EconPapers    
Economics at your fingertips  
 

Estimating the monetary policy interest-rate-to-performance sensitivity of the European banking sector at the zero lower bound

Bernd Hayo, Kai Henseler and Marc Steffen Rapp

Finance Research Letters, 2019, vol. 31, issue C

Abstract: Using an event-study design, we investigate monetary policy interest-rate-to-performance sensitivity of the European banking sector over the 07/2012–06/2017 period when interest rates were (close to) zero. We apply the Wordscores approach to introductory statements of ECB's Governing Council press conferences to estimate a ‘shadow prime rate’. Based on short-run intraday event windows, we find shadow prime rate changes positively affect changes in the EURO-STOXX-Banks Future. Our findings add to the recent evidence documenting that banks benefit from increasing interest rate levels in a low-interest-rate environment.

Keywords: ECB; Central bank communication; Banking sector; Interest rate sensitivity; Shadow prime rate; Wordscores (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 G14 G21 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612318307438
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Estimating the monetary policy interest-rate-to-performance sensitivity of the European banking sector at the zero lower bound (2019) Downloads
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:eee:finlet:v:31:y:2019:i:c:s1544612318307438

DOI: 10.1016/j.frl.2018.12.019

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-23
Handle: RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318307438