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Financial factors in economic fluctuations
Christiano, Lawrence J.; Motto, Roberto; Rostagno, Massimo - 2010
We augment a standard monetary DSGE model to include a banking sector and financial markets. We fit the model to Euro Area and US data. We find that agency problems in financial contracts, liquidity constraints facing banks and shocks that alter the perception of market risk and hit financial...
Persistent link: https://www.econbiz.de/10003973320
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Estimating the Monetary Policy Interest-Rate-To-Performance Sensitivity of the European Banking Sector at the Zero Lower Bound
Hayo, Bernd - 2019
Using an event-study design, we investigate monetary policy interest-rate-to-performance sensitivity of the European banking sector over the 07/2012–06/2017 period when interest rates were (close to) zero. We apply the Wordscores approach to introductory statements of ECB's Governing Council...
Persistent link: https://www.econbiz.de/10012894591
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Negative Interest Rate Policy (NIRP) : Implications for Monetary Transmission and Bank Profitability in the Euro Area
Jobst, Andreas (Andy) - 2016
More than two years ago the European Central Bank (ECB) adopted a negative interest rate policy (NIRP) to achieve its …, interest rate cuts also weigh on bank profitability. Substantial rate cuts may at some point outweigh the benefits from higher …
Persistent link: https://www.econbiz.de/10012977791
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Banks and negative interest rates
Heider, Florian; Saidi, Farzad; Schepens, Glenn - 2021
how the transmission depends on bank balance sheets, and how this changes once policy rates become negative. We review the …
Persistent link: https://www.econbiz.de/10012518247
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Real effects of financial market integration : evidence from an ECB collateral framework change
Hüttl, Pia; Kaldorf, Matthias - 2022
This paper studies the effects of harmonizing collateral policy in a monetary union. In 2007, the European Central Bank …
Persistent link: https://www.econbiz.de/10013279271
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Financial Factors in Economic Fluctuations
Christiano, Lawrence J.; Motto, Roberto; Rostagno, Massimo - 2021
We augment a standard monetary DSGE model to include a banking sector and financial markets. We fit the model to Euro Area and US data. We find that agency problems in financial contracts, liquidity constraints facing banks and shocks that alter the perception of market risk and hit financial...
Persistent link: https://www.econbiz.de/10013316211
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Negative monetary policy rates and systemic banks' risk-taking : evidence from the euro area securities register
Bubeck, Johannes; Maddaloni, Angela; Peydró, José-Luis - 2020
the introduction of negative deposit rates by the European Central Bank in June 2014 and a novel securities register for …
Persistent link: https://www.econbiz.de/10012250648
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Negative interest rates in the euro area : does it hurt banks?
Strasky, Jan; Hwang, Hyunjeong - 2019
assesses the effect of the NIRP on the net interest rate margins of the euro area banks using quarterly consolidated bank level … policy rates. The econometric results confirm the effect of the interest rate level on bank profitability and, in some … specifications, also suggest an additional negative effect on bank profitability in the period of negative euro area short …
Persistent link: https://www.econbiz.de/10012111120
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Monetary policy and bank equity values in a time of low interest rates
Ampudia, Miguel; Heuvel, Skander van den - 2018
This paper examines the effects of monetary policy on the equity values of European banks. We identify monetary policy shocks by looking at changes in the EONIA one-month and two-year swap contract rates during narrow windows around the press statements and press conferences announcing monetary...
Persistent link: https://www.econbiz.de/10011928956
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Negative monetary policy rates and systemic banks' risk-taking : evidence from the euro area securities register
Bubeck, Johannes; Maddaloni, Angela; Peydró, José-Luis - 2020
the introduction of negative deposit rates by the European Central Bank in June 2014 and a novel securities register for …
Persistent link: https://www.econbiz.de/10012206320