Do negative interest rates affect bank risk-taking?

Journal of Empirical Finance - Tập 63 - Trang 350-364 - 2021
Alessio Bongiovanni1, Alessio Reghezza2, Riccardo Santamaria3, Jonathan Williams2
1University of Turin, Italy
2Bangor University, United Kingdom
3Sapienza University of Rome, Italy

Tài liệu tham khảo

Acharya, 2014, A pyrrhic victory? Bank bailouts and sovereign credit risk, J. Finance, 69, 2689, 10.1111/jofi.12206 Acharya, 2012, The seeds of a crisis: A theory of bank liquidity and risk taking over the business cycle, J. Financ. Econ., 106, 349, 10.1016/j.jfineco.2012.05.014 Acharya, 2015, The “greatest” carry trade ever? Understanding eurozone bank risk, J. Financ. Econ., 115, 215, 10.1016/j.jfineco.2014.11.004 Adrian, 2009, 39 Altavilla, 2019, Monetary policy and bank profitability in a low interest rate environment, Econ. Policy, 33, 531 Altavilla, 2017, Bank exposures and sovereign stress transmission, Rev. Finance, 21, 2103, 10.1093/rof/rfx038 Altunbas, 2018, Macroprudential policy and bank risk, J. Int. Money Finance, 81, 203, 10.1016/j.jimonfin.2017.11.012 Altunbas, Y., Marqués-Ibáñez, D., Manganelli, S., 2011. Bank Risk During the Financial Crisis: Do Business Models Matter? Working Paper Series, pp. 1–53. Amzallag, A., Calza, A., Georgarakos, D., Sousa, J., 2019. Monetary Policy Transmission to Mortgages in a Negative Interest Rate Environment. ECB Working Paper No. 2243. Angeloni, 2015, Monetary policy and risk taking, J. Econ. Dyn. Control, 52, 285, 10.1016/j.jedc.2014.12.001 Arseneau, 2017 Arteta, 2018, Implications of negative interest rate policies: An early assessment, Pac. Econ. Rev., 23, 8, 10.1111/1468-0106.12249 Ball, 2016 Barry, 2011, Ownership structure and risk in publicly held and privately owned banks, J. Bank. Financ., 35, 1327, 10.1016/j.jbankfin.2010.10.004 Basten, C., Mariathasan, M., 2018. How Banks Respond To Negative Interest Rates: Evidence from the Swiss Exemption Threshold. CESifo Working Paper Series 6901. CESifo. Bech, 2016, How have central banks implemented negative policy rates?, BIS Q. Rev., 31 Beck, 2013, Bank competition and stability: Cross-country heterogeneity, J. Financ. Intermed., 22, 218, 10.1016/j.jfi.2012.07.001 Becker, 2018, Financial repression in the European sovereign debt crisis, Rev. Finance, 22, 83, 10.1093/rof/rfx041 Bernanke, 2004, Monetary policy alternatives at the zero bound: An empirical assessment, Brook. Pap. Econ. Act., 2, 1, 10.1353/eca.2005.0002 Bertay, 2013, Do we need big banks? Evidence on performance, strategy and market discipline, J. Financ. Intermed., 22, 532, 10.1016/j.jfi.2013.02.002 Bertrand, 2004, How much should we trust difference-in-differences estimates?, Q. J. Econ., 119, 249, 10.1162/003355304772839588 Borio, 2016, Monetary policy and bank lending in a low interest rate environment: Diminishing effectiveness?, J. Macroeconomics, 1 Borio, 2012, Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?, J. Financ. Stab., 8, 236, 10.1016/j.jfs.2011.12.003 Bottero, M., Minoiu, C., Peydro, J.S., Polo, A., Presbitero, A.F., Sette, E., 2019. Negative Monetary Policy Rates and Portfolio Rebalancing: Evidence from Credit Register Data. IMF Working Paper, No 19/44. Boyd, 2005, The theory of bank risk taking, J. Finance, LX, 1329, 10.1111/j.1540-6261.2005.00763.x Boyd, J.H., De Nicoló, G., Jalal, A.M., 2006. Bank Risk-Taking and Competition Revisited: New Theory and New Evidence. IMF Working Paper WP/06/297. https://doi.org/10.5089/9781451865578.001. Brownlees, 2017 Brunnermeier, 2001 Brunnermeier, M.K., Koby, Y., 2017. The Reversal Interest Rate: An Effective Lower Bound on Monetary Policy. Working Paper, 1–27. Retrieved from http://scholar.princeton.edu/. Bruno, 2015 Calem, 1999, The impact of capital-based regulation, J. Financ. Intermed., 8, 317, 10.1006/jfin.1999.0276 Claessens, 2004, What drives bank competition? Some international evidence, J. Money Credit Bank., 36, 563, 10.1353/mcb.2004.0044 Coeuré, 2016 de Nicolò, G., Dell’Ariccia, G.D., Laeven, L., Valencia, F., 2010. Monetary Policy and Bank Risk Taking. IMF Working Paper No. 10/276. Delis, 2011, Interest rates and bank risk-taking, J. Bank. Financ., 35, 840, 10.1016/j.jbankfin.2010.09.032 Dell’Ariccia, G., Laeven, L., Marquez, R., 2010. Monetary Policy, Leverage and Bank Risk-Taking. IMF Working Paper, WP/10/276. Demirgüç-Kunt, 2010, Bank activity and funding strategies: The impact on risk and returns, J. Financ. Econ., 98, 626, 10.1016/j.jfineco.2010.06.004 Di Maggio, M., Kermani, M.A., Palmer, C., Heider, F., Kashyap, A., Lucas, D., Kermani, A., 2016. How Quantitative Easing Works: Evidence on the Refinancing Channel. NBER Working Paper w22638. http://www.nber.org/papers/w22638. Eggertsson, G.B., Juelsrud, R.E., Summers, E.G., 2019. Negative Nominal Interest Rates and the Bank Lending Channel. NBER Working Paper 25416, National Bureau of Economic Research. Forssbæck, 2011, Ownership structure, market discipline, and banks’ risk-taking incentives under deposit insurance, J. Bank. Financ., 35, 2666, 10.1016/j.jbankfin.2011.02.024 Gambacorta, 2009, Monetary policy and the risk-taking channel, BIS Q. Rev., 43 Gambacorta, 2004, Does bank capital affect lending behaviour?, J. Financ. Intermed., 13, 436, 10.1016/j.jfi.2004.06.001 Gambacorta, 2015, Why bank capital matters for monetary policy, J. Financ. Intermed., 0, 1 Goodman-Bacon, 2018 Grisse, 2017, Lower bound beliefs and long-term interest rates, Int. J. Central Bank., 13, 165 Hannoun, 2011 Heider, 2019, Life below zero: Bank lending under negative policy rates, Rev. Financ. Stud., 32, 3728, 10.1093/rfs/hhz016 Hong, 2021, Pushed past the limit? How Japanese banks reacted to negative rates, J. Money Credit Bank. IMF, 2017 Inoue, H., Nakashima, K., Takahashi, K., 2019. Credit Allocation and Real Effects of Negative Interest Rates: Micro-Evidence from Japan. Mimeo. Iyer, 2014, Interbank liquidity crunch and the firm credit crunch: Evidence from the 2007-2009 crisis, Rev. Financ. Stud., 27, 347, 10.1093/rfs/hht056 Jiménez, 2013, How does competition affect bank risk-taking?, J. Financ. Stab., 9, 185, 10.1016/j.jfs.2013.02.004 Jiménez, 2014, Hazardous times for monetary policy: What do twenty-three million bank loans say about the effects of monetary policy on credit risk-taking?, Econometrica, 82, 463, 10.3982/ECTA10104 Jobst, A., Lin, H., 2016. Negative Interest Rate Policy (NIRP): Implications for Monetary Transmission and Bank Profitability in the Euro Area. IMF Working Paper WP/16/172, 1–48. Joyce, 2012, Quantitative easing and unconventional monetary policy – an introduction, Econ. J., 122, 271, 10.1111/j.1468-0297.2012.02551.x Kandrac, 2021, Quantitative easing and bank risk taking: evidence from lending, J. Money Credit Bank., 53, 635, 10.1111/jmcb.12781 Kick, 2015, Bank risk and competition: Evidence from regional banking markets, Rev. Finance, 19, 1185, 10.1093/rof/rfu019 Kim, 2017, The effect of bank capital on lending: Does liquidity matter?, J. Bank. Financ., 77, 95, 10.1016/j.jbankfin.2017.01.011 Kortela, T., 2016. A Shadow Rate Model with Time-Varying Lower Bound of Interest Rates. Bank of Finland Research Discussion Paper 19/2016. Lambert, F., Ueda, K., 2014. The Effects of Unconventional Monetary Policies on Bank Soundness. International Monetary Fund Working Paper 14/152 (August). IMF, Washington DC. Lemke, W., Vladu, A., 2017. Below the Zero Lower Bound: A Shadow-rate Term Structure Model for the Euro Area. European Central Bank Working Paper Series No 1991. Lopez, J.A., Rose, A.K., Spiegel, M.M., 2018. Why Have Negative Nominal Interest Rates Had Such a Small Effect on Bank Performance? Cross Country Evidence. National Bureau of Economic Research Working Paper No. 25004. Mannasoo, 2009, Explaining bank distress in eastern European transition economies, J. Bank. Financ., 33, 244, 10.1016/j.jbankfin.2008.07.016 Mariathasan, 2014, The manipulation of basel risk-weights, J. Financ. Intermed., 23, 300, 10.1016/j.jfi.2014.04.004 Mohsni, 2014, Risk taking behavior of privatized banks, J. Corp. Finance, 29, 122, 10.1016/j.jcorpfin.2014.07.007 Molyneux, 2020, Did negative interest rates improve bank lending?, J. Financ. Serv. Res., 10.1007/s10693-019-00322-8 Molyneux, 2019, Bank margins and profits in a world of negative rates, J. Bank. Financ., 107, 10.1016/j.jbankfin.2019.105613 Nichols, A., Goodman-Bacon, A., Goldring, T., 2019. Bacon decomposition for understanding difference-in-differences with variation in treatment timing. 2019 Stata Conference 46, Stata User Group. Nucera, 2017, Do negative interest rates make banks less safe?, Econom. Lett., 159, 112, 10.1016/j.econlet.2017.07.014 Paligorova, 2017, Monetary policy and bank risk taking: Evidence from the corporate loan market, J. Final. Inter., 30, 35 Poghosyan, 2011, Determinants of bank distress in Europe: Evidence from a new data set, J. Financ. Serv. Res., 40, 163, 10.1007/s10693-011-0103-1 Rajan, 2006, Has finance made the world riskier?, Eur. Financial Manag., 12, 499, 10.1111/j.1468-036X.2006.00330.x Roberts, 2013, Endogeneity in empirical corporate finance, 493, 10.1016/B978-0-44-453594-8.00007-0 Schaeck, 2014, Competition, efficiency and stability in banking, Financ. Manag., 215, 10.1111/fima.12010 Sims, 2021, Evaluating central banks’ tool kit: Past, present, and future, J. Monet. Econ., 118, 135, 10.1016/j.jmoneco.2020.03.018 Sorensen, C., Werner, T., 2006. Bank Interest Rate Pass-Through in the Euro Area: A Cross Country Comparison. ECB Working Paper Series No. 580. Turk Ariss, 2010, On the implications of market power in banking: Evidence from developing countries, J. Bank. Financ., 34, 765, 10.1016/j.jbankfin.2009.09.004 Ulate, 2020, Going negative at the zero lower bound: The effects of negative nominal interest rates, Amer. Econ. Rev., 111, 1, 10.1257/aer.20190848 Van den Heuvel, 2002, Does bank capital matter for monetary transmission?, Econ. Policy Rev. (FRBNY), 259 Wu, 2016, Measuring the macroeconomic impact of monetary policy at the zero lower bound, J. Money Credit Bank., 48, 253, 10.1111/jmcb.12300 Wu, 2020, Negative interest rate policy and the yield curve, J. Appl. Econometrics, 35, 653, 10.1002/jae.2767