Vander Vennet, Rudi; Beernaert, Tom; Soenen, Nicolas - 2022
We investigate the association between ECB monetary policy and market-perceived short- term and long-term bank risk …, using the term structure of default risk captured by bank CDS spreads. During the period 2009-2020, ECB expansionary … monetary policy diminished bank default risk in the short term. However, we do not observe a similar decline in long-term bank …