Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/175722
Authors: 
Nucera, Federico
Lucas, Andre
Schaumburg, Julia
Schwaab, Bernd
Year of Publication: 
2017
Series/Report no.: 
ECB Working Paper 2098
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 is moderate, and depends on banks' business models: Banks with diversified income streams are perceived by the market as less risky, while banks that rely predominantly on deposit funding are perceived as more risky. Policy rate cuts below zero trigger different SRisk responses than an earlier cut to zero.
Subjects: 
negative interest rates
bank business model
systemic risk
unconventional monetary policy measures
JEL: 
G20
G21
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-2820-5
Document Type: 
Working Paper

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