Monetary policy and bank profitability in a low interest rate environment
Mostra el registre complet Registre parcial de l'ítem
- dc.contributor.author Altavilla, Carlo
- dc.contributor.author Boucinha, Miguel
- dc.contributor.author Peydró, José-Luis
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2020-05-25T09:27:01Z
- dc.date.available 2020-05-25T09:27:01Z
- dc.date.issued 2017-10-01
- dc.date.modified 2020-05-25T09:25:58Z
- 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 materialises 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.format.mimetype application/pdf*
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1655
- dc.identifier.citation Economic Policy, 33(96), October 2018, 531-586.
- dc.identifier.uri http://hdl.handle.net/10230/44751
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 1655
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword bank profitability
- dc.subject.keyword monetary policy
- dc.subject.keyword lower bound
- dc.subject.keyword quantitative easing
- dc.subject.keyword negative rates
- dc.subject.keyword Finance and Accounting
- dc.title Monetary policy and bank profitability in a low interest rate environment
- dc.title.alternative
- dc.type info:eu-repo/semantics/workingPaper