The role of the bank risk-taking channel in shaping financial risk in the Eurozone
Ο ρόλος της διάθεσης ανάληψης κινδύνων των πιστωτικών ιδρυμάτων στη διαμόρφωση του χρηματοπιστωτικού κινδύνου στην Ευρωζώνη
View/
Keywords
Risk ; Banking ; Interest rates ; Eurozone ; Cultural differencesAbstract
What happens when the very same cut in policy rates triggers markedly different
reactions from banks in Rome, Berlin and Athens? This dissertation shows that banks’
willingness to take risk is shaped not only by the level of the European Central Bank’s
key policy rates, but also by how banks are funded and governed, and by the human
context of each economy: the strength of institutions, the stock of social trust, and
prevailing cultural attitudes toward uncertainty and competitive success. In doing so, it
explains why a single monetary signal propagates so unevenly across the monetary
union and offers a practical vantage point for managing the next episode of financial
stress.
The analysis draws on a balanced sample of eight hundred and fourteen listed banks
from all euro-area countries over fourteen years. Using modern dynamic econometric
methods that isolate, as far as possible, the causal effect of policy from concurrent
macroeconomic shocks (and explicitly separating tranquil years from crisis periods),
we measure how solvency risk, operational risk and liquidity risk respond to changes
in policy.
Three results stand out: First, a one-percentage-point reduction in the main policy rates
is, on average, associated with a shift in bank-risk indicators on the order of roughly
one to two tenths of a standard deviation (peaking around two tenths): policy rates are
the primary lever. Second, transmission is not linear. When the central bank’s deposit
rate turns negative (especially for deposit-funded institutions that cannot easily pass the
cost to customers) a “turning point” emerges: further easing no longer stimulates credit
and can raise fragility. Third, informal institutions act as filters. High social trust
systematically dampens the push toward risk, whereas weak integrity amplifies it by a
magnitude comparable to roughly one-half to two-thirds of the rate effect; cultural
preferences shape how strongly each banking system reacts.
The lesson is practical. If the European Central Bank is the driver and the accelerator
is the interest rate, the road is never the same everywhere. Where rules are credible and
trust is high the road is dry; where safeguards are weak it is slippery.
To keep Europe on course, policy must modulate speed to the conditions of each road;
and banks must adjust how they take risk in time. The study anticipates and addresses
the usual pitfalls of multi-layered research (endogeneity, non-linear behaviour around
3
negative rates, measurement comparability across countries, and common shocks), so
that what remains is a clear, policy-relevant account of not only how much credit
moves, but how its quality changes.
Department
Σχολή Οικονομικών, Επιχειρηματικών και Διεθνών Σπουδών. Τμήμα Οργάνωσης και Διοίκησης ΕπιχειρήσεωνNumber of pages
309Language
EnglishCollections
Except where otherwise noted, this item's license is described as
Αναφορά Δημιουργού - Μη Εμπορική Χρήση - Παρόμοια Διανομή 3.0 Ελλάδα
Αναφορά Δημιουργού - Μη Εμπορική Χρήση - Παρόμοια Διανομή 3.0 Ελλάδα