Unconventional Monetary Policy and Asset Price Risk

Roache, Shaun K.; Rousset, Marina

doi:10.5089/9781484383230.001

Cited by 16 publications

(14 citation statements)

References 15 publications

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“…Table 6 reveals that for banks of high level of deposit funding, that is banks in the subsample 12 Thus, banks of high level of asset diversification would not be statistically affected by UMP as those banks rely on non-interest related assets. As previously discussed in the hypotheses section, UMPs could restore market uncertainty (Bekaert et al, 2013;Roache and Rousset, 2013) and increase asset prices (Gambacorta et al, 2014). Any positive effect of UMP on asset values could also be explained by the portfolio rebalancing theory (Tobin, 1963;Vayanos and Vila, 2009).…”

Section: [Insert Table 5 About Here]mentioning

confidence: 80%

What is the effect of unconventional monetary policy on bank performance?

Mamatzakis

Bermpei

2016

Journal of International Money and Finance

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This paper examines the relationship between unconventional monetary policy and the US banking performance. Unconventional monetary policy is captured through the central bank's assets and excess reserves. Results show that unconventional monetary policy has a negative relationship with bank performance. Further analysis shows that the negative association between unconventional monetary policy and performance is mitigated for banks with a high level of asset diversification and low deposit funding. We also find that the negative relationship between unconventional monetary policy and performance subdues for deposit insured financial institutions. Finally, we use dynamic panel threshold analysis which reveals that the negative association between unconventional monetary policy and bank performance is particularly pronounced above the reported threshold value.

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Section: [Insert Table 5 About Here]mentioning

confidence: 80%

What is the effect of unconventional monetary policy on bank performance?

Mamatzakis

Bermpei

2016

Journal of International Money and Finance

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“…By definition unconventional monetary policies are policies not generally undertaken by central banks and may differ depending on institutional arrangements within a country. These policies, which are broad ranging and meant to ease financial conditions (Smaghi, 2009), include (but not limited to) keeping interest rates near zero, purchasing long-term government securities and risky assets, impacting market long-term expectations, and trying to facilitate bank lending (Lambert & Ueda, 2014;Roache & Rousset, 2013;Smaghi, 2009).…”

Section: Introductionmentioning

confidence: 99%

Impact of economic policy on international tourism demand: the case of Abenomics

Kim

Lee

Mjelde

2016

Current Issues in Tourism

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Since the 2008 global financial crisis and resulting recession, many countries have been following unconventional monetary policies. Little information is known on how these policies may influence tourism demand. This study starts to fill this gap by investigating the impact of the Japanese economic policy known as Abenomics on South Koreans' travel to Japan, the largest inbound market for Japan. Per capita gross domestic product, relative prices, and exchange rates are significant determinants of Japanese inbound tourism. As these variables have been influenced by Abenomics, one can infer that Abenomics is associated with a significant increase in tourist arrivals from South Korea. Findings highlight the importance of government economic policy in stimulating international tourism demand through its impact on the economy.

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“…Among others, see Leung and Tang (2012), Leung et al (2013), Roache and Rousset (2013), Rogers et al (2014). …”

Section: Discussionmentioning

confidence: 99%

The Role of Sponsor and External Management on the Capital Structure of Asian-Pacific REITs: The Case of Australia, Japan, and Singapore

et al. 2014

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This paper studies how the presence of sponsor and external management affect leverage and debt maturity decisions in three major Asian-Pacific REIT markets: Australia, Japan and Singapore. Our empirical results indicate that sponsored REITs opt for higher levels of leverage and loans with longer maturity. On the contrary, externally managed REITs are associated with lower leverage and loans with shorter maturity. Our results are robust to the inclusion of other firm variables and to alternative specifications. Subsequent to the financial crisis, the impact of sponsorship on debt financing decisions has diminished, and borrowing of externally managed REITs is further constrained.

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Unconventional Monetary Policy and Asset Price Risk

Cited by 16 publications

References 15 publications

What is the effect of unconventional monetary policy on bank performance?

What is the effect of unconventional monetary policy on bank performance?

Impact of economic policy on international tourism demand: the case of Abenomics

The Role of Sponsor and External Management on the Capital Structure of Asian-Pacific REITs: The Case of Australia, Japan, and Singapore

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