Negative Monetary Policy Rates and Systemic Banks' Risk‐Taking: Evidence from the Euro Area Securities Register
We show that negative monetary policy rates induce systemic banks to reach‐for‐yield. For identification, we exploit the introduction of negative deposit rates by the European Central Bank in June 2014 and a novel securities register for the 26 largest euro area banking groups. Banks with more customer deposits are negatively affected by negative rates, as they do not pass negative rates to retail customers, in turn investing more in securities, especially in those yielding higher returns. Effects are stronger for less capitalized banks, private‐sector (financial and nonfinancial) securities and dollar‐denominated securities. Affected banks also take higher risk in loans.
Year of publication: |
2020
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Authors: | Bubeck, Johannes ; Maddaloni, Angela ; Peydró, José-Luis |
Published in: |
Journal of Money, Credit and Banking. - Hoboken : Wiley, ISSN 1538-4616. - Vol. 52.2020, S1, p. 197-231
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Publisher: |
Hoboken : Wiley |
Subject: | negative rates | non-standard monetary policy | reach-for-yield | securities | banks |
Saved in:
freely available
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.1111/jmcb.12740 [DOI] hdl:10419/230885 [Handle] RePEc:zbw:espost:230885 [RePEc] |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; E58 - Central Banks and Their Policies ; G01 - Financial Crises ; G21 - Banks; Other Depository Institutions; Mortgages |
Source: |
Persistent link: https://www.econbiz.de/10012434214