Non-standard monetary policy measures and bank systemic risk in the Eurozone

Anh Nguyet Vu () and Paraskevi Katsiampa ()
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Anh Nguyet Vu: University of Sussex Business School, University of Sussex
Paraskevi Katsiampa: Sheffield University Management School, The University of Sheffield

Review of Quantitative Finance and Accounting, 2025, vol. 64, issue 4, No 2, 1542 pages

Abstract: Abstract Modern central banking offers policymakers innovative tools to safeguard price stability and the normal functioning of the financial system. However, the unintended impact of the implementation of non-standard monetary policy measures, especially on systemic risk, remains underexplored from a microeconomic point of view. This study investigates the effect of non-standard monetary policy measures on systemic risk of listed financial institutions in the Euro area. Our results show the presence of the systemic risk-taking channel of monetary policy, whereby systemic risk increases following further enforcement of non-standard monetary policy measures, with the effect being stronger for smaller and undercapitalised banks. The results are robust to various alternative measures of bank systemic risk and non-standard monetary policy. Our findings bear critical policy implications for financial stability.

Keywords: Non-standard monetary policy measures; Bank systemic risk; Risk-taking channel; Eurozone; ECB (search for similar items in EconPapers)
JEL-codes: E52 E58 G21 (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/s11156-024-01339-4

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