Estimating the Monetary Policy Interest-rate-to-performance Sensitivity of the European Banking Sector at the Zero Lower Bound

Bernd Hayo, Kai Henseler, Marc Steffen Rapp

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Resumé

Using an event-study design, we investigate monetary policy interest-rate-to-performance sensitivity of the European banking sector over the 07/2012–06/2017 period when interest rates were (close to) zero. We apply the Wordscores approach to introductory statements of ECB's Governing Council press conferences to estimate a ‘shadow prime rate’. Based on short-run intraday event windows, we find shadow prime rate changes positively affect changes in the EURO-STOXX-Banks Future. Our findings add to the recent evidence documenting that banks benefit from increasing interest rate levels in a low-interest-rate environment.
OriginalsprogEngelsk
TidsskriftFinance Research Letters
Vol/bind31
Sider (fra-til)471-475
Antal sider5
ISSN1544-6123
DOI
StatusUdgivet - dec. 2019

Bibliografisk note

Published online: 24 December 2018.

Emneord

  • ECB
  • Central bank communication
  • Banking sector
  • Interest rate sensitivity
  • Shadow prime rate
  • Wordscores

Citer dette

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Estimating the Monetary Policy Interest-rate-to-performance Sensitivity of the European Banking Sector at the Zero Lower Bound. / Hayo, Bernd; Henseler, Kai; Rapp, Marc Steffen.

I: Finance Research Letters, Bind 31, 12.2019, s. 471-475.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

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