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The tradeoff between monetary policy and bank stability

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Abstract
This paper investigates the transmission of monetary policy to systemic risk of euro-area and U.S. banks between 2008 and 2015. Using market measures of systemic risk and a VAR to obtain monetary policy shocks, we find that accommodative policy generally has a positive effect on bank stability in the euro area but a negative effect in the United States. Different transmission channels are at play: in the euro area the effect works mainly through a stealth recapitalization channel, while in the United States the effect is due to risk-shifting. Moreover, transmission of monetary policy differs across bank business models.
Keywords
INTEREST-RATES, BUSINESS MODELS, SYSTEMIC RISK, IMPACT, MARKET, CREDIT, ANNOUNCEMENTS

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Citation

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MLA
Lamers, Martien, et al. “The Tradeoff between Monetary Policy and Bank Stability.” INTERNATIONAL JOURNAL OF CENTRAL BANKING, vol. 15, no. 2, 2019, pp. 1–42.
APA
Lamers, M., Mergaerts, F., Meuleman, E., & Vander Vennet, R. (2019). The tradeoff between monetary policy and bank stability. INTERNATIONAL JOURNAL OF CENTRAL BANKING, 15(2), 1–42.
Chicago author-date
Lamers, Martien, Frederik Mergaerts, Elien Meuleman, and Rudi Vander Vennet. 2019. “The Tradeoff between Monetary Policy and Bank Stability.” INTERNATIONAL JOURNAL OF CENTRAL BANKING 15 (2): 1–42.
Chicago author-date (all authors)
Lamers, Martien, Frederik Mergaerts, Elien Meuleman, and Rudi Vander Vennet. 2019. “The Tradeoff between Monetary Policy and Bank Stability.” INTERNATIONAL JOURNAL OF CENTRAL BANKING 15 (2): 1–42.
Vancouver
1.
Lamers M, Mergaerts F, Meuleman E, Vander Vennet R. The tradeoff between monetary policy and bank stability. INTERNATIONAL JOURNAL OF CENTRAL BANKING. 2019;15(2):1–42.
IEEE
[1]
M. Lamers, F. Mergaerts, E. Meuleman, and R. Vander Vennet, “The tradeoff between monetary policy and bank stability,” INTERNATIONAL JOURNAL OF CENTRAL BANKING, vol. 15, no. 2, pp. 1–42, 2019.
@article{8641543,
  abstract     = {{This paper investigates the transmission of monetary policy to systemic risk of euro-area and U.S. banks between 2008 and 2015. Using market measures of systemic risk and a VAR to obtain monetary policy shocks, we find that accommodative policy generally has a positive effect on bank stability in the euro area but a negative effect in the United States. Different transmission channels are at play: in the euro area the effect works mainly through a stealth recapitalization channel, while in the United States the effect is due to risk-shifting. Moreover, transmission of monetary policy differs across bank business models.}},
  author       = {{Lamers, Martien and Mergaerts, Frederik and Meuleman, Elien and Vander Vennet, Rudi}},
  issn         = {{1815-4654}},
  journal      = {{INTERNATIONAL JOURNAL OF CENTRAL BANKING}},
  keywords     = {{INTEREST-RATES,BUSINESS MODELS,SYSTEMIC RISK,IMPACT,MARKET,CREDIT,ANNOUNCEMENTS}},
  language     = {{eng}},
  number       = {{2}},
  pages        = {{1--42}},
  title        = {{The tradeoff between monetary policy and bank stability}},
  volume       = {{15}},
  year         = {{2019}},
}

Web of Science
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