We study the impact of increasingly negative central bank policy rates on banks’ propensity to become undercapitalized in a financial crisis (‘SRisk’). We find that the risk impact of negative rates depends on banks’ business models: Large banks with diversified income streams are perceived as less risky, while smaller and more traditional banks are perceived as more risky. Policy rate cuts below zero trigger different SRisk responses than an earlier cut to zero.

Do negative interest rates make banks less safe? / Nucera, FEDERICO CALOGERO; Lucas, Andre; Schaumburg, Julia; Schwaab, Bernd. - In: ECONOMICS LETTERS. - ISSN 0165-1765. - 159:(2017), pp. 112-115. [10.1016/j.econlet.2017.07.014]

Do negative interest rates make banks less safe?

NUCERA, FEDERICO CALOGERO;
2017

Abstract

We study the impact of increasingly negative central bank policy rates on banks’ propensity to become undercapitalized in a financial crisis (‘SRisk’). We find that the risk impact of negative rates depends on banks’ business models: Large banks with diversified income streams are perceived as less risky, while smaller and more traditional banks are perceived as more risky. Policy rate cuts below zero trigger different SRisk responses than an earlier cut to zero.
Bank business model; Negative interest rates; Systemic risk; Unconventional monetary policy measures; Finance; Economics and Econometrics
Do negative interest rates make banks less safe? / Nucera, FEDERICO CALOGERO; Lucas, Andre; Schaumburg, Julia; Schwaab, Bernd. - In: ECONOMICS LETTERS. - ISSN 0165-1765. - 159:(2017), pp. 112-115. [10.1016/j.econlet.2017.07.014]
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11385/175223
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