Monetary Policy and Bank Equity Values in a Time of Low and Negative Interest Rates

• 成果类型: Article
• 署名作者: Ampudia, Miguel; Van den Heuvel, Skander J.
• 署名单位: European Central Bank; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2022.05.006
• 发表日期: 2022
• 页码: 49-67
• 关键词: negative interest rates; monetary policy; bank profitability; reversal rate; ECB

摘要

Does banks' exposure to interest rate risk change when interest rates are very low or neg-ative? Using a high-frequency event study methodology and intraday data, we find that the effect of surprise interest rate cuts by the ECB on European bank equity values - an effect that is normally positive - has become negative since interest rates in the euro area reached zero and below. This 'reversal' was far more pronounced for banks with a more deposit-intensive funding mix. We argue that these results can be explained by the zero lower bound on interest rates on retail deposits.Published by Elsevier B.V.