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Interbank network characteristics, monetary policy "News" and sensitivity of bank stock returns

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  • Aref Mahdavi Ardekani

    (LAPE - Laboratoire d'Analyse et de Prospective Economique - GIO - Gouvernance des Institutions et des Organisations - UNILIM - Université de Limoges)

  • Isabelle Distinguin

    (LAPE - Laboratoire d'Analyse et de Prospective Economique - GIO - Gouvernance des Institutions et des Organisations - UNILIM - Université de Limoges)

  • Amine Tarazi

    (LAPE - Laboratoire d'Analyse et de Prospective Economique - GIO - Gouvernance des Institutions et des Organisations - UNILIM - Université de Limoges)

Abstract

This paper investigates whether interbank network topology influences the impact of monetary policy announcements on bank cumulative abnormal returns (CAR's). Although recent studies have emphasized the channels of non-conventional monetary policy actions and the sensitivity of bank stock prices to "News", how such reaction could be influenced by the shape of bank networks remains an open issue. We look at how banks' interconnectedness within interbank loan and deposit networks affects investors' expectations of future bank performance in response to monetary policy "News". Our sample consists of commercial, investment, real estate and mortgage banks in 10 Euro-zone countries. Our results show that the stock prices of banks with stronger local network positions are less sensitive to monetary policy announcements while those of banks with stronger system-wide positions are more sensitive to them.

Suggested Citation

  • Aref Mahdavi Ardekani & Isabelle Distinguin & Amine Tarazi, 2019. "Interbank network characteristics, monetary policy "News" and sensitivity of bank stock returns," Working Papers hal-02384533, HAL.
    • Handle: RePEc:hal:wpaper:hal-02384533
    Note: View the original document on HAL open archive server: https://unilim.hal.science/hal-02384533
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    References listed on IDEAS

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    Keywords

    Interbank network topology; Monetary policy; bank's stock reaction; event study;
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