Analyse af indførelsen af den negative indlånsrente

Abstract

This study examines the impact of the changes in the amount limit on the negative deposit rate announced and implemented at the end of 2020 and 2021 in Danish banks. We furthermore use an event study methodology to measure the abnormal returns (ARs) as well as parametric tests, to test the significance of the results. Our sample consists of 124 different Danish stocks. The estimation period is a year, 248 trading days prior to the events and the observed window consists of the event date plus 14 days after the event date. We find significance for the first, second and thirds event in contrast to the last one. Additionally we find positive AR’s in the parametric test. Furthermore we find CAAR values ranging from 0,003 to 0,038 from day t0 to t14. However, based on the results of the empirical analyzes, it is generally difficult to draw robust and valid conclusions why the method and data used to calculate the abnormal returns is reconsidered in the discussion section. Besides the empirical analysis, the study found convincing evidence of a correlation between an increase in investment and the negative deposit rate, carried out by different recognized Danish institutions. The study also shed a light on the increase in stock deposits among the Danish population which indicates a reaction to the negative deposit rate. This change in behavior is furthermore explained by behavioral theory as well as the rationale of this behavior is discussed. Finally, the biases that try to explain this behavior are based on prospect theory more primarily loss aversion as well as bandwagon biases.