The Effects of Unconventional Monetary Policies on Bank Soundness

Author/Editor:

Frederic Lambert ; Kenichi Ueda

Publication Date:

August 13, 2014

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

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.

Series:

Working Paper No. 14/152

Subject:

English

Publication Date:

August 13, 2014

ISBN/ISSN:

9781498363563/1018-5941

Stock No:

WPIEA2014152

Price:

$18.00 (Academic Rate:$18.00)

Format:

Paper

Pages:

40

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