Kỳ vọng của nhà đầu tư về nới lỏng định lượng: liệu việc bơm thanh khoản có ảnh hưởng đến các ngân hàng Châu Âu một cách đồng đều?

Journal of Management and Governance - Tập 26 - Trang 957-996 - 2021
Sara Longo1, Antonio Parbonetti2, Amedeo Pugliese2,3
1Faculty of Economics and Management, Free University of Bolzano, Bolzano, Italy
2Department of Economics and Management, University of Padova, Padua, Italy
3Universitat Pompeu Fabra, Barcelona, Spain

Tóm tắt

Vai trò của thanh khoản trong ngành ngân hàng ngày càng được chú ý kể từ cuộc Khủng hoảng Tài chính Toàn cầu (GFC) vào năm 2007. Những bằng chứng trước đây đưa ra những phát hiện trái ngược về vai trò của thanh khoản trong các ngân hàng: trong khi nó đảm bảo sự ổn định tài chính hệ thống, thì đồng thời nó cũng làm tăng chi phí đại lý. Tuy nhiên, các ngân hàng châu Âu đã hưởng lợi từ việc bơm thanh khoản hào phóng sau khi Ngân hàng Trung ương Châu Âu (ECB) phát động chương trình Nới lỏng Định lượng (QE) vào năm 2015-2016. Chúng tôi tận dụng việc công bố QE và điều tra xem phản ứng của các nhà đầu tư đối với các thông báo về việc bơm thanh khoản mới có thay đổi theo đặc điểm cấp ngân hàng của các ngân hàng Châu Âu hay không: cụ thể là, tình hình tài chính, chất lượng danh mục tài sản và mức độ minh bạch của chúng. Các phát hiện của chúng tôi cho thấy phản ứng tiêu cực tổng thể trên thị trường đối với các thông báo QE; ở mức phân tích chi tiết hơn, chúng tôi nhấn mạnh rằng các ngân hàng không đáp ứng yêu cầu quy định dự kiến sẽ không được hưởng lợi từ thanh khoản bổ sung. Nghiên cứu này đóng góp vào tài liệu về vai trò của thanh khoản trong các ngân hàng bằng cách chỉ ra các điều kiện ranh giới quan trọng đối với vai trò có lợi của thanh khoản trong các ngân hàng, đó là—do các yêu cầu về vốn quy định—liquidity chỉ có giá trị với các nhà đầu tư nếu nó có thể được tái đầu tư khi các rào cản được vượt qua.

Từ khóa

#Thanh khoản #Ngân hàng #Nới lỏng Định lượng #Phản ứng thị trường #Tài chính hệ thống

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