The Impact of the ECB Monetary Policy on Systemic Risk Changes in Eurozone



Rok publikování 2016
Druh Článek ve sborníku
Konference Proceedings of the 15th International Conference on Finance and Banking
Fakulta / Pracoviště MU

Ekonomicko-správní fakulta

Obor Řízení, správa a administrativa
Klíčová slova monetary policy; systemic risk; low interest rates
Popis This study examines the impact of ECB’s monetary policy decisions on the state of financial stability in Eurozone countries in the form of systemic risk in the banking sector. We argue that the environment of low interest rates encourages bank risk taking and increases systemic risk. We employ time-varying parameter structural vector autoregressive model to test the response of systemic risk measured by the market-based SRISK indicator to changes in monetary policy based on official ECB statistics. Our results indicate that unconventional monetary policy in form of quantitative easing further escalates financial instability in Eurozone countries.
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