Negative Interest Rate Policy and Banks' Risk-Taking: Empirical Evidence
7 Pages Posted: 2 Oct 2019 Last revised: 13 Jun 2021
Date Written: January 2020
Using a panel dataset of 9421 banks from 59 countries over the period 2009-2018 and a Difference-in-Differences estimator, this paper aims to assess the effects of negative interest rates on banks' risk-taking. We find that banks' risk-taking has been lower in countries where negative rates have been implemented. This effect depends on the characteristics of a country's banking system, namely the level of capitalization and size.
Keywords: Negative Interest Rates, Bank Risk-Taking, Differences-in-Differences
JEL Classification: E43, E52, E58, G21
Suggested Citation: Suggested Citation
Boungou, Whelsy, Negative Interest Rate Policy and Banks' Risk-Taking: Empirical Evidence (January 2020). Economics Letters, Vol. 186, No. 108760, 2020, Available at SSRN: https://ssrn.com/abstract=3456944 or http://dx.doi.org/10.2139/ssrn.3456944
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