Negative interest rates as systemic risk event

Łukasz Kamil Kurowski and Karol Rogowicz

Finance Research Letters, 2017, vol. 22, issue C, 153-157

Abstract: The goal of the paper is to assess whether the negative interest rate policy (NIRP) conducted by central banks contributes to higher market stress. To measure the risk level, we follow the methodology proposed by Hollo et al. (2012) and consider major segments of the market. However, as potential NIRP consequences are directly built up in the banks, we extend the original approach by implementing the balance sheet data from that sector. Our results suggest that the level of risk has gradually increased since the introduction of NIRP and primarily concerns the bond market and the banking sector.

Keywords: Negative interest rates; Systemic risk; Monetary policy; Macroprudential policy (search for similar items in EconPapers)
JEL-codes: E52 E58 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:22:y:2017:i:c:p:153-157

DOI: 10.1016/j.frl.2017.04.001

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