Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/162307
Authors: 
Nucera, Federico
Lucas, Andre
Schaumburg, Julia
Schwaab, Bernd
Year of Publication: 
2017
Series/Report no.: 
Tinbergen Institute Discussion Paper 17-041/IV
Abstract: 
We study the impact of increasingly negative central bank policy rates on banks' propensity to become undercapitalized in a financial crisis (`SRisk'). We find that the risk impact of negative rates depends on banks' business models: Large banks with diversified income streams are perceived as less risky, while smaller and more traditional banks are perceived as more risky. Policy rate cuts below zero trigger different SRisk responses than an equally-sized cut to zero.
Subjects: 
negative interest rates
bank business model
systemic risk
unconventional monetary policy measures
JEL: 
G20
G21
Document Type: 
Working Paper

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