We investigate the impact of ECB conventional (CMP) on national banking indices of 10 Eurozone countries and a Eurozone-wide banking index using the event study technique. We find that announcements of unexpected increases in interest rates benefit French, German, Greek and Italian banks when interest rates are low, while in other periods, the effect is muted. A plausible explanation is that bank profits are squeezed when interest rates are low because banks are reluctant to push deposit rates to zero. Our results are robust to potentially confounding events related to unconventional monetary policy announcements, volatility clustering and volatility expectations.

Perdichizzi, S., Cotugno, M., Torluccio, G., Is the ECB’s conventional monetary policy state‐dependent? An event study approach, <<MANCHESTER SCHOOL>>, 2022; 2022 (1): 1-24. [doi:10.1111/manc.12393] [http://hdl.handle.net/10807/193789]

Is the ECB’s conventional monetary policy state‐dependent? An event study approach

Cotugno, Matteo;
2022

Abstract

We investigate the impact of ECB conventional (CMP) on national banking indices of 10 Eurozone countries and a Eurozone-wide banking index using the event study technique. We find that announcements of unexpected increases in interest rates benefit French, German, Greek and Italian banks when interest rates are low, while in other periods, the effect is muted. A plausible explanation is that bank profits are squeezed when interest rates are low because banks are reluctant to push deposit rates to zero. Our results are robust to potentially confounding events related to unconventional monetary policy announcements, volatility clustering and volatility expectations.
2022
Inglese
Perdichizzi, S., Cotugno, M., Torluccio, G., Is the ECB’s conventional monetary policy state‐dependent? An event study approach, <<MANCHESTER SCHOOL>>, 2022; 2022 (1): 1-24. [doi:10.1111/manc.12393] [http://hdl.handle.net/10807/193789]
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10807/193789
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 1
  • ???jsp.display-item.citation.isi??? 1
social impact