Points clés :

• The net interest margin of banks is countercyclical; it increases during recessions.
• New credit relationships are costly and time-consuming because of search frictions.
• The margin is small during expansions because lenders are less selective and the low average delay in finding a loan reinforces the borrowers' threat point in the bargaining process.

 Résumé :
The present paper contributes to the body of knowledge on search frictions in credit markets by demonstrating their ability to explain why the net interest margins of banks behave countercyclically. During periods of expansion, a fall in the net interest margin proceeds from two mechanisms: (i) lenders accept that they must finance entrepreneurs that have lower productivity and (ii) the liquidity of the credit market rises, which simplifies access to loans for entrepreneurs and thereby reinforces their threat point when bargaining the interest rate of the loan.

 Mots-clés : Search Friction | Matching Model | Nash Bargaining | Bank Interest Margin

 JEL : C78, E32, E44, G21