Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/232079
Authors: 
Altavilla, Carlo
Boucinha, Miguel
Peydró, José-Luis
Year of Publication: 
2018
Citation: 
[Journal:] Economic Policy [ISSN:] 1468-0327 [Volume:] 33 [Issue:] 96 [Pages:] 531-586
Abstract: 
We analyse the impact of standard and non-standard monetary policy on bank profitability. We use both proprietary and commercial data on individual euro area bank balance-sheets and market prices. Our results show that a monetary policy easing – a decrease in short-term interest rates and/or a flattening of the yield curve – is not associated with lower bank profits once we control for the endogeneity of the policy measures to expected macroeconomic and financial conditions. Accommodative monetary conditions asymmetrically affect the main components of bank profitability, with a positive impact on loan loss provisions and non-interest income offsetting the negative one on net interest income. A protracted period of low monetary rates has a negative effect on profits that, however, only materialises after a long time period and is counterbalanced by improved macroeconomic conditions. Monetary policy easing surprises during the low interest rate period improve bank stock prices and CDS.
Subjects: 
bank profitability
monetary policy
lower bound
quantitative easing
negative rates
JEL: 
E52
G01
G21
G28
E43
Published Version’s DOI: 
Document Type: 
Article
Document Version: 
Accepted Manuscript (Postprint)

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.