Revisiting bank profitability: A semi-parametric approach

Angelos Kanas, Dimitrios Vasiliou, Nikolaos Eriotis

    Research output: Contribution to journalArticlepeer-review


    We employ a semi-parametric empirical model and reveal evidence that the U.S. bank profitability is affected non-parametrically by the business cycle, short-term interest rates, inflation expectations, credit risk, and loan portfolio structure. If a semi-parametric perspective was not adopted then it would not be feasible to uncover the effects of these variables, as well as the effects arising from capital and financial structure upon U.S. bank profitability. In addition, the out-of-sample performance of the semi-parametric model is superior to that of the linear model. These results are of importance to policy makers in designing a macro-prudential framework for monitoring the banking system.

    Original languageEnglish
    Pages (from-to)990-1005
    Number of pages16
    JournalJournal of International Financial Markets, Institutions and Money
    Issue number4
    Publication statusPublished - Oct 2012


    • Bank profitability
    • Determinants
    • Macro-prudential perspective
    • Semi-parametric model
    • U.S.


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