Tesi etd-10122024-231756
Link copiato negli appunti
Tipo di tesi
Corso Ordinario Secondo Livello
Autore
WALL, LUISA
URN
etd-10122024-231756
Titolo
Monetary Policy and Bank Stability in the Euro Area
Struttura
Classe Scienze Sociali
Corso di studi
SCIENZE ECONOMICHE E MANAGERIALI - SCIENZE ECONOMICHE E MANAGERIALI
Commissione
Tutor Prof.ssa NUTI, SABINA
Relatore Prof. MONETA, ALESSIO
Presidente Prof. IRALDO, FABIO
Membro Dott.ssa CANTARELLI, PAOLA
Membro Prof. BARONTINI, ROBERTO
Membro Prof. BOTTAZZI, GIULIO
Membro Prof.ssa VAINIERI, MILENA
Membro Prof. TENUCCI, ANDREA
Membro Prof. DI MININ, ALBERTO
Membro Prof. MINA, ANDREA
Membro Prof. CINQUINI, LINO
Membro Prof. TURCHETTI, GIUSEPPE
Membro Dott. GIACHINI, DANIELE
Membro Prof. ROVENTINI, ANDREA
Relatore Prof. MONETA, ALESSIO
Presidente Prof. IRALDO, FABIO
Membro Dott.ssa CANTARELLI, PAOLA
Membro Prof. BARONTINI, ROBERTO
Membro Prof. BOTTAZZI, GIULIO
Membro Prof.ssa VAINIERI, MILENA
Membro Prof. TENUCCI, ANDREA
Membro Prof. DI MININ, ALBERTO
Membro Prof. MINA, ANDREA
Membro Prof. CINQUINI, LINO
Membro Prof. TURCHETTI, GIUSEPPE
Membro Dott. GIACHINI, DANIELE
Membro Prof. ROVENTINI, ANDREA
Parole chiave
- banks
- credit default swaps
- credit risk
- high-frequency identification
- monetary policy shocks
- non-gaussian identification
- Proxy SVAR
- SVAR-IV
Data inizio appello
25/11/2024;
Disponibilità
completa
Riassunto analitico
The recent shift to a tighter monetary policy environment has brought renewed focus on how banks, as key financial intermediaries in the Euro Area, are responding. Using a Proxy-SVAR approach, I investigate on a 2008-2023 sample how Euro Area bank stability reacts to unexpected monetary policy shocks, employing as exogenous monetary surprise series a high-frequency identified "target" factor. To measure bank risk, credit default swap (CDS) indexes are constructed, distinguishing by maturity and debt seniority. CDS are a forward-looking measure reflecting how financial markets perceive current and future bank credit risk.
Alternatively to the factor model high-frequency identification, monetary policy shocks are estimated also applying a statistical approach that exploits the non-gaussian nature of financial market responses to policy announcements. A comparison of results from both approaches is provided.
The monthly and daily frequency structural VAR analysis shows that an exogenous restrictive monetary policy shock increases perceived banks' current and potential future risk, when controlling for the level of economic activity and investor sentiment measured by the corporate bond credit spread. The negative estimated effect holds regardless of maturity and seniority characteristics, although the impact is significantly larger in magnitude for the 1-year subordinated CDS index.
An interpretation of these results is provided. Higher interest rates are positively associated with net interest margins, which boosts bank net interest income. However, tighter monetary policy can enhance some downside risks for the banking sector, especially over time: a worsened macroeconomic outlook, via the rise in non-performing loans and decline in intermediation volumes; higher funding costs and tighter liquidity; capital losses on fixed-income assets held in banks' portfolios; exposure to vulnerable sectors, such as real estate.
Alternatively to the factor model high-frequency identification, monetary policy shocks are estimated also applying a statistical approach that exploits the non-gaussian nature of financial market responses to policy announcements. A comparison of results from both approaches is provided.
The monthly and daily frequency structural VAR analysis shows that an exogenous restrictive monetary policy shock increases perceived banks' current and potential future risk, when controlling for the level of economic activity and investor sentiment measured by the corporate bond credit spread. The negative estimated effect holds regardless of maturity and seniority characteristics, although the impact is significantly larger in magnitude for the 1-year subordinated CDS index.
An interpretation of these results is provided. Higher interest rates are positively associated with net interest margins, which boosts bank net interest income. However, tighter monetary policy can enhance some downside risks for the banking sector, especially over time: a worsened macroeconomic outlook, via the rise in non-performing loans and decline in intermediation volumes; higher funding costs and tighter liquidity; capital losses on fixed-income assets held in banks' portfolios; exposure to vulnerable sectors, such as real estate.
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