欧元区的非标准货币政策措施和银行系统性风险

IF 1.9 Q2 BUSINESS, FINANCE Review of Quantitative Finance and Accounting Pub Date : 2024-09-11 DOI:10.1007/s11156-024-01339-4

Anh Nguyet Vu, Paraskevi Katsiampa

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引用次数: 0

摘要

现代中央银行为政策制定者提供了保障价格稳定和金融体系正常运行的创新工具。然而，从微观经济角度来看，实施非标准货币政策措施的意外影响，尤其是对系统风险的影响，仍未得到充分探讨。本研究探讨了非标准货币政策措施对欧元区上市金融机构系统性风险的影响。我们的研究结果表明，货币政策存在系统性风险承担渠道，即在进一步实施非标准货币政策措施后，系统性风险会增加，对规模较小和资本不足的银行影响更大。这些结果对银行系统性风险和非标准货币政策的各种替代措施都是稳健的。我们的研究结果对金融稳定具有重要的政策影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Non-standard monetary policy measures and bank systemic risk in the Eurozone

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.

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来源期刊

Review of Quantitative Finance and Accounting BUSINESS, FINANCE-

CiteScore

3.20

自引率

17.60%

发文量

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.