Dokument
| Titel: | Estimating the monetary policy interest-rate-to-performance sensitivity of the European banking sector at the zero lower bound |
| Autor: | Hayo, Bernd |
| Weitere Verfasser: | Henseler, Kai; Rapp, Marc Steffen |
| Veröffentlicht: | 2019 |
| URI: | https://archiv.ub.uni-marburg.de/es/2024/0597 |
| URN: | urn:nbn:de:hebis:04-es2024-05972 |
| DOI: | https://doi.org/10.17192/es2024.0597 |
| ISSN: | 1867-3678 |
| DDC: | 330 Wirtschaft |
| Publikationsdatum: | 2024-01-19 |
| Lizenz: | https://creativecommons.org/publicdomain/mark/1.0 |
| Schlagwörter: |
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| interest rate sensitivity, ECB, central bank communication, textual analysis, Wordscores, banking sector |
Summary:
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.
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