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

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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.
Original languageEnglish
JournalFinance Research Letters
Pages (from-to)471-475
Number of pages5
Publication statusPublished - Dec 2019

Bibliographical note

Published online: 24 December 2018.


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

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