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Monetary policy and bank profitability in a low interest rate environment

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dc.contributor.author Altavilla, Carlo
dc.contributor.author Boucinha, Miguel
dc.contributor.author Peydró, José-Luis
dc.date.accessioned 2019-04-10T07:58:22Z
dc.date.issued 2018
dc.identifier.citation Altavilla C, Boucinha M, Peydró JL. Monetary policy and bank profitability in a low interest rate environment. Economic Policy. 2018;33(96):531-86. DOI: 10.1093/epolic/eiy013
dc.identifier.issn 0266-4658
dc.identifier.uri http://hdl.handle.net/10230/37073
dc.description.abstract We analyse the impact of standard and non-standard monetary policy on bank profitability. We use both proprietary and commercial data on individual euro area bank balance-sheets and market prices. Our results show that a monetary policy easing – a decrease in short-term interest rates and/or a flattening of the yield curve – is not associated with lower bank profits once we control for the endogeneity of the policy measures to expected macroeconomic and financial conditions. Accommodative monetary conditions asymmetrically affect the main components of bank profitability, with a positive impact on loan loss provisions and non-interest income offsetting the negative one on net interest income. A protracted period of low monetary rates has a negative effect on profits that, however, only materializes after a long time period and is counterbalanced by improved macroeconomic conditions. Monetary policy easing surprises during the low interest rate period improve bank stock prices and CDS.
dc.description.sponsorship L.P. acknowledges the financial support from the Spanish Ministry of Economy, Industry and Competitiveness [Grant ECO2015-68136-P] and FEDER, UE and from the European Research Council Grant [project 648398].
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Oxford University Press
dc.relation.ispartof Economic Policy. 2018;33(96):531-86.
dc.rights © Oxford University Press. This is a pre-copyedited, author-produced version of an article accepted for publication in Economic Policy following peer review. The version of record Altavilla C, Boucinha M, Peydró J-L. Monetary policy and bank profitability in a low interest rate environment. Economic Policy. 2018;33(96):531-86 is available online at: https://doi.org/10.1093/epolic/eiy013
dc.title Monetary policy and bank profitability in a low interest rate environment
dc.type info:eu-repo/semantics/article
dc.identifier.doi http://dx.doi.org/10.1093/epolic/eiy013
dc.subject.keyword Banks
dc.subject.keyword Depository institutions
dc.subject.keyword Micro finance institutions
dc.subject.keyword Mortgages
dc.subject.keyword Financial crises
dc.subject.keyword Monetary policy
dc.subject.keyword Interest rates: determination, term structure, an effects
dc.subject.keyword Government policy and regulation
dc.relation.projectID info:eu-repo/grantAgreement/EC/H2020/648398
dc.relation.projectID info:eu-repo/grantAgreement/ES/1PE/ECO2015-68136-P
dc.rights.accessRights info:eu-repo/semantics/openAccess
dc.type.version info:eu-repo/semantics/acceptedVersion

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