What is the effect of unconventional monetary policy on bank performance?

Mamatzakis, Emmanuel and Bermpei, Theodora (2016) What is the effect of unconventional monetary policy on bank performance? Journal of International Money and Finance, 67. pp. 239-263. ISSN 0261-5606

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Abstract

This paper examines the relationship between unconventional monetary policy and the US banking performance. Unconventional monetary policy is captured through the central bank’s assets and excess reserves. Results show that unconventional monetary policy has a negative relationship with bank performance. Further analysis shows that the negative association between unconventional monetary policy and performance is mitigated for banks with a high level of asset diversification and low deposit funding. We also find that the negative relationship between unconventional monetary policy and performance subdues for deposit insured financial institutions. Finally, we use dynamic panel threshold analysis which reveals that the negative association between unconventional monetary policy and bank performance is particularly pronounced above the reported threshold value.

Item Type: Article
Keywords: Unconventional monetary policy, Bank performance, Deposit insurance coverage, Dynamic threshold analysis
Schools and Departments: School of Business, Management and Economics > Business and Management
Subjects: H Social Sciences > HG Finance
H Social Sciences > HG Finance > HG0201 Money
H Social Sciences > HG Finance > HG1501 Banking
Depositing User: Emmanuel Mamatzakis
Date Deposited: 17 Jun 2016 10:42
Last Modified: 04 Dec 2017 02:00
URI: http://sro.sussex.ac.uk/id/eprint/61540

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