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...
I tiakina i:
I whakaputaina i: | MAGKS - Joint Discussion Paper Series in Economics (Band 02-2019) |
---|---|
Ngā kaituhi matua: | , , |
Hōputu: | Tuhinga |
Reo: | Ingarihi |
I whakaputaina: |
Philipps-Universität Marburg
2019
|
Ngā marau: | |
Urunga tuihono: | Kuputuhi katoa PDF |
Tags: |
Tāpirihia he Tūtohu
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
Whakarāpopototanga: | 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. |
---|---|
Whakaahuatanga ōkiko: | 22 Seiten |
ISSN: | 1867-3678 |
DOI: | 10.17192/es2024.0597 |