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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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