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Abstract(s)
Com dados bancários anuais de 37 bancos da Zona Euro, supervisionados diretamente pelo Mecanismo Único de Supervisão do Banco Central Europeu, esta dissertação estuda o impacto da Política de Taxas de Juro Negativas na rendibilidade dos bancos da Zona Euro e analisa se a recente pandemia tem influência nesse mesmo impacto. Os nossos dados compreendem o período entre 2010 e 2021, abrangendo o período antes e após a introdução das taxas de juro negativas e o surgimento da pandemia do COVID. Esta dissertação utiliza uma metodologia de efeitos fixos, usando a Rendibilidade Líquida dos Ativos como medida de rendibilidade bancária. Os resultados sugerem que os bancos aparentam estar a compensar as suas perdas com juros, embora seja também sugerido que o sentimento de mercado aponte para um aumento das taxas de juro e para uma recessão económica no horizonte. Embora os resultados desta dissertação estejam de acordo com vários estudos prévios na área, demonstrando evidências mistas sobre o impacto das taxas de juro negativas na rendibilidade dos bancos, os mesmos revelam que o COVID-19 não teve nenhum impacto significativo.
Using annual bank level data for 37 Euro Area banks directly supervised by the Single Supervisory Mechanism from the European Central Bank, this dissertation studies the impact of the Negative Interest Rate Policy on the profitability of the Euro Area banks and analyses if the recent pandemic has an influence on this impact. Our data set comprehends the period of 2010 to 2021, covering the period before and after the introduction of negative interest rates and the appearance of the COVID pandemic. This dissertation uses a fixed-effects methodology with Return on Assets as a proxy to bank profitability. Our findings suggest that banks seem to have been compensating their interest losses, although it is hinted that market sentiment is that interest rates will increase, and an economic recession will follow. While our results are in line with other studies and provide mixed evidence regarding the impact of the negative interest rates on bank profitability, it revealed that COVID-19 did not have a significant impact.
Using annual bank level data for 37 Euro Area banks directly supervised by the Single Supervisory Mechanism from the European Central Bank, this dissertation studies the impact of the Negative Interest Rate Policy on the profitability of the Euro Area banks and analyses if the recent pandemic has an influence on this impact. Our data set comprehends the period of 2010 to 2021, covering the period before and after the introduction of negative interest rates and the appearance of the COVID pandemic. This dissertation uses a fixed-effects methodology with Return on Assets as a proxy to bank profitability. Our findings suggest that banks seem to have been compensating their interest losses, although it is hinted that market sentiment is that interest rates will increase, and an economic recession will follow. While our results are in line with other studies and provide mixed evidence regarding the impact of the negative interest rates on bank profitability, it revealed that COVID-19 did not have a significant impact.
Description
Mestrado em Análise Financeira
Keywords
Taxas de juro negativas COVID-19 Rendibilidade bancária Área Euro Negative interest rates Bank profitability Euro area
Citation
Faria, I. N. (2023) The impact of negative interest rates and COVID-19 on the profitability of Euro area banks. (Dissertação de mestrado não publicada). Instituto Politécnico de Lisboa, Instituto Superior de Contabilidade e Administração de Lisboa. Disponível em http://hdl.handle.net/10400.21/16130