The paper analyses the relationship between bank profitability and some macroeconomic variables (GDP growth, credit growth, interest rates, and the sovereign spread) in the period 2006-16 for a sample of European banks broken down by business model; banks are divided into three groups depending on the importance of traditional lending as measured by the share of loans as a proportion of total assets.
Our analysis shows that the return on assets (ROA) of the banks included in the sample is positively correlated with credit growth and with the slope of the risk-free yield curve, while it is negatively correlated with the sovereign spread; there are no differences between banks ascribable to their different business models. GDP growth is instead positively correlated with ROA only for banks whose share of loans in total assets is either medium or high, but not for those holding a substantial share of other assets.
