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Paper #1678

Títol:
Negative monetary policy rates and systemic banksĺ risk-taking: Evidence from the Euro area securities register
Autors:
Johannes Bubeck, Angela Maddaloni i JosÚ-Luis Peydrˇ
Data:
Març 2019 (Revisió: Març 2020)
Resum:
We show that negative monetary policy rates induce systemic banks to reach-for-yield. For identification, we exploit the introduction of negative deposit rates by the European Central Bank in June 2014 and a novel securities register for the 26 largest euro area banking groups. Banks with more customer deposits are negatively affected by negative rates, as they do not pass negative rates to retail customers, in turn investing more in securities, especially in those yielding higher returns. Effects are stronger for less capitalized banks, private sector (financial and non-financial) securities and dollar-denominated securities. Affected banks also take higher risk in loans.
Paraules clau:
Negative rates, non-standard monetary policy, reach-for-yield, securities, banks
Codis JEL:
E43, E52, E58, G01, G21
Àrea de Recerca:
Macroeconomia i Economia Internacional
Publicat a:
Journal of Money, Credit and Banking, 2020, 52(S1): 197-231

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