scholarly journals Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area

2015 ◽  
Author(s):  
Marcel Fratzscher ◽  
Malte Rieth
Keyword(s):  
Monetary Policy ◽  
Euro Area ◽  
Bank Risk ◽  
Policy Bank ◽  
Bank Bailouts

scholarly journals Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area*

2018 ◽  
Vol 23 (4) ◽  
pp. 745-775 ◽  
Author(s):  
Marcel Fratzscher ◽  
Malte Rieth
Keyword(s):  
Monetary Policy ◽  
Credit Risk ◽  
Euro Area ◽  
Empirical Relationship ◽  
Bank Risk ◽  
Sovereign Risk ◽  
Sovereign Credit Risk ◽  
Policy Bank ◽  
Bank Bailouts ◽  
The Impact

Abstract The article analyses the empirical relationship between bank credit risk and sovereign credit risk in the euro area, using a system of simultaneous equations identified through heteroskedasticity. We first confirm a two-way causality between both risks, which amplifies initial credit risk shocks. We also document significant credit risk spillovers between sovereigns and banks in the periphery and the core countries. The article then focuses on the impact of ECB non-standard monetary policy and bank bailout policies. We show that bailouts have reduced both risks. Monetary policy lowered in most but not all cases bank and sovereign risk.

scholarly journals Bank risk aversion and the risk-taking channel of monetary policy in the euro area

2017 ◽  
Vol 64 (5) ◽  
pp. 607-621
Author(s):  
Silvo Dajcman
Keyword(s):  
Monetary Policy ◽  
Risk Aversion ◽  
Euro Area ◽  
Risk Taking ◽  
Academic Research ◽  
Bank Lending ◽  
Bank Risk ◽  
Econometric Methodology ◽  
Survey Responses ◽  
Panel Vector Autoregression

The financial crisis has provoked economic policy interest and academic research on the functioning and empirical verification of the risktaking channel of monetary policy. The results of this paper demonstrate how the European Central Bank?s Bank lending survey responses can be used to construct a ?pure? risk aversion indicator of banks? business lending. Using panel vector autoregression econometric methodology, we find evidence that the monetary policy affects the ?pure? risk aversion of banks and later affects business loans and inflation in the euro area. The results suggest that the risktaking channel in the euro area is operational.

Country-specific euro area government bond yield reactions to ECB’s non-standard monetary policy program announcements

2020 ◽  
Vol 21 (4) ◽  
pp. 417-474 ◽  
Author(s):  
Ralf Fendel ◽  
Frederik Neugebauer
Keyword(s):  
Monetary Policy ◽  
Euro Area ◽  
Yield Reduction ◽  
Government Bond ◽  
Bond Yields ◽  
Bond Yield ◽  
Current Spread ◽  
Policy Program ◽  
Government Bond Markets ◽  
Country Specific

AbstractThis paper employs event study methods to evaluate the effects of ECB’s non-standard monetary policy program announcements on 10-year government bond yields of 11 euro area member states. Measurable effects of announcements arise with a one-day delay meaning that government bond markets take some time to react to ECB announcements. The country-specific extent of yield reduction seems inversely related to the solvency rating of the corresponding countries. The spread between core and periphery countries reduces because of a stronger decrease in the latter. This result is confirmed by letting the announcement variable interact with the current spread level.

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