，研究了宏观经济状况对欧盟银行盈利能力的影响。我们使用分层聚类分析将银行分为三个业务模型，发现使用基于投资于贷款的资产份额的聚类，揭示了银行利润率对不同业务模型对经济增长的敏感性的异质性。我们的主要结果是GDP增长，信贷增长和无风险收益率曲线如预期那样影响获利能力，但我们还发现，GDP增长的影响仅对拥有高中资产投资贷款资产的银行具有重大意义，不适用于拥有大量证券投资组合的银行。这种差异取决于增长对资产减记的影响，尤其是对贷款的减记，以及 在较小程度上，关于收入。结果表明，将银行盈利能力与宏观经济条件相关的研究应考虑商业模式的异质性。