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Non-standard monetary policy measures and bank systemic risk in the Eurozone

Author

Listed:
  • Anh Nguyet Vu

    (University of Sussex Business School, University of Sussex)

  • Paraskevi Katsiampa

    (Sheffield University Management School, The University of Sheffield)

Abstract

Modern central banking offers policymakers innovative tools to safeguard price stability and the normal functioning of the financial system. However, the unintended impact of the implementation of non-standard monetary policy measures, especially on systemic risk, remains underexplored from a microeconomic point of view. This study investigates the effect of non-standard monetary policy measures on systemic risk of listed financial institutions in the Euro area. Our results show the presence of the systemic risk-taking channel of monetary policy, whereby systemic risk increases following further enforcement of non-standard monetary policy measures, with the effect being stronger for smaller and undercapitalised banks. The results are robust to various alternative measures of bank systemic risk and non-standard monetary policy. Our findings bear critical policy implications for financial stability.

Suggested Citation

  • Anh Nguyet Vu & Paraskevi Katsiampa, 2025. "Non-standard monetary policy measures and bank systemic risk in the Eurozone," Review of Quantitative Finance and Accounting, Springer, vol. 64(4), pages 1491-1542, May.
    • Handle: RePEc:kap:rqfnac:v:64:y:2025:i:4:d:10.1007_s11156-024-01339-4
    DOI: 10.1007/s11156-024-01339-4
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    More about this item

    Keywords

    Non-standard monetary policy measures; Bank systemic risk; Risk-taking channel; Eurozone; ECB;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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