Interbank network characteristics, monetary policy "News" and sensitivity of bank stock returns
Aref Mahdavi Ardekani (),
Isabelle Distinguin () and
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Isabelle Distinguin: LAPE - Laboratoire d'Analyse et de Prospective Economique - GIO - Gouvernance des Institutions et des Organisations - UNILIM - Université de Limoges
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This paper investigates whether interbank network topology influences the impact of monetary policy announcements on bank cumulative abnormal returns (CAR's). Although recent studies have emphasized the channels of non-conventional monetary policy actions and the sensitivity of bank stock prices to "News", how such reaction could be influenced by the shape of bank networks remains an open issue. We look at how banks' interconnectedness within interbank loan and deposit networks affects investors' expectations of future bank performance in response to monetary policy "News". Our sample consists of commercial, investment, real estate and mortgage banks in 10 Euro-zone countries. Our results show that the stock prices of banks with stronger local network positions are less sensitive to monetary policy announcements while those of banks with stronger system-wide positions are more sensitive to them.
Keywords: Interbank network topology; Monetary policy; bank's stock reaction; event study (search for similar items in EconPapers)
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Published in European Journal of Operational Research, Elsevier, inPress
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Working Paper: Interbank network characteristics, monetary policy "News" and sensitivity of bank stock returns (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02475523
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