Impacts of sovereign risk premium on bank profitability evidence from euro erea

This study examines the impacts of the sovereign risk premium on bank profitability of 154 Eurozone banks between 2005 and 2019, using the differenced generalized method of moments. Contrary to previous literature results, banks' net interest margin actually benefits from the low and negative r...

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Bibliografiset tiedot
Päätekijä: Nguyen, Sang
Muut tekijät: Kauppakorkeakoulu, School of Business and Economics, Taloustieteet, Business and Economics, Jyväskylän yliopisto, University of Jyväskylä
Aineistotyyppi: Pro gradu
Kieli:eng
Julkaistu: 2021
Aiheet:
Linkit: https://jyx.jyu.fi/handle/123456789/76066
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author Nguyen, Sang
author2 Kauppakorkeakoulu School of Business and Economics Taloustieteet Business and Economics Jyväskylän yliopisto University of Jyväskylä
author_facet Nguyen, Sang Kauppakorkeakoulu School of Business and Economics Taloustieteet Business and Economics Jyväskylän yliopisto University of Jyväskylä Nguyen, Sang Kauppakorkeakoulu School of Business and Economics Taloustieteet Business and Economics Jyväskylän yliopisto University of Jyväskylä
author_sort Nguyen, Sang
datasource_str_mv jyx
description This study examines the impacts of the sovereign risk premium on bank profitability of 154 Eurozone banks between 2005 and 2019, using the differenced generalized method of moments. Contrary to previous literature results, banks' net interest margin actually benefits from the low and negative rate policy. Meanwhile, the overall profitability measures experience contraction due to the same effect. This puzzle can be explained by the shift towards the low-cost wholesale-based funding of banks in the Euro area. Simultaneously, such banks set aside more loan loss provisions because of the increment in overall risk of the economy. These results open up new research direction on how much interbank funding has been raised to facilitate new loans and how much of it has been for liquidity requirements. In the same manner, further research should be carried to see whether the benefits from the low-priced interbank markets funding are offset by extra costs caused by a higher ratio of loan loss provisions.
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spellingShingle Nguyen, Sang Impacts of sovereign risk premium on bank profitability : evidence from euro erea sovereign risk premium low and negative rates unconventional monetary policy Taloustiede Economics 2041 kannattavuus pankit rahapolitiikka finanssikriisit profitability banks (monetary institutions) monetary policy financial crises
title Impacts of sovereign risk premium on bank profitability : evidence from euro erea
title_full Impacts of sovereign risk premium on bank profitability : evidence from euro erea
title_fullStr Impacts of sovereign risk premium on bank profitability : evidence from euro erea Impacts of sovereign risk premium on bank profitability : evidence from euro erea
title_full_unstemmed Impacts of sovereign risk premium on bank profitability : evidence from euro erea Impacts of sovereign risk premium on bank profitability : evidence from euro erea
title_short Impacts of sovereign risk premium on bank profitability
title_sort impacts of sovereign risk premium on bank profitability evidence from euro erea
title_sub evidence from euro erea
title_txtP Impacts of sovereign risk premium on bank profitability : evidence from euro erea
topic sovereign risk premium low and negative rates unconventional monetary policy Taloustiede Economics 2041 kannattavuus pankit rahapolitiikka finanssikriisit profitability banks (monetary institutions) monetary policy financial crises
topic_facet 2041 Economics Taloustiede banks (monetary institutions) financial crises finanssikriisit kannattavuus low and negative rates monetary policy pankit profitability rahapolitiikka sovereign risk premium unconventional monetary policy
url https://jyx.jyu.fi/handle/123456789/76066 http://www.urn.fi/URN:NBN:fi:jyu-202105303311
work_keys_str_mv AT nguyensang impactsofsovereignriskpremiumonbankprofitabilityevidencefromeuroerea