Central bank balance sheet and systemic risk

Maëlle Vaille

Bordeaux Economics Working Papers from Bordeaux School of Economics (BSE)

Abstract: Central banks’ balance sheet policies, while intended to address ?nancial market dislocations and stimulate the economy, may have unintended persistent e?ects on systemic risk. Using a structural bayesian vector autoregressive model, this paper estimates the impacts of exogenous innovations to the central banks’ balance sheet on the aggregate systemic risk in the euro area, the United States and Japan. Our results suggest that these policies have positive e?ects on ?nancial stability in the short and medium term and seems to have no e?ects in the long term. Moreover, we study the e?ects of central balance sheet policies shocks on ?nancial institutions’ systemic risk through a panel VAR and highlight the role of leverage in the transmission of unconventional monetary policy to ?nancial ?rms’ systemic risk.

Keywords: balance sheet policies; srisk; structural BVAR; zero and sign restrictions; leverage (search for similar items in EconPapers)
JEL-codes: C32 C33 E44 E52 E58 (search for similar items in EconPapers)
Date: 2021
New Economics Papers: this item is included in nep-ban, nep-cba, nep-cwa, nep-eec, nep-isf, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:grt:bdxewp:2021-15

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