Estimating the monetary policy interest-rate-to-performance sensitivity of the European banking sector at the zero lower bound

Estimating the monetary policy interest-rate-to-performance sensitivity of the European banking sector at the zero lower bound

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 pr...

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Pubblicato in:MAGKS - Joint Discussion Paper Series in Economics (Band 02-2019)
Autori principali: Hayo, Bernd, Henseler, Kai, Rapp, Marc Steffen
Natura: Articolo
Lingua:inglese
Pubblicazione: Philipps-Universität Marburg 2019
Soggetti:
interest rate sensitivity
ECB
central bank communication
textual analysis
Wordscores
Wirtschaft
banking sector
Economics
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Riassunto: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 press conferences to estimate a ‘shadow prime rate’. Based on short-run intraday event windows, we find shadow prime rate changes positively affect changes in the EURO-STOXX-Banks Future. Our findings add to the recent evidence docu-menting that banks benefit from increasing interest rate levels in a low-interest-rate envi-ronment.
Descrizione fisica:22 Seiten
ISSN:1867-3678
DOI:10.17192/es2024.0597

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