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@inproceedings{1334755, author = {Deev, Oleg and Hodula, Martin}, address = {Karviná}, booktitle = {Proceedings of the 15th International Conference on Finance and Banking}, editor = {Palečková, I. and Szarowská, I.}, keywords = {monetary policy; systemic risk; low interest rates}, howpublished = {tištěná verze "print"}, language = {eng}, location = {Karviná}, isbn = {978-80-7510-186-0}, pages = {50-59}, publisher = {Silesian University}, title = {The Impact of the ECB Monetary Policy on Systemic Risk Changes in Eurozone}, url = {http://icfb.rs.opf.slu.cz/sites/icfb.rs.opf.slu.cz/files/deev_hodula.pdf}, year = {2016} }
TY - JOUR ID - 1334755 AU - Deev, Oleg - Hodula, Martin PY - 2016 TI - The Impact of the ECB Monetary Policy on Systemic Risk Changes in Eurozone PB - Silesian University CY - Karviná SN - 9788075101860 KW - monetary policy KW - systemic risk KW - low interest rates UR - http://icfb.rs.opf.slu.cz/sites/icfb.rs.opf.slu.cz/files/deev_hodula.pdf L2 - http://icfb.rs.opf.slu.cz/sites/icfb.rs.opf.slu.cz/files/deev_hodula.pdf N2 - 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. ER -
DEEV, Oleg and Martin HODULA. The Impact of the ECB Monetary Policy on Systemic Risk Changes in Eurozone. In Palečková, I. and Szarowská, I. \textit{Proceedings of the 15th International Conference on Finance and Banking}. Karviná: Silesian University, 2016, p.~50-59. ISBN~978-80-7510-186-0.
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