Negative Monetary Policy Rates and Systemic Banks' Risk‐Taking: Evidence from the Euro Area Securities Register

Johannes Bubeck, Angela Maddaloni and Jose-Luis Peydro

Journal of Money, Credit and Banking, 2020, vol. 52, issue S1, 197-231

Abstract: We show that negative monetary policy rates induce systemic banks to reach‐for‐yield. For identification, we exploit the introduction of negative deposit rates by the European Central Bank in June 2014 and a novel securities register for the 26 largest euro area banking groups. Banks with more customer deposits are negatively affected by negative rates, as they do not pass negative rates to retail customers, in turn investing more in securities, especially in those yielding higher returns. Effects are stronger for less capitalized banks, private‐sector (financial and nonfinancial) securities and dollar‐denominated securities. Affected banks also take higher risk in loans.

Date: 2020
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Citations: View citations in EconPapers (33)

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https://doi.org/10.1111/jmcb.12740

Related works:
Journal Article: Negative Monetary Policy Rates and Systemic Banks' Risk‐Taking: Evidence from the Euro Area Securities Register (2020)
Working Paper: Negative monetary policy rates and systemic banks’ risk-taking: evidence from the euro area securities register (2020)
Working Paper: Negative monetary policy rates and systemic banks’ risk-taking: Evidence from the Euro area securities register (2020)
Working Paper: Negative monetary policy rates and systemic banks' risk-taking: Evidence from the euro area securities register (2020)
Working Paper: Negative Monetary Policy Rates and Systemic Banks’ Risk-Taking: Evidence from the Euro Area Securities Register (2020)
Working Paper: Negative Monetary Policy Rates and Systemic Banks' Risk-Taking: Evidence from the Euro Area Securities Register (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:52:y:2020:i:s1:p:197-231

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