{"title":"Non-standard monetary policy measures and bank systemic risk in the Eurozone","authors":"Anh Nguyet Vu, Paraskevi Katsiampa","doi":"10.1007/s11156-024-01339-4","DOIUrl":null,"url":null,"abstract":"<p>Modern central banking offers policymakers innovative tools to safeguard price stability and the normal functioning of the financial system. However, the unintended impact of the implementation of non-standard monetary policy measures, especially on systemic risk, remains underexplored from a microeconomic point of view. This study investigates the effect of non-standard monetary policy measures on systemic risk of listed financial institutions in the Euro area. Our results show the presence of the systemic risk-taking channel of monetary policy, whereby systemic risk increases following further enforcement of non-standard monetary policy measures, with the effect being stronger for smaller and undercapitalised banks. The results are robust to various alternative measures of bank systemic risk and non-standard monetary policy. Our findings bear critical policy implications for financial stability.</p>","PeriodicalId":47688,"journal":{"name":"Review of Quantitative Finance and Accounting","volume":"1 1","pages":""},"PeriodicalIF":1.9000,"publicationDate":"2024-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Review of Quantitative Finance and Accounting","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1007/s11156-024-01339-4","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
Modern central banking offers policymakers innovative tools to safeguard price stability and the normal functioning of the financial system. However, the unintended impact of the implementation of non-standard monetary policy measures, especially on systemic risk, remains underexplored from a microeconomic point of view. This study investigates the effect of non-standard monetary policy measures on systemic risk of listed financial institutions in the Euro area. Our results show the presence of the systemic risk-taking channel of monetary policy, whereby systemic risk increases following further enforcement of non-standard monetary policy measures, with the effect being stronger for smaller and undercapitalised banks. The results are robust to various alternative measures of bank systemic risk and non-standard monetary policy. Our findings bear critical policy implications for financial stability.
期刊介绍：
Review of Quantitative Finance and Accounting deals with research involving the interaction of finance with accounting, economics, and quantitative methods, focused on finance and accounting. The papers published present useful theoretical and methodological results with the support of interesting empirical applications. Purely theoretical and methodological research with the potential for important applications is also published. Besides the traditional high-quality theoretical and empirical research in finance, the journal also publishes papers dealing with interdisciplinary topics.
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