Macroprudential policy, monetary policy, and euro zone bank risk
- Author
- Elien Meuleman (UGent) and Rudi Vander Vennet (UGent)
- Organization
- Abstract
- We investigate the impact of macroprudential policy on the risk and return profile of euro zone banks between 2008 and 2018, conditioning on the stance of monetary policy. Using local projections, we find that a tightening in macroprudential policy increases financial stability by curbing credit growth and increasing the resilience of the banks. With respect to the policy mix, we show that tight macroprudential and monetary policies reinforce each other. But even when monetary policy is accommodating, macroprudential policy is found to be effective in deterring excessive bank risk-taking. However, we also document adverse consequences for bank franchise values.
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Citation
Please use this url to cite or link to this publication: http://hdl.handle.net/1854/LU-01GQ54JRTY5FGAAAE9GKJMGKR7
- MLA
- Meuleman, Elien, and Rudi Vander Vennet. “Macroprudential Policy, Monetary Policy, and Euro Zone Bank Risk.” INTERNATIONAL JOURNAL OF CENTRAL BANKING, vol. 18, no. 4, 2022, pp. 259–323.
- APA
- Meuleman, E., & Vander Vennet, R. (2022). Macroprudential policy, monetary policy, and euro zone bank risk. INTERNATIONAL JOURNAL OF CENTRAL BANKING, 18(4), 259–323.
- Chicago author-date
- Meuleman, Elien, and Rudi Vander Vennet. 2022. “Macroprudential Policy, Monetary Policy, and Euro Zone Bank Risk.” INTERNATIONAL JOURNAL OF CENTRAL BANKING 18 (4): 259–323.
- Chicago author-date (all authors)
- Meuleman, Elien, and Rudi Vander Vennet. 2022. “Macroprudential Policy, Monetary Policy, and Euro Zone Bank Risk.” INTERNATIONAL JOURNAL OF CENTRAL BANKING 18 (4): 259–323.
- Vancouver
- 1.Meuleman E, Vander Vennet R. Macroprudential policy, monetary policy, and euro zone bank risk. INTERNATIONAL JOURNAL OF CENTRAL BANKING. 2022;18(4):259–323.
- IEEE
- [1]E. Meuleman and R. Vander Vennet, “Macroprudential policy, monetary policy, and euro zone bank risk,” INTERNATIONAL JOURNAL OF CENTRAL BANKING, vol. 18, no. 4, pp. 259–323, 2022.
@article{01GQ54JRTY5FGAAAE9GKJMGKR7,
abstract = {{We investigate the impact of macroprudential policy on the risk and return profile of euro zone banks between 2008 and 2018, conditioning on the stance of monetary policy. Using local projections, we find that a tightening in macroprudential policy increases financial stability by curbing credit growth and increasing the resilience of the banks. With respect to the policy mix, we show that tight macroprudential and monetary policies reinforce each other. But even when monetary policy is accommodating, macroprudential policy is found to be effective in deterring excessive bank risk-taking. However, we also document adverse consequences for bank franchise values.}},
author = {{Meuleman, Elien and Vander Vennet, Rudi}},
issn = {{1815-4654}},
journal = {{INTERNATIONAL JOURNAL OF CENTRAL BANKING}},
language = {{eng}},
number = {{4}},
pages = {{259--323}},
title = {{Macroprudential policy, monetary policy, and euro zone bank risk}},
url = {{https://www.ijcb.org/journal/ijcb22q4a7.htm}},
volume = {{18}},
year = {{2022}},
}