Estimating the monetary policy interest-rate-to-performance sensitivity of the European banking sector at the zero lower bound
Kai Henseler and
Marc Steffen Rapp ()
Additional contact information
Kai Henseler: Philipps-Universitaet Marburg
Marc Steffen Rapp: Philipps-Universitaet Marburg
MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)
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; textual analysis; Wordscores (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 G14 G21 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-cba, nep-eec, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://www.uni-marburg.de/fb02/makro/forschung/mag ... 019/02-2019_hayo.pdf First 201902 (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:mar:magkse:201902
Access Statistics for this paper
More papers in MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) Contact information at EDIRC.
Bibliographic data for series maintained by Bernd Hayo (). This e-mail address is bad, please contact .