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The Effects of Unconventional Monetary Policies on Bank Soundness
Author:
Frederic Lambert
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and
Mr. Kenichi Ueda
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Series:
IMF Working Papers
Volume/Issue:
Volume 2014: Issue 152
Language:
English
Publication Date:
13 Aug 2014
DOI:
https://doi.org/10.5089/9781498363563.001
ISBN:
9781498363563
ISSN:
1018-5941
Pages:
40
Keywords:
WP; return on assets; short-term debt; Monetary Policy; Bank Profitability; Bank Risk; Balance Sheet Repair; fed funds rate; equity ratio; futures contract; Taylor gap; bank CDS spread; bank size; B. bank risk-taking; monetary policy announcement; CDS spread; panel regression; Unconventional monetary policies; Yield curve; Stocks; Bond yields; Central bank policy rate; Global
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IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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Unconventional monetary policy is often assumed to benefit banks. However, we find little supporting evidence. Rather, we find some evidence for heightened medium-term risks. First, in an event study using a novel instrument for monetary policy surprises, we do not detect clear effects of monetary easing on bank stock valuation but find a deterioration of medium-term bank credit risk in the United States, the euro area, and the United Kingdom. Second, in panel regressions using U.S. banks’ balance sheet information, we show that bank profitability and risk taking are ambiguously affected, while balance sheet repair is delayed.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund