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What is the effect of unconventional monetary policy on bank performance?

Emmanuel Mamatzakis and Theodora Bermpei

Journal of International Money and Finance, 2016, vol. 67, issue C, 239-263

Abstract: This paper examines the relationship between unconventional monetary policy and the US banking performance. Unconventional monetary policy is captured through the central bank's assets and excess reserves. Results show that unconventional monetary policy has a negative relationship with bank performance. Further analysis shows that the negative association between unconventional monetary policy and performance is mitigated for banks with a high level of asset diversification and low deposit funding. We also find that the negative relationship between unconventional monetary policy and performance subdues for deposit insured financial institutions. Finally, we use dynamic panel threshold analysis which reveals that the negative association between unconventional monetary policy and bank performance is particularly pronounced above the reported threshold value.

Keywords: Unconventional monetary policy; Bank performance; Deposit insurance coverage; Dynamic threshold analysis (search for similar items in EconPapers)
JEL-codes: G21 G01 E43 E52 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:67:y:2016:i:c:p:239-263

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