Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/200665
Authors: 
Hayo, Bernd
Henseler, Kai
Rapp, Marc Steffen
Year of Publication: 
2019
Series/Report no.: 
MAGKS Joint Discussion Paper Series in Economics 02-2019
Abstract: 
Using an event-study design, we investigate monetary policy interest-rate-to-performance sensitivity of the European banking sector over the 07/2012-06/2017 period when interest rates were (close to) zero. We apply the Wordscores approach to introductory statements of ECB's Governing Council press conferences to estimate a "shadow prime rate". Based on short-run intraday event windows, we find shadow prime rate changes positively affect changes in the EURO-STOXX-Banks Future. Our findings add to the recent evidence documenting that banks benefit from increasing interest rate levels in a low-interest-rate environment.
Subjects: 
ECB
central bank communication
banking sector
interest rate sensitivity
textual analysis
Wordscores
JEL: 
E43
E52
E58
G14
G21
Document Type: 
Working Paper

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