Is the ECB’s conventional monetary policy state‐dependent? An event study approach

Salvatore Perdichizzi, Matteo Cotugno and Giuseppe Torluccio

Manchester School, 2022, vol. 90, issue 2, 213-236

Abstract: We investigate the impact of ECB conventional (CMP) on national banking indices of 10 Eurozone countries and a Eurozone‐wide banking index using the event study technique. We find that announcements of unexpected increases in interest rates benefit French, German, Greek and Italian banks when interest rates are low, while in other periods, the effect is muted. A plausible explanation is that bank profits are squeezed when interest rates are low because banks are reluctant to push deposit rates to zero. Our results are robust to potentially confounding events related to unconventional monetary policy announcements, volatility clustering and volatility expectations.

Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/manc.12393

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:manchs:v:90:y:2022:i:2:p:213-236

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1463-6786

Access Statistics for this article

Manchester School is currently edited by Keith Blackburn

More articles in Manchester School from University of Manchester Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().