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The Effects of Unconventional Monetary Policies on Bank Soundness, Frederic Lambert, Kenichi Ueda

Contributor
Abstract
Unconventional monetary policy is often assumed to benefit banks. However, we find little supporting evidence. Rather, we find some evidence for heightened medium-term risks. First, in an event study using a novel instrument for monetary policy surprises, we do not detect clear effects of monetary easing on bank stock valuation but find a deterioration of medium-term bank credit risk in the United States, the euro area, and the United Kingdom. Second, in panel regressions using U.S. banks’ balance sheet information, we show that bank profitability and risk taking are ambiguously affected, while balance sheet repair is delayed
Table Of Contents
Abstract; Contents; I. Introduction; II. Event Study; A. Surprise Component of Monetary Policy Announcements; Figures; 1. Surprise-Change in One-Year Ahead Three-Month Eurodollar Futures; B. Benchmark Regressions; 2. Surprise-Fitted Values in the First State of TSLS By News Based Instruments; C. Robustness Checks; D. Euro Area and the United Kingdom; E. U.S. Bank-level Regressions; III. Panel Analysis on Balance Sheets and Income Statements of Banks; A. Effects on Profitability; 3. U.S. Bank Balance Sheet Indicators; B. Bank Risk-taking; C. Balance Sheet Repair; IV. Conclusion; V. References
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (41 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781498335379

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