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Pushed past the limit? : How Japanese banks reacted to negative interest rates

Author: Gee Hee Hong; John Kandrac; International Monetary Fund. Asia and Pacific Department.
Publisher: Washington, D.C. : International Monetary Fund, Asia and Pacific Department, 2018.
Series: IMF working paper, WP/18/131.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
"In this paper, the authors investigate how negative interest rate policy (NIRP) introduced in January 2016 by the Bank of Japan (BoJ) affected Japanese banks' lending and risk taking behavior. The BoJ's announcement was an unexpected surprise to the market and was followed by a sharp drop in equity prices of Japanese financial firms. They exploit the cross-sectional variation in the change of share prices on the  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Hong, Gee Hee.
Pushed Past the Limit? How Japanese Banks Reacted to Negative Interest Rates.
Washington, D.C. : International Monetary Fund, ©2018
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Gee Hee Hong; John Kandrac; International Monetary Fund. Asia and Pacific Department.
ISBN: 9781484363195 1484363191 148436161X 9781484361610
OCLC Number: 1041839857
Notes: "June 2018."
Description: 1 online resource (50 pages)
Contents: Cover; Table of Contents; 1. Introduction; 2. The BoJ's Negative Interest Rate Announcement; 3. The Reaction to the Announcement and Japanese Banks' Exposure to NIRP; 3.1. The reaction to the NIRP Announcement; 3.2. Banking and Economic Conditions in Japan, and the Policy Risks of NIRP; 4. Theoretical Motivation; 5. Measuring Japanese Banks' Response to NIRP: Data, Methods, and Results; 5.1 Data; 5.2 Results; 5.2.1 The Effect of NIRP on Bank Profits; 5.2.2 The Effect of NIRP on Bank Risk Taking and lending; 5.3 Discussion; 6. Robustness: Abnormal Returns and Longer Event Windows. 7. Placebo Tests: Prior BoJ Interest Rate Cuts8. Conclusion; References; Figures; 1. Unsecured Overnight Call Rate; 2. Topix and Topix Bank Index; 3. Nonfinancial Industry Response to NIRP; 4. Bank Stock Price Changes around NIRP Announcement; 5. Deposit Rates Paid by Japanese Banks; 6. Reaction to ECB Nagative Rate Cuts; 7. Reaction to SNB Nagative Rate Cuts; 8. Reaction to DNB Nagative Rate Cuts; 9. Reaction to Riksbank Negative Rate Cuts; 10. Central Bank Assets Minus Capital and Currency as a Percent of Banking System Assets; 11. Components of Net Interest Margins by Country. 12. Topix and Topix Bank Index (December 2008)13. Topix and Topix Bank Index (October 2010); Tables; 1. Determinants of Stock Price Changes around NIRP Announcement; 2. Currency-to-GDP and Bank Deposit Funding Ratios; 3. Summary Statistics; 4. NIM and Profit Growth Under NIRP; 5. Changes in Standard Deviation of Returns, Distance to Default, and Default Probability Under NIRP; 6. Changes in Z-score, assets, and Leverage Under NIRP; 7. Interesnt Rate and Maturity Changes on Loan Portfolio under NIRP; 8. Loan Supply Growth Under NIRP; 9. Robustness to Longer Horizons and Abnormal Returns.
Series Title: IMF working paper, WP/18/131.
Responsibility: by Gee Hee Hong and John Kandrac.

Abstract:

"In this paper, the authors investigate how negative interest rate policy (NIRP) introduced in January 2016 by the Bank of Japan (BoJ) affected Japanese banks' lending and risk taking behavior. The BoJ's announcement was an unexpected surprise to the market and was followed by a sharp drop in equity prices of Japanese financial firms. They exploit the cross-sectional variation in the change of share prices on the day of the announcement to measure banks' differential exposure to NIRP. They show that more exposed banks increased their credit and took on more risk compared to banks that were less exposed to negative rates."--Abstract.

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