Negative monetary policy rates and systemic banks' risk‐taking: evidence from the euro area securities register

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• dc.contributor.author Bubeck, Johannes
• dc.contributor.author Maddaloni, Angela
• dc.contributor.author Peydró, José-Luis
• dc.date.accessioned 2021-03-01T09:06:07Z
• dc.date.available 2021-03-01T09:06:07Z
• dc.date.issued 2020
• dc.description.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.en
• dc.description.sponsorship This project has received funding from the European Research Council (ERC) under the European Union's Horizon 2020 research and innovation programme (grant agreement No 648398). Peydró also acknowledges financial support from the PGC2018‐102133‐B‐I00 (MCIU/AEI/FEDER, UE) grant and the Spanish Ministry of Economy and Competitiveness, through the Severo Ochoa Programme for Centres of Excellence in R&D (SEV‐2015‐0563). The views expressed do not necessarily reflect those of the European Central Bank, Deutsche Bundesbank, or the Eurosystem.
• dc.format.mimetype application/pdf
• dc.identifier.citation Bubeck J, Maddaloni A, Peydró JL. Negative monetary policy rates and systemic banks' risk‐taking: evidence from the euro area securities register. J Money Credit Bank. 2020 Oct;52(S1):197-231. DOI: 10.1111/jmcb.12740
• dc.identifier.doi http://dx.doi.org/10.1111/jmcb.12740
• dc.identifier.issn 0022-2879
• dc.identifier.uri http://hdl.handle.net/10230/46633
• dc.language.iso eng
• dc.publisher Wiley
• dc.relation.ispartof Journal of money, credit, and banking. 2020 Oct;52(S1):197-231
• dc.relation.projectID info:eu-repo/grantAgreement/EC/H2020/648398
• dc.relation.projectID info:eu-repo/grantAgreement/ES/2PN/PGC2018‐102133‐B‐I00
• dc.rights © 2021 The Authors. Journal of Money, Credit and Banking published by Wiley Periodicals LLC on behalf of Ohio State University. This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited.
• dc.rights.accessRights info:eu-repo/semantics/openAccess
• dc.rights.uri https://creativecommons.org/licenses/by/4.0/
• dc.subject.keyword Negative ratesen
• dc.subject.keyword Nonstandard monetary policyen
• dc.subject.keyword Reach‐for‐yielden
• dc.subject.keyword Securitiesen
• dc.subject.keyword Banksen
• dc.title Negative monetary policy rates and systemic banks' risk‐taking: evidence from the euro area securities registeren
• dc.type info:eu-repo/semantics/article
• dc.type.version info:eu-repo/semantics/publishedVersion