Research Repository

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. 239 - 263. ISSN 0261-5606

[img]
Preview
Text
manuscript_.pdf - Accepted Version
Available under License Creative Commons Attribution Non-commercial No Derivatives.

Download (307kB) | Preview

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
Uncontrolled Keywords: Unconventional monetary policy, Bank performance, Deposit insurance coverage, Dynamic threshold analysis
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Jim Jamieson
Date Deposited: 19 Apr 2017 15:30
Last Modified: 06 Feb 2019 17:15
URI: http://repository.essex.ac.uk/id/eprint/19489

Actions (login required)

View Item View Item