Abstract
This paper investigates the transmission of monetary policy to systemic risk of euro-area and U.S. banks between 2008 and 2015. Using market measures of systemic risk and a VAR to obtain monetary policy shocks, we find that accommodative policy generally has a positive effect on bank stability in the euro area but a negative effect in the United States. Different transmission channels are at play: in the euro area the effect works mainly through a stealth recapitalization channel, while in the United States the effect is due to risk-shifting. Moreover, transmission of monetary policy differs across bank business models.
Authors
- Martien Lamers
- Frederik Mergaerts
- Elien Meuleman
- Rudi Vander Vennet
JEL codes
- G21
- G32
- E52